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    The Securities and Exchange Commission today announced that an accounting firm and one of its partners who conducted surprise examinations of client assets at an investment adviser have agreed to settle charges that they performed inadequately as the adviser’s president secretly stole money from accounts belonging to professional athletes.read more...

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    The European Securities and Markets Authority (ESMA) has published today the results of its first EU-wide stress test exercise regarding Central Counterparties (CCPs). The exercise is aimed at assessing the resilience and safety of the European CCP sector as well as to identify possible vulnerabilities. The results of the test shows that the system of EU CCPs can overall be assessed as resilient to the stress scenarios used to model extreme but plausible market developments.read more...

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    Click here to download the weekly statistics update of TOM MTF for week 17, 2016. In week 17 a total of 332,306 equity and index option contracts were traded resulting in a TOM MTF market share versus Euronext of 39%

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    For attention of all market participants,read more...

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    Borsa Ä°stanbul VIOP derivatives contracts was placed among the top 10 in the world, as the most liquid currency and index futures contracts, according to the “WFE/IOMA 2015 Derivatives Market Review” prepared by World Federation of Exchanges (WFE) and International Options Market Association (IOMA). WFE/IOMA 2015 Derivatives Market Review evaluates global derivatives markets and shares broad indicators on derivatives products being traded in organized markets.Borsa Ä°stanbul USD/TRY Futures contracts was placed 9th among the most liquid currency futures contracts in the world and BIST30 Index Futures was placed as 8th among the most liquid index futures contracts in the world. The reports’ above mentioned high level placement of Borsa Ä°stanbul VIOP derivatives contracts is noteworthy as an indicator of the importance of Turkish derivatives markets in the world.

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    Download this month's dashboardread more...

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  • 04/29/16--12:09: European CCPs Stand The Test
  • The European Association of CCP Clearing Houses (EACH) welcomes the results of ESMA’s ‘EU-wide CCP Stress test 2015’. read more...

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    The current reports for the week of April 26, 2016 are now available.read more...

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    1. The Siren Song of Factor Timing by Clifford Asness (AQR Capital Management, LLC)read more...

