Paper: You play… we play

qfcpapers

When Banks Strategically React to Regulation: Market Concentration as a Moderator for Stability Minimum capital requirement regulation forces banks to refund a substantial amount of their investments with equity. This creates a buffer against losses, but also increases the cost of funding. If higher refunding costs translate into higher loan interest rates, then borrowers are likely...+

Paper: Google Trends, para predecir

qfcpapers

Predicting financial markets with Google Trends and not so random keywords We check the claims that data from Google Trends contain enough data to predict future financial index returns. We first discuss the many subtle (and less subtle) biases that may affect the backtest of a trading strategy, particularly when based on such data. Expectedly,...+

Paper: Hay lugar para humanos en las finanzas de ahora?

qfcpapers

The New Investor Abstract: A sea change is happening in finance. Machines appear to be on the rise and humans on the decline. Human endeavors have become unmanned endeavors. Human thought and human deliberation have been replaced by computerized analysis and mathematical models. Technological advances have made finance faster, larger, more global, more interconnected, and...+

Paper: Siempre fue el NYSE?

qfcpapers

COMPETITION AMONG THE EXCHANGES BEFORE THE SEC: WAS THE NYSE A NATURAL HEGEMON? ABSTRACT Improved information technology and higher volume should drive orders to be concentrated in one market, lowering the costs of transactions. However, the opposite occurred during the bull market of the 1920s when rapid technological change spawned a flood of new issues. This paper employs newly...+

Paper: Repensando la iliquidez

qfcpapers

Illiquid Asset Investing Abstract: After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio choice models incorporating illiquidity risk recommend only modest holdings...+