This paper estimates how the marginal propensity to consume (MPC) varies over the business cycle by exploiting exogenous variation in credit card borrowing limits. Ten years after an individual declares Chapter 7 bankruptcy, the record of the bankruptcy is removed from her credit report, generating an immediate and persistent increase in credit score. We study the effects of "bankruptcy flag" removal using a sample of over 160,000 bankruptcy filers whose flags were removed between 2004 and 2011. We document that in the year following flag removal, credit card limits increase by $780 and credit card balances increase by roughly $290, implying an "MPC out of liquidity" of 0.37. We find a significantly higher MPC during the Great Recession, with an average MPC roughly 20-30 percent larger between 2007 and 2009 compared to surrounding years. We find no evidence that the counter-cyclical variation in the average MPC is accounted for by compositional changes or by changes over time in the supply of credit following bankruptcy flag removal. These results are consistent with models where liquidity constraints bind more frequently during recessions.
The Marginal Propensity to Consume Over the Business Cycle -- by Tal Gross, Matthew J. Notowidigdo, Jialan Wang
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Family Descent as a Signal of Managerial Quality: Evidence from Mutual Funds -- by Oleg Chuprinin, Denis Sosyura
We study the relation between mutual fund managers' family backgrounds and their professional performance. Using hand-collected data from individual Census records on the wealth and income of managers' parents, we find that managers from poor families deliver higher alphas than managers from rich families. This result is robust to alternative measures of fund performance, such as benchmark-adjusted return and value extracted from capital markets. We argue that managers born poor face higher entry barriers into asset management, and only the most skilled succeed. Consistent with this view, managers born rich are more likely to be promoted, while those born poor are promoted only if they outperform. Overall, we establish the first link between family descent of investment professionals and their ability to create value.
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IIROC Consolidated Enforcement Rules Take Effect September 1
The Investment Industry Regulatory Organization of Canada's (IIROC's)new Consolidated Rules, approved earlier this year by the Canadian Securities Administrators, will take effectSeptember 1, 2016.
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SIFMA Statement On SEC MCDC Enforcement Action
SIFMA today released the following statement from Kenneth E. Bentsen, Jr., president and CEO of SIFMA, on the MCDC enforcement action announced today by the Securities and Exchange Commission:
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CBOE Risk Management Conference Europe 2016 - CBOE To Host 5th Annual CBOE RMC Europe September 26 - 28, 2016 In County Wicklow, Ireland
Chicago Board Options Exchange® (CBOE®) will host the 5th annual CBOE Risk Management Conference (RMC) Europe, Monday, September 26 through Wednesday, September 28, 2016, at the Powerscourt Hotel in County Wicklow, Ireland.
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CFTC Swaps Report Update
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NZ Milk Futures Hits Milestone, Price Rise Rrives Activity
NZX’s NZ milk price futures contract reached a new milestone on Wednesday, with more than 10 million kilograms of milk solids (kg/ms) traded since the product launched less than three months ago.
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Latency arbitrage: what exactly is the arbitrage mechanism?
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Fractal approach towards power-law coherency to measure cross-correlations between time series. (arXiv:1608.06781v1 [q-fin.ST])
We focus on power-law coherency as an alternative approach towards studying power-law cross-correlations between simultaneously recorded time series. To be able to study empirical data, we introduce three estimators of the power-law coherency parameter $H_{\rho}$ based on popular techniques usually utilized for studying power-law cross-correlations -- detrended cross-correlation analysis (DCCA), detrending moving-average cross-correlation analysis (DMCA) and height cross-correlation analysis (HXA). In the finite sample properties study, we focus on the bias, variance and mean squared error of the estimators. We find that the DMCA-based method is the safest choice among the three. The HXA method is reasonable for long time series with at least $10^4$ observations, which can be easily attainable in some disciplines but problematic in others. The DCCA-based method does not provide favorable properties which even deteriorate with an increasing time series length. The paper opens a new venue towards studying cross-correlations between time series.
