The Bank of Canada has released a working paper by Fousseni Chabi-Yo and Jun Yang titled Idiosyncratic Coskewness and Equity Return Anomalies: In this paper, we show that in a model where investors have heterogeneous …
Search Results for: performance
May 10, 2010
We can expect regulators, polititicans and the media to trumpet the latest Economist piece on Canada … but how many will quote from the last two paragraphs? How much of the Canadian model can, or …
May 7, 2010
Market fragmentation is being suggested as the cause of yesterday’s bungee jump: Federal regulators reviewing yesterday’s stock plunge will try to determine if the fivefold increase in the number of American equity exchanges has left …
May 6, 2010
More fun at Club Med? Greek bond yields yesterday rose above their level before the government agreed on a European Union-led bailout on May 2 as escalating protests cast doubt on its ability to drive …
May 5, 2010
Agreement has been reached on the US too-big-to-fail fund: The deal would eliminate a proposed industry-paid $50 billion fund to cover the government’s costs of liquidating a failing financial firm, Dodd said today in an …
May 4, 2010
The Volcker Rule is costing Citigroup some employees: [Citigroup prop trader Jay] Glasser, 53, who was based in New York and specializes in derivative and currency trades linked to Japanese interest rates, generated an average …
May 3, 2010
This one will cause some angst for the bubble-gum crowd: Warren Buffett, the Wall Street critic who invested $5 billion in Goldman Sachs Group Inc., said he supports the bank’s Chief Executive Officer Lloyd Blankfein …
MAPF Portfolio Composition: April 2010
Turnover was very low in April at about 10%. The current decline in the number trading opportunities is annoying, but one of the great constants in financial markets is a demand for liquidity and the …
Best & Worst Performers: April 2010
These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices. April 2010 Issue Index DBRS Rating …
April 30, 2010
I can’t resist picking on Basis Yield Alpha Fund (discussed yesterday; it’s crying about having bought Timberwolf notes from Goldman) a little bit more. It was among the earliest crunch casualties: [2007-08-28] Basis Yield Alpha …