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Thursday, December 29

29th Dec - Back to School

Just when I was writing this post the SSRN went down until Friday 12pm ET.

Do (Some) University Endowments Earn Alpha?SSRN

Adjustment patterns to commodity terms of trade shocks: the role of exchange rate and international reserves policiesNBER
Research review - Forecasting: What Have We Learned?The Capital Spectator
Predicting Recessions: A New Approach for Identifying Leading Indicators and Forecast Combinations · Predicting the Small Stock Premium Over Different Horizons: What Do We Learn About its Source? · Forecasting Bond Risk Premia Using Technical Indicators · Analysts’ Earnings Forecast, Recommendation and Target Price Revisions · Do Stock Prices Influence Analysts’ Earnings Forecasts? · How Does the FOMC Learn About Economic Revolutions? Evidence from the New Economy Era, 1994-2001 · The Wisdom of Competitive Crowds · Do Commodity Futures Help Forecast Spot Prices? · Forecasting the Price of Oil

International Contagion Through Leveraged Financial InstitutionsNBER
The paper highlights what the various transmission mechanisms associated with balance sheet losses are, how they operate, what their magnitudes are and what the role is of different types of borrowing constraints faced by leveraged institutions. For realistic parameters we find that the model cannot account for the global nature of the crisis, both in terms of the size of the impact and the extent of transmission.

Global Macroeconomic and Financial Supervision: Where Next?NBER
The overriding practical problem now is the tension between the global financial and market system and the national political and power structures. The main analytical short-coming lies in the failure to incorporate financial frictions, especially default, into our macro-economic models. Neither a move to a global sovereign authority, nor a reversion towards narrower economic nationalism, seems likely to take place in the near future. Meanwhile, the adjustment to economic imbalances remains asymmetric, with almost all the pressure on deficit countries. Almost by definition surplus countries are “virtuous”. But current account surpluses have to be matched by net capital outflows. Such capital flows to weaker deficit countries have often had unattractive returns. A program to give earlier and greater warnings of the risks of investing in deficit countries could lead to earlier policy reaction, and reduce the risk of crisis.

Return Decomposition via MixingQuantivity

Long-Term Dependency and Average Return Forecast Under MMAR (Multifractal Model of Asset Returns)SSRN

The Microstructure of the TIPS MarketSSRN

Periodic Value at RiskSSRN
Liquidity and Asset Pricing: Evidence from the Hong Kong Stock MarketSSRN

Multi Strategy Asset Allocation (MSAA) - New Concepts for Institutional Asset Management
Part 1 – A Primer on MSAASSRN