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How to Measure Anything in Cybersecurity Risk
How to Measure Anything in Cybersecurity Risk exposes the shortcomings of current "risk management" practices, and offers a series of improvement techniques that help you fill the holes and ramp up security. In his bestselling book How to Measure Anything, author Douglas W. Hubbard opened the business world's eyes to the critical need for better measurement. This book expands
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2016 Valuation Handbook Industry Cost of Capital + Quarterly PDF Updates (Set)
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The Respectful Leader: Seven Ways to Influence Without Intimidation
The Respectful Leader presents an engaging, thought-provoking lesson for companies seeking off-the-charts performance. Author Gregg Ward draws on 25 years of leadership consulting, coaching and training experience to reveal the secret to great results: respect. In this true-to-life business fable, he shares the story of Des Hogan, a CEO who discovers that disrespectful behavior on the part of his
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2016 Valuation Handbook: Guide to Cost of Capital + Quarterly PDF Updates (Set)
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2016 International Valuation Handbook Guide to Cost of Capital + Semiannual PDF Update (Set)
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Pricing Done Right: The Pricing Framework Proven Successful by the World's Most Profitable Companies
Pricing Done Right provides a cutting-edge framework for value-based pricing and clear guidance on ideation, implementation, and execution. More action plan than primer, this book introduces a holistic strategy for ensuring on-target pricing by shifting the conversation from 'What is value-based pricing?' to 'How can we ensure that our pricing reflects our goals?' You'll
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Trading Binary Options: Strategies and Tactics, 2nd Edition
Trading Binary Options is a strategic primer on effectively navigating this fast-growing segment. With clear explanations and a practical perspective, this authoritative guide shows you how binaries work, the strategies that bring out their strengths, how to integrate them into your current strategies, and much more. This updated second edition includes new coverage
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The First Two Rules of Leadership: Don't be Stupid, Don't be a Jerk
How can you improve your leadership results beginning right now? The First Two Rules of Leadership: Don't be Stupid, Don't be a Jerk provides a clear path to increased results and higher job satisfaction for the leader and the people he is leading. Written for the leader who wants to do great things, but is overwhelmed with the complexities of leading, it is a book with a very simple message: think your
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Nasdaq Announces Mid-Month Open Short Interest Positions In Nasdaq Stocks As Of Settlement Date August 15, 2016
At the end of the settlement date of August 15, 2016, short interest in 2,334 Nasdaq Global MarketSM securities totaled 7,501,329,605 shares compared with 7,662,477,758 shares in 2,335 Global Market issues reported for the prior settlement date of July 29, 2016. The mid-August short interest represents 4.37 days average daily Nasdaq Global Market share volume for the reporting period, compared with 5.06 days for the prior reporting period.
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NYSE, NYSE ARCA And NYSE MKT Short Interest Reports
NYSE today reported short interest as of the close of business on the settlement date of August 15, 2016.
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Shenzhen Stock Exchange Market Bulletin 22 August , 2016, Issue 29
The CSRC, SFC issued a joint announcement on 16 August, 2016, approving in principle the establishment of mutual stock market access between Shenzhen and Hong Kong. According to a person in charge with SZSE, the joint announcement specifies the scope of eligible shares included in Shenzhen-Hong Kong Stock Connect. The eligible shares are listed on the Main Board, SME Board and ChiNext Market and represent China’s emerging industries, highlighting high-growth market feature and offering expanded investment opportunities for both domestic and overseas investors. In order to ensure the smooth launch and safe operation of Shenzhen-Hong Kong Stock Connect, SZSE will make careful preparations, actively carry out lawful, strict and comprehensive supervision, strengthen market surveillance, prevent risks associated with cross-border speculations, crack down on irregularities and violations such as market manipulation, and enhance relevant risks disclosure and promoting investor education.
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