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Wednesday, August 17

17th Aug LATE - EFA '11 starts

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.

GS on Swiss Central Bank’s latest interventionist attempts, followed by Citi’s

QE3 Fondue – Macro Man

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

China’s four choices of how to lessen US bond holdings
Foreign capital, go home! China Financial Markets

EFA 2011 started today. Select papers, with a link to the full pdf-file.

The Swaption Cube PDF
The Economics of Option Trading
Variance Risk, Financial Intermediation, and the Cross-Section of Expected Option Returns
Hard Times

Financial Crisis
The Determinants of the CDS-Bond Basis During the Financial Crisis of 2007-2009 PDF
Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 PDF

Private Equity
Private Equity in the 21st Century: Cash Flows, Performance, and Contract Terms from 1984-2010 PDF
Competitive Effects of Private Equity Investments PDF
Performance Persistence in Private Equity Funds PDF

Hedge funds
Capitalizing on Capital Hill: Informed by Hedge Fund Managers PDF
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
Strategic Complementarity, Fragility, and Regulation PDF
Credit, Capital and Crises: A Theory of Counter-Cyclical Macroprudential Policy PDF
Systemic Risk Contributions - A Credit Portfolio Approach PDF

Central Banking & Regulation
Risk Uncertainty and Monetary Policy PDF
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
Capital-Market Effects of Securities Regulation: The Role of Implementation and Enforcement PDF

Investment and Stock Returns
Innovation, Growth, and Asset Pricing PDF
Micro Frictions, Asset Pricing, and Aggregate Implications PDF
Strategic Investments, Technological Uncertainty, and Expected Return Externalities PDF

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
Pay Now or Later: Financial Flexibility and Security Design PDF
The Commitment Problem of Secured Lending PDF
Smart Buyers PDF

High Frequency Trading
High Frequency Trading and its Impact on Market Quality PDF
High Frequency Trading and the New-Markets Makers PDF
Sunshine Trading Flashes of Trading Intent at the Nasdaq PDF

Bond Pricing
An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets PDF 
An Empirical Decomposition of Risk and Liquidity in Government Bonds PDF
Tranching and Pricing in CDO-Transactions PDF
Macroeconomic Uncertainty, Difference in Beliefs, and Bond Risk Premia 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
Repo Runs PDF
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
Financial Intermediaries and the Cross-Section of Asset 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
A Transaction Data Study of The Forward Bias Puzzle 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

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
Is There Price Discovery In Equity Options? PDF
Capital Structure, Derivatives and Equity Market Quality PDF
Leverage and Liquidity: Evidence from the Closed-End Fund Industry 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