Libor’s demise as a trusted benchmark presents a seismic challenge to the financial services industry. As time ticks down to its planned replacement in 2021 and alternative rates and new products emerge, market participants must determine the risks to…
Economic policy uncertainty, investors’ attention and US real estate investment trusts’ herding behaviors
Using a quantile regression model, this study examines economic policy uncertainty and investors’ attention for policy risk on US real estate investment trusts’ (REITs’) herding behaviors.
The author models interactions between financial transactions and expectations and describe asset pricing and return disturbances.
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explores the key role of reliable data sources in offering a commercial advantage to traders during the March crisis
This paper studies the growth by acquisition strategy embarked upon by a mid-sized UK bank, the Co-operative Bank; this strategy was a disaster, leaving a heretofore successful bank in dire trouble and on the block for buyers at a substantial discount to…
Researchers use March tumult to investigate psychology of risk-taking
The analysis in this paper reveals that additional fundamental risk gets transferred along supply chains, and that suppliers are exposed to additional fundamental risk that is not captured by their market beta. Suppliers are therefore exposed to…
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
Range-based volatility forecasting: a multiplicative component conditional autoregressive range model
This paper proposes a multiplicative component CARR (MCCARR) model to capture the "long-memory" effect in volatility.
Los Angeles Capital debuts new factor for measuring stocks’ sensitivity to the pandemic
Quant fund pioneer plans to build an economic super-simulator on a global scale
Veteran quant argues large groups are better at gauging extreme uncertainty than small teams of experts
Buy-siders brace for further selling after hedge funds dumped risk in March
The team behind River and Mercantile Group’s global macro strategy team operates under two key principles: that macro is the most important aspect of any investment decision and that decision-making should incorporate both systematic and discretionary…