Tangerine Investment Funds Simplified Prospectus
... in securities that are included in the index through optimization-based technology that creates a portfolio with overall risk/return characteristics as close as possible to the index. For further information on the optimization-based technology, please refer to the discussion under the heading Index ...
... in securities that are included in the index through optimization-based technology that creates a portfolio with overall risk/return characteristics as close as possible to the index. For further information on the optimization-based technology, please refer to the discussion under the heading Index ...
ESSAYS ON DETERMINANTS OF FINANCIAL BEHAVIOR OF
... This thesis investigates the role of individual-specific factors in individuals’ financial behavior. The main focus of the analysis is on two characteristics of individuals: risk attitude and gender. Although these two factors are believed to be important determinants of financial behavior, a review ...
... This thesis investigates the role of individual-specific factors in individuals’ financial behavior. The main focus of the analysis is on two characteristics of individuals: risk attitude and gender. Although these two factors are believed to be important determinants of financial behavior, a review ...
How to Invest in the U.S. Overall Market?
... This means that holders of these shares can only sell their part to other investors via brokers at prices that probably differ from NAV. The number of shares outstanding for mutual funds will change on a daily basis, whereas this is not the case for closed-end funds. Therefore, closed-end funds coul ...
... This means that holders of these shares can only sell their part to other investors via brokers at prices that probably differ from NAV. The number of shares outstanding for mutual funds will change on a daily basis, whereas this is not the case for closed-end funds. Therefore, closed-end funds coul ...
Successful Activist Board Engagement
... viewed the two-tier trigger structure as “discriminatory” — differentiating between activist and passive investors — the court found that Sotheby’s had a reasonable basis to believe that Third Point posed a threat of exercising disproportionate control and influence over major decisions. The court ...
... viewed the two-tier trigger structure as “discriminatory” — differentiating between activist and passive investors — the court found that Sotheby’s had a reasonable basis to believe that Third Point posed a threat of exercising disproportionate control and influence over major decisions. The court ...
Revisiting Asset Pricing under Habit Formation in an Overlapping
... and Prescott (1985) model propose alternative assumptions about preference (Constantinides 1990; Abel 1990; Epstein and Zin 1991; Meyer and Meyer 2005; Giordani and Söderlind 2006), disaster states and survivorship bias (Reitz 1988; Brown, Goetzmann and Ross 1995; Barro 2006), incomplete markets (Co ...
... and Prescott (1985) model propose alternative assumptions about preference (Constantinides 1990; Abel 1990; Epstein and Zin 1991; Meyer and Meyer 2005; Giordani and Söderlind 2006), disaster states and survivorship bias (Reitz 1988; Brown, Goetzmann and Ross 1995; Barro 2006), incomplete markets (Co ...
Lehman Brothers Bankruptcy B - Risk Limits and Stress Tests
... Source: Lehman Market Risk Management 2008; Examiner’s Report; Antoncic ...
... Source: Lehman Market Risk Management 2008; Examiner’s Report; Antoncic ...
VIX® as a stock market sentiment indicator
... studying the past market data. When the market is relatively volatile, jump activity occurs in the stock curves and large discontinuous jumps in the SPX are expected. (Becker et al. 2009, p.1035). VIX reflects the concern about the stock market rather than an estimate of future volatility. This impl ...
... studying the past market data. When the market is relatively volatile, jump activity occurs in the stock curves and large discontinuous jumps in the SPX are expected. (Becker et al. 2009, p.1035). VIX reflects the concern about the stock market rather than an estimate of future volatility. This impl ...
HFRX Hedge Fund Indices Methodology
... fees is the returns net of all fees (0=yes, 1=no) AUM is the firm assets in USD$MM t=0 is the rebalance month n=total number of months reported freq is the reporting frequency (12=monthly, 4=quarterly) ISO is the reporting currency SA indicates the fund is open to transparency screening through sepa ...
... fees is the returns net of all fees (0=yes, 1=no) AUM is the firm assets in USD$MM t=0 is the rebalance month n=total number of months reported freq is the reporting frequency (12=monthly, 4=quarterly) ISO is the reporting currency SA indicates the fund is open to transparency screening through sepa ...
Margin Credit and Stock Return Predictability
... Consistent with our hypothesis of an inverse relationship between margin credit and future returns, we find that a one standard-deviation increase in MC predicts that the next month’s market return would be lower by 1.1 percentage point. MC generates an in-sample R2 value of 6.25% for next month’s r ...