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    The U.S. Department of the Treasury today released a report on the Foreign Exchange Policies of Major Trading Partners of the United States.  This updated report reviews developments in international economic and exchange rate policies and is submitted to Congress pursuant to the Omnibus Trade and Competitiveness Act of 1988, 22 U.S.C. § 5305 and Section 701 of the Trade Facilitation and Trade Enforcement Act of 2015.   This Report is the first to implement the new provisions of the Trade Facilitation and Trade Enforcement Act of 2015, also known as the Customs Bill.  The provisions of the Act provide the United States with valuable new reporting and monitoring tools, as well as new measures to address unfair currency practices.  These new tools significantly enhance Treasury’s ability to undertake a data-driven, objective analysis of a country’s foreign exchange policies and their impact on bilateral trade with the United States and the broader multilateral trade position.  The Report also describes the factors Treasury used to assess, under the Act, whether a country that is a major trading partner of the United States has: (1) a significant bilateral trade surplus with the United States, (2) a material current account surplus, and (3) engaged in persistent one-sided intervention in the foreign exchange market.   The Report highlights that, underpinned by robust job creation and resilient domestic demand, the U.S. economy grew at a solid pace of 2.4 percent in 2015.  Outside of the United States, growth in other advanced economies was more disappointing and emerging market economies are facing significant headwinds from low commodity prices, weak trade growth, and internal cyclical dynamics.  Most projections for 2016 point to the continuation of modest growth abroad.    Based on the new tools provided under the Act, this report also establishes a new “Monitoring List” which finds that five major trading partners of the United States – China, Japan, Korea, Taiwan, and Germany – met two of the three criteria for enhanced analysis.   No economy currently meets all three criteria.  Accordingly, Treasury is not undertaking enhanced analysis for any country.    The Report notes that China has both a significant bilateral trade surplus with the United States and a material current account surplus.  China has intervened heavily in the foreign exchange markets in recent months to support the RMB, after strong downward market pressure triggered by a surprise change in China’s foreign exchange policy last August.  More clarity over exchange rate goals would help to stabilize the market.        The Report points to Japan’s significant bilateral trade surplus with the United States and material current account surplus.  Japan has not intervened in the foreign exchange market in over four years.  Treasury assesses that current conditions in the dollar-yen foreign exchange market are orderly, and reiterates the importance of all countries adhering to their G-20 and G-7 commitments regarding exchange rate policies.      Korea has a significant bilateral trade surplus with the United States and a material current account surplus.  Treasury estimates that during the second half of 2015 through March 2016, the Korean authorities intervened to resist depreciation of the won during periods of financial market turbulence, representing a shift from several years of asymmetric intervention to resist appreciation.  The report urges Korea to limit its foreign exchange intervention only to circumstances of disorderly market conditions and to increase the transparency of its foreign exchange operations.    Taiwan has a material current account surplus and, per Treasury estimates, has engaged in persistent net foreign currency purchases through most of 2015.  The Report calls on the authorities to limit foreign exchange interventions to the exceptional circumstances of disorderly market conditions, as well as increase the transparency of reserve holdings and foreign exchange market intervention.   Germany has both a significant bilateral trade surplus with the United States and a material current account surplus.  Germany has the second largest current account surplus globally which represents substantial excess saving—more than 8 percent of GDP—that could, at least in part, be used to support German domestic demand.   Treasury will closely monitor and assess the economic trends and foreign exchange policies of the economies on the Monitoring List.    Based on the analysis in this report, the Treasury Department has also concluded that no major trading partner of the United States met the standard of manipulating the rate of exchange between its currency and the United States dollar for purposes of preventing effective balance of payments adjustments or gaining unfair competitive advantage in international trade as identified in Section 3004 of the Act during the period covered in the Report.    The Report underscores the essential importance of comprehensive adherence to all G-7, G-20 and International Monetary Fund exchange rate commitments.  These include the G-7 commitments to orient fiscal and monetary policies towards domestic objectives using domestic instruments and to not target exchange rates, and that economies should use all available policy tools to boost demand.  In February 2016 and again in April, the G-20 Finance Ministers and Central Bank Governors endorsed this view, stating that G-20 countries “will use all policy tools—monetary, fiscal and structural—individually and collectively” to foster confidence and preserve and strengthen the recovery.    The full report, along with past reports, is available here.  

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    Planning a Successful Future empowers advisors and clients to take control of their money and manage their income to achieve their financial goals. Written by the father of fee-only financial planning, this book features real-life stories and examples from over three decades in the industry to illustrate how financial planning works and the best way to create your strategyread more...

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    Wiley Not-for-Profit GAAP 2016 is a thorough examination of the authoritative standards for measurement, presentation and disclosure as applied to not-for-profit organizations. Due to these organizations' unique characteristics, not-for-profit accountants must adhere to specific Generally Accepted Accounting Principles (GAAP). These requirements are complex and ever evolvingread more...

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    In his debut book on trading psychology, Inside the Investor’s Brain, Rich­ard Peterson demonstrated how managing emotions helps top investors outperform. Now, in Trading on Sentiment, he takes you inside the science of crowd psychol­ogy and demonstrates that not only do price patterns exist, but the most predictable ones are rooted in our shared human nature.read more...

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    We estimate growth rates of real incomes in the U.S. by quintiles using the Congressional Budget Office's (CBO) post-tax, post-transfer data as basis for the period 1979-2011. We improve upon them by including only the present value of earnings that will accrue in retirement and excluding items included in the CBO income estimates such as "corporate taxes borne by labor" that do not increase either current purchasing power or utility. We estimate a high and a low growth rate using two price indexes, the CPI and the Personal Consumption Expenditure index. The major consistent findings include what in the colloquial is referred to as the "hollowing out" of the middle class. According to these estimates, the income of the middle class 2nd and 3rd quintiles increased at a rate of between 0.1% and 0.7% per annum, i.e., barely distinguishable from zero. Even that meager rate was achieved only through substantial transfer payments. In contrast, the income of the top 1% grew at an astronomical rate of between 3.4% and 3.9% per annum during the 32-year period, reaching an average annual value of $918,000, up from $281,000 in 1979 (in 2011 dollars). Hence, the post-tax, post-transfer income of the 1% relative to the 1st quintile increased from a factor of 21 in 1979 to a factor of 51 in 2011. However, income of no other group increased substantially relative to that of the lowest quintile. Oddly, the income of even those in the 96-99 percentiles increased only from a multiple of 8.1 to a multiple of 11.3. We next estimate growth in welfare assuming diminishing marginal utility of income. A logarithmic utility function yields a growth in welfare for the middle class of roughly 0.01% to 0.07% per annum, which is indistinguishable from zero. With interdependent utility functions only the welfare of the 5th quintile experienced meaningful growth while those of the first four quintiles tend to be either negligible or even negative.

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    Safe assets play a critical role in an(y) economy. A "safe asset" is an asset that is (almost always) valued at face value without expensive and prolonged analysis. That is, by design there is no benefit to producing (private) information about its value. And this is common knowledge. Consequently, agents need not fear adverse selection when buying or selling safe assets. Safe assets can easily be used to exchange for goods or services or to exchange for another asset. These short-term safe assets are money or money-like. A long-term safe asset can store value over time or be used as collateral. Human history can be written in terms of the search for and production of safe assets. But, the most prevalent, privately-produced short-term safe assets--bank debt, are subject to runs and this has important implications for macroeconomics and for monetary policy.

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    We examine individual stock sales from 2008 to 2009 using population tax return data. The share of sales by the top 0.1 percent of income recipients and other top income groups rose sharply following the Lehman Brothers bankruptcy and remained elevated throughout the financial crisis. Sales by top income and older age groups were relatively more responsive to increased stock market volatility. Volatility-driven sales were not concentrated in any one sector, but mutual fund sales responded more strongly to increased volatility than stock sales. Additional analysis suggests that gross sales in tax return data are informative about unobserved net sales.

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    Managed portfolios that take less risk when volatility is high produce large, positive alphas and increase factor Sharpe ratios by substantial amounts. We document this fact for the market, value, momentum, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Our portfolio timing strategies are simple to implement in real time and are contrary to conventional wisdom because volatility tends to be high after the onset of recessions and crises when selling is typically viewed as a mistake. Instead, our strategy earns high average returns while taking less risk in recessions. We study the portfolio choice implications of these results. We find volatility timing provides large utility gains to a mean variance investor, with increases in lifetime utility ranging from 50-90%. Contrary to conventional wisdom, we show that long horizon investors can benefit from volatility timing even when time-variation in volatility is completely driven by discount rate volatility.

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    This paper analyzes the long-term consequences of teacher discretion in grading of high-stakes tests. Evidence is currently lacking, both on which students receive test score manipulation and on whether such manipulation has any real, long-term consequences. We document extensive test score manipulation of Swedish nationwide math tests taken in the last year before high school, by showing significant bunching in the distribution of test scores above discrete grade cutoffs. We find that teachers use their discretion to adjust the test scores of students who have "a bad test day," but that they do not discriminate based on gender or immigration status. We then develop a Wald estimator that allows us to harness quasi-experimental variation in whether a student receives test score manipulation to identify its effect on students' longer-term outcomes. Despite the fact that test score manipulation does not, per se, raise human capital, it has far-reaching consequences for the beneficiaries, raising their grades in future classes, high school graduation rates, and college initiation rates; lowering teen birth rates; and raising earnings at age 23. The mechanism at play suggests important dynamic complementarities: Getting a higher grade on the test serves as an immediate signaling mechanism within the educational system, motivating students and potentially teachers; this, in turn, raises human capital; and the combination of higher effort and higher human capital ultimately generates substantial labor market gains. This highlights that a higher grade may not primarily have a signaling value in the labor market, but within the educational system itself.

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