The Find: Governance advisory firms claim they can predict the future performance of a public company by analyzing public data, but new research claims the value of their ratings is dubious at best. ...
The age-old adage says time is money. Well, maybe not exactly. We all have the same amount of time each day. Our corporate and personal worth varies, but there is a correlation between a wise use of time and profitability. How we choose to spend our time can directly impact...
Love 'em or hate 'em ... analysts play an important role in guiding the buying decision making process in your industry. At least some percentage of your customers values their advice. The trade press look to them for perspectives on emerging markets. Regardless of your personal disdain...
The study present in this paper investigates the correlation between single-trial evoked brain responses and Galvanic Skin Responses GSR. The correlation between the two signals examined by using a modified principal component regression based approach. A potential application of the study is to utilize the GSR measurements in a form...
The present analysis estimates Markowitz portfolio correlations for retail loan portfolios. The correlations are derived from almost $1 trillion of asset backed security pools originated by more than five hundred issuers between January and September. Such a broad sample, comprised of several hundred thousand pool-month observations, provides a unique opportunity...
A generalized correlation in terms of the reduced molar refraction parameter r is proposed for the calculation of the viscosity of dense hydrocarbon fluids. The input parameters are the refractive index and density at 20 °C, molecular weight, critical temperature, and pressure. For saturated gases (Pr < 1), the absolute...
The petroleum industry spends millions US dollars to combat the formation of hydrates. So, the accuracy of estimating the natural gas hydrates is extremely important for optimizing the cost of piping systems and processing units. Understanding how, when, and where gas hydrate form provides the engineer the method to predict...
The paper explains how CDO tranches and other innovative credit products, such as single-tranche CDOs and first-to-default basket swaps, are sensitive to the correlation of defaults among the credits in the reference portfolio. Differences of opinion among market participants as to the correct default correlation can create trading opportunities. Finally,...
This paper shows how to estimate default correlations using a reduced form model with historical default data. Contrary to the common belief that default correlation estimation is a difficult task that generates unreliable estimates, this paper shows that in the context of a reduced form model, it is an easy...
Reduced-form models have proven to be a useful tool for analyzing the dynamics of credit spreads. However, some have recently questioned their ability to match the level of empirical default correlation. The key concern appears to be the assumption that defaults are independent conditional on the state variables driving the...
Youths who share a school and neighborhood often have similar academic achievement, but some studies find all or most of this apparent effect is due to sorting, not to the neighborhood itself. This paper presents a collage of evidence from the National Educational Longitudinal Survey NELS indicating that a significant...
Recent empirical research finds that pairs of countries with stronger trade linkages tend to have more highly correlated business cycles. This paper assesses whether the standard international business cycle framework can replicate this intuitive result. It employs a three-country model with transportation costs. This paper simulates the effects of increased...
Recent trends in the international equity markets have fueled debate over the diversification benefit of non-U.S. equity. Poor returns and an increasing correlation with the U.S. market have caused some investors to question the future of using non-U.S. equity as a diversifier. It is believe that non-U.S. equity will continue...
In an integrated world capital market, the same pricing kernel is applicable to all securities. This paper applies the idea to the stock returns of different countries. It investigates the underlying determinants of cross-country stock return correlations. First, It determine, for a given, measured degree of commonality of country outputs,...
The objective in this study is to identify those one-shot transactional devices in the ED strip – bundles, packs, or individual contracts – that afford the greatest, most reliable short-term price protection for on-the-run Treasury notes. Operationally, “greatest” means those ED futures packages whose price changes are most highly correlated...
This article explains the concept of Correlation. This is a relatively "simple" concept but absolutely mandatory in the use of investments. It refers to whether or not "different" investments will move at the same time for the same reason and in the same direction. If true, they have a correlation...
The article talks about the development of a model that accounts for medium-term continuation momentum in asset returns by analyzing information acquisition about news events such as earnings announcements in a multiperiod setting. As more and more agents become informed about news events, temporal uncertainty is resolved endogenously through market...
If one characteristic separates the investment professional from the dilettante, it is the presence or absence of a cogent investment strategy and the type of information that informs this strategy. Even if one reject the Markowitz mean-variance analysis as the primary determinant of allocation policy , still need sensible estimates...
The option-like payoffs and unusual correlation profiles of hedge funds open new avenues in strategic portfolio construction. The strategy mix optimization may be necessary to meet advanced risk requirements including minimizing correlation with principal components of strategic portfolio risk or design of structured products but a flexible stand-alone optimizer may...
The paper compares the risk premiums RP inferred by relating price to earnings forecasts using the Ohlson-Juettner (OJ 2000) and residual income valuation RIV model in three ways: correlation with frequently cited risk factors; correlation with RP estimated by multiplying current realizations of risk factors by coefficients obtained from regressing...
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