Measuring Historical Volatility
... parameter. While sophisticated volatility estimation procedures, such as GARCH, are popular among finance researchers, these require econometrics software which is difficult for the average undergraduate student or casual options trader to obtain or master so have not found their way into most deriv ...
... parameter. While sophisticated volatility estimation procedures, such as GARCH, are popular among finance researchers, these require econometrics software which is difficult for the average undergraduate student or casual options trader to obtain or master so have not found their way into most deriv ...
Taste, information, and asset prices: Implications for the valuation of
... necessarily investors and, as such, they do not model a capital market or pricing mechanism explicitly. In contrast, we focus on a capital market setting with symmetric information to show how information a¤ects returns and share holdings when some investors, while rational, gain utility from CSR (e ...
... necessarily investors and, as such, they do not model a capital market or pricing mechanism explicitly. In contrast, we focus on a capital market setting with symmetric information to show how information a¤ects returns and share holdings when some investors, while rational, gain utility from CSR (e ...
Wespath`s Hedge Fund Strategy— The Path Not Followed
... evaluates the correlation of a return series for an asset with the ...
... evaluates the correlation of a return series for an asset with the ...
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... default probability is often measured as the probability of an agent’s asset value falling below a threshold point, say total debt (Crouhy and Galai 1986, Crouhy et al. 2000, Gordy and Heitfield 2001). Default correlation is then determined by each agent’s probability of default and joint default fo ...
... default probability is often measured as the probability of an agent’s asset value falling below a threshold point, say total debt (Crouhy and Galai 1986, Crouhy et al. 2000, Gordy and Heitfield 2001). Default correlation is then determined by each agent’s probability of default and joint default fo ...
Bad News Travels Slowly: Size, Analyst Coverage
... costs of information acquisition, and hence choose in the aggregate to devote more effort to learning about those stocks in which they can take large positions. ...
... costs of information acquisition, and hence choose in the aggregate to devote more effort to learning about those stocks in which they can take large positions. ...
The relationship between carry trade currencