Summary: European Finance Association’s annual has started today in Stockholm. For those not in there, I include links to the more interesting papers. Saves you some time to see them here on one page, instead of EFA’s crappy page.
Views: EURUSD is now at the top of the recent range, but the price action is too strong for my taste to go short – especially after today’s earlier suggestion caused a loss of 50 pips. Something is definitely brewing in this pair – a breakout from the range happens soon.
SWISS FRANC
GS on Swiss Central Bank’s latest interventionist attempts, followed by Citi’s
More Posturing Out Of Europe: Franc Surges After SNB's Bluff Is Called, No Peg Announced, "More Of The Same" – Zero Hedge
Citi On The SNB Non-Intervention: Pegs Can't Fly, And Why FX Spot Market Intervention Is Not A Panacea – Zero Hedge
QE3 Fondue – Macro Man
The Swiss Franc Just Had a Lucky Escape – The Source WSJ
Testing Times for the SNB’s Communication Skills – The Source WSJ
OTHER
Trouble: a bank gets 500mio USD liquidity at 110bp from ECB, while market rate 88bp
A dollar bidder at the ECB – alphaville FT
UBS macro team believes eurobonds could be made to work
E-bonds can work – alphaville FT
Bank of England Abandons Inflation Target? – The Source WSJ
China’s four choices of how to lessen US bond holdings
The Stanford Prison Experiment: History’s Most Controversial Psychology Study Turns 40 – Brain Pickings
EFA 2011 started today. Select papers, with a link to the full pdf-file.
Derivatives
The Swaption Cube PDF
The Economics of Option Trading PDF
Variance Risk, Financial Intermediation, and the Cross-Section of Expected Option Returns PDF
Hard Times PDF
The Economics of Option Trading PDF
Variance Risk, Financial Intermediation, and the Cross-Section of Expected Option Returns PDF
Hard Times PDF
Financial Crisis
Private Equity
Hedge funds
Is Pay-for-Performance Effective? Evidence from the Hedge Fund Industry PDF
'When There is No Place to Hide': Correlation Risk and the Cross-Section of Hedge Fund Returns PDF
Systemic Risk
Systemic Risk Contributions - A Credit Portfolio Approach PDF
Central Banking & Regulation
The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at How the Market Impounds New Information PDF
Investment and Stock Returns
Transparency and Dark Pools
Financial Disclosure with Limited Processing Capacity PDF
Dark Pool Trading Strategies PDF
Lack of Anonymity and the Inference from Order Flow PDF
Security Design
Smart Buyers PDF
High Frequency Trading
Bond Pricing
An Empirical Decomposition of Risk and Liquidity in Government Bonds PDF
The Issuer-Pay Rating Model and Rating Inflation: Evidence from Corporate Credit Ratings PDF
Sovereign Risk Premia PDF
Asset Management
Do Mutual Fund Managers Trade on Stock Intrinsic Values? PDF
The Certification Effect of Sovereign Wealth Funds on the Credit Risk of Portfolio Companies PDF
Sovereign Wealth Fund Portfolios PDF
The Mutual Fund Industry Worldwide: Explicit and Closet Indexing, Fees, and Performance PDF
The Investment Behavior of State Pension Plans PDF
Alpha and Performance Measurement: The Effect of Investor Heterogeneity PDF
Financial Stability
Contingent Convertibles. Solving or Seeding the Next Banking Crisis? PDF
Self-Fulfilling Liquidity Dry-ups PDF
Liquidity Shocks, Roll-Over Risk and Debt Maturity PDF
Bank Funding
Endogenous Maturity Mismatch, Maturity of Open Market Operations, and Liquidity Regulation PDF
Sources of Liquidity and Liquidity Shortages PDF
Cross-Section of Returns
Idiosyncratic Return Volatility in the Cross-Section of Stocks PDF Profitability Shocks and the Size Effect in the Cross-Section of Expected Stock Returns PDF
Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns PDF
Extreme Dependence Structures and the Cross-Section of Expected Stock Returns PDF
Investment-Based Momentum Profits PDF
FX Risks and Returns
Properties of Foreign Exchange Risk Premiums PDF
Yield Curve Predictors of Foreign Exchange Returns PDF
Financial and Credit Crisis
Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity PDF
International Propagation of the Credit Crisis PDF
Volatility
Idiosyncratic Risk and the Cross-Section of Stock Returns PDF
Bond Variance Risk Premia PDF
On the Effects of Private Information on Volatility PDF
Business Conditions, Market Volatility and Option Prices PDF
A Comprehensive Look at Financial Volatility Prediction by Economic Variables PDF
Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals PDF
Leverage and Price Discovery
Capital Structure, Derivatives and Equity Market Quality PDF
Behavioral Asset Pricing
Local Investors, Price Discovery, and Market Efficiency PDF
Market-Wide Sentiment, Firm-Level Sentiment, and IPO Pricing Process PDF
“Self-Fulfilling” Stock Recommendations PDF
Retail Investor’s Active Attention and Stock Liquidity PDF
Streaks in Earnings Surprises and the Cross-Section of Stock Returns PDF
Innovative Efficiency and Stock Returns PDF
International Asset Pricing
The Asset Growth Effect: Insights from International Equity Markets PDF
Equity Yields PDF
Dividend Predictability Around the World PDF