Research articles for the 2021-03-20
Ergodicity Economics and the High Beta Conundrum
SSRN
Using Ergodicity Economics this paper shows that terminal wealth maximizing portfolios have betas that are substantially higher than the market portfolio (beta = 1). Simulations indicate that uncertainty about the future distribution of returns and the high cost of over-betting could be limiting factors to implementing such high beta portfolios. Another possibility is that investors do care about risk and are trying to maximize some form of risk adjusted growth rate.
SSRN
Using Ergodicity Economics this paper shows that terminal wealth maximizing portfolios have betas that are substantially higher than the market portfolio (beta = 1). Simulations indicate that uncertainty about the future distribution of returns and the high cost of over-betting could be limiting factors to implementing such high beta portfolios. Another possibility is that investors do care about risk and are trying to maximize some form of risk adjusted growth rate.
Key Concepts of Financial Regulation - Rule making
SSRN
Legislators and regulators use a number of concepts to cast regulatory goals into regulatory rules. This range of concepts ranges from highly intrusive, such as prohibition of a certain activity, to little intrusive, such as disclosure of certain facts. This paper systematizes the various available regulatory concepts and proves their continued validity in the context of modern technology-enabled financial services. This paper was first written as an introductory text to one of the author's lectures on International Financial Regulation.
SSRN
Legislators and regulators use a number of concepts to cast regulatory goals into regulatory rules. This range of concepts ranges from highly intrusive, such as prohibition of a certain activity, to little intrusive, such as disclosure of certain facts. This paper systematizes the various available regulatory concepts and proves their continued validity in the context of modern technology-enabled financial services. This paper was first written as an introductory text to one of the author's lectures on International Financial Regulation.
Repo Turmoil and Lessons for Liquidity Policy
SSRN
This project considers repo market stress in September 2019. First, I find that the multiple causes of that market disruption suggest the need for more comprehensive review of liquidity policy frameworks. I then review recent proposals to prevent future repo funding disruptions, evaluating them against the efficiency and financial stability goals of liquidity policy. This work contributes to the literature by first, consolidating multidisciplinary perspectives on structural and regulatory flaws in short-term funding markets, second, by introducing and discussing newly available data from the Office of Financial Research, and third, by reinterpreting old proposals and discussions through the lens of the mid-September episode.
SSRN
This project considers repo market stress in September 2019. First, I find that the multiple causes of that market disruption suggest the need for more comprehensive review of liquidity policy frameworks. I then review recent proposals to prevent future repo funding disruptions, evaluating them against the efficiency and financial stability goals of liquidity policy. This work contributes to the literature by first, consolidating multidisciplinary perspectives on structural and regulatory flaws in short-term funding markets, second, by introducing and discussing newly available data from the Office of Financial Research, and third, by reinterpreting old proposals and discussions through the lens of the mid-September episode.
The Correlation between the Value of Mortgage-Backed Securities & the Value of FTSE 100 Shares Price Index: September 2013 Prices
SSRN
Using the latest information and prices for mortgage-backed securities in September 2013, this analytical piece tests the correlation between these instruments' value and the value of the FTSE 100 share price index. The correlation between the value of mortgage-backed securities and the value of the FTSE 100 shares price index.
SSRN
Using the latest information and prices for mortgage-backed securities in September 2013, this analytical piece tests the correlation between these instruments' value and the value of the FTSE 100 share price index. The correlation between the value of mortgage-backed securities and the value of the FTSE 100 shares price index.