... Consistent with our hypothesis of an inverse relationship between margin credit and future returns, we find that a one standard-deviation increase in MC predicts that the next month’s market return would be lower by 1.1 percentage point. MC generates an in-sample R2 value of 6.25% for next month’s r ...
Essays on the Forecasting Power of Implied Volatility
... In theory, if Black-Scholes is the correct option-pricing model, we should observe the same volatility for all European options with the same exercise price and time to maturity. But in reality, due to either Black-Scholes not being the correct model or to the existence of market frictions and meas ...
... In theory, if Black-Scholes is the correct option-pricing model, we should observe the same volatility for all European options with the same exercise price and time to maturity. But in reality, due to either Black-Scholes not being the correct model or to the existence of market frictions and meas ...
Class Materials - Washington Bankers 2013
... The strategic financial goal for non-earning assets should be for normal times. XYZ management feels recent levels of non-earning assets are higher than normal as a result of asset-quality problems. Therefore they set a lower SFG. Annual goals for non-earning assets/assets should consider how fast t ...
... The strategic financial goal for non-earning assets should be for normal times. XYZ management feels recent levels of non-earning assets are higher than normal as a result of asset-quality problems. Therefore they set a lower SFG. Annual goals for non-earning assets/assets should consider how fast t ...
Sample selection bias, return moments, and the performance of
... and French (1993). The Fama-French dataset finds that all of the 13 “1/N outperformers” outperform the 1/N portfolio in terms of Sharpe ratio and certainty-equivalent (CEQ) return. However, a performance comparison based on a large number of datasets shows the opposite result. Each portfolio strate ...
... and French (1993). The Fama-French dataset finds that all of the 13 “1/N outperformers” outperform the 1/N portfolio in terms of Sharpe ratio and certainty-equivalent (CEQ) return. However, a performance comparison based on a large number of datasets shows the opposite result. Each portfolio strate ...
The Market for Corporate Control
... replaced after takeovers lose power, prestige and the value of organizationspecific human capital, they have incentives to oppose a takeover bid even though shareholders might benefit substantially from acquisition. However, management opposition to a takeover bid will benefit stockholders if it lea ...
... replaced after takeovers lose power, prestige and the value of organizationspecific human capital, they have incentives to oppose a takeover bid even though shareholders might benefit substantially from acquisition. However, management opposition to a takeover bid will benefit stockholders if it lea ...
Adopting Enterprise Risk Management (ERM) in high
... Of course, ERM does not lend itself to a ‘one size fits all’ approach. A global multi-line insurer needs a much more sophisticated ERM programme than a niche player who only operates in one line of business and one country. Also, there is a direct link between risk management and capitalisation. A c ...
... Of course, ERM does not lend itself to a ‘one size fits all’ approach. A global multi-line insurer needs a much more sophisticated ERM programme than a niche player who only operates in one line of business and one country. Also, there is a direct link between risk management and capitalisation. A c ...
Collateral Valuation In Clearing And Settlement System:
... important for clearing and settlement system because default risk is likely to be high during an extreme event. That is, the counterparty is likely to default when the asset price largely declines. Garcia and Gencay (2006) propose an alternative approach for haircut valuation based on a VaR measure ...
... important for clearing and settlement system because default risk is likely to be high during an extreme event. That is, the counterparty is likely to default when the asset price largely declines. Garcia and Gencay (2006) propose an alternative approach for haircut valuation based on a VaR measure ...
The Effect of Debt on the Cost of Equity in a Regulatory Setting
... equity. Figure 2 illustrates this point for debt-equity ratios of 0-100, 25-75, 50-50, and 75-25. Higher risk means a higher required rate of return, so the cost of equity goes up at an ever increasing rate as a company adds debt, which offsets the cheaper cost of debt. In short, there is no magic i ...
... equity. Figure 2 illustrates this point for debt-equity ratios of 0-100, 25-75, 50-50, and 75-25. Higher risk means a higher required rate of return, so the cost of equity goes up at an ever increasing rate as a company adds debt, which offsets the cheaper cost of debt. In short, there is no magic i ...
The Unintended Consequences of Banning Derivatives in Asset Management Alessandro Beber, Cass Business School Christophe Pérignon, HEC Paris
... A derivative is a financial instrument that has its value based upon another financial or economic variable. Popular types of derivatives include forwards, futures, options, warrants, swaps, credit derivatives, and structured products. These different types of derivatives are written on, respecti ...
... A derivative is a financial instrument that has its value based upon another financial or economic variable. Popular types of derivatives include forwards, futures, options, warrants, swaps, credit derivatives, and structured products. These different types of derivatives are written on, respecti ...
stress testing by large financial institutions
... critical tool for tracking the riskiness of a firm’s portfolio on a day-to-day level, and for assessing the risk-adjusted performance of individual business units. However, VaR has been found to be of limited use in measuring firms’ exposures to extreme market events. This is because, by definition, ...
... critical tool for tracking the riskiness of a firm’s portfolio on a day-to-day level, and for assessing the risk-adjusted performance of individual business units. However, VaR has been found to be of limited use in measuring firms’ exposures to extreme market events. This is because, by definition, ...
The Valuation of Collateralised Debt Obligations - DORAS
... o f the market includes approximately 34,000 publicly quoted firms worldwide compared to the 500 or so for which an active CDS market exists. It is estimated that the debt issuance by these 34,000 firms exceeds that o f the top 500 issuers. It comprises, in the main, privately issued debt, provided ...
... o f the market includes approximately 34,000 publicly quoted firms worldwide compared to the 500 or so for which an active CDS market exists. It is estimated that the debt issuance by these 34,000 firms exceeds that o f the top 500 issuers. It comprises, in the main, privately issued debt, provided ...
A common risk classification system for the Actuarial Profession
... Risk classification relates to how an organisation defines the risks it faces. Coherent classification is essential to Enterprise Risk Management (ERM), as ambiguity will lead to confused reporting and management of risk (see Section 2.7 of the International Actuarial Associations Practice Note on E ...
... Risk classification relates to how an organisation defines the risks it faces. Coherent classification is essential to Enterprise Risk Management (ERM), as ambiguity will lead to confused reporting and management of risk (see Section 2.7 of the International Actuarial Associations Practice Note on E ...
Do Stocks with Dividends Outperform the Market during Recessions?
... experienced significant earnings increases in years -1 and 0, but showed no subsequent unexpected earnings. As well, the size of the dividend increase did not predict future earnings. Naranjo, Nimalendran, and Ryngaert’s (1998) study, using an improved measure of a common stock’s annualized dividen ...
... experienced significant earnings increases in years -1 and 0, but showed no subsequent unexpected earnings. As well, the size of the dividend increase did not predict future earnings. Naranjo, Nimalendran, and Ryngaert’s (1998) study, using an improved measure of a common stock’s annualized dividen ...
The Impact of Derivatives on Cash Markets: What Have We
... intertemporal reallocation made possible by storage generates trading activity that more properly may be viewed as inventory management, as opposed to speculation. If there are random shocks, however, then the act of buying and storing an asset is inherently risky. In the absence of a futures market ...
... intertemporal reallocation made possible by storage generates trading activity that more properly may be viewed as inventory management, as opposed to speculation. If there are random shocks, however, then the act of buying and storing an asset is inherently risky. In the absence of a futures market ...
Valuation: Part I Discounted Cash Flow Valuation
... While risk is usually defined in terms of the variance of actual returns around an expected return, risk and return models in finance assume that the risk that should be rewarded (and thus built into the discount rate) in valuation should be the risk perceived by the marginal investor in the investm ...
... While risk is usually defined in terms of the variance of actual returns around an expected return, risk and return models in finance assume that the risk that should be rewarded (and thus built into the discount rate) in valuation should be the risk perceived by the marginal investor in the investm ...
Diversification Preferences in the Theory of
... P. Diversification across two equivalently ranked risky assets x and y is then expressed by the state-wise convex combination α x(ω) + (1 − α) y(ω) for P-almost all ω ∈ Ω and α ∈ [0, 1]. In this context, preference for diversification means that an investor would prefer to allocate a fraction α to ...
... P. Diversification across two equivalently ranked risky assets x and y is then expressed by the state-wise convex combination α x(ω) + (1 − α) y(ω) for P-almost all ω ∈ Ω and α ∈ [0, 1]. In this context, preference for diversification means that an investor would prefer to allocate a fraction α to ...
The Information Content of Options Trading
... Several of the prior studies (for example, Richards, 2005) have found that abnormal positive returns in the TWSE are associated with foreign inflows, whilst Barber et al. (2006) went on to use TWSE transaction data to demonstrate that individual investors were the main losers, and foreign instituti ...
... Several of the prior studies (for example, Richards, 2005) have found that abnormal positive returns in the TWSE are associated with foreign inflows, whilst Barber et al. (2006) went on to use TWSE transaction data to demonstrate that individual investors were the main losers, and foreign instituti ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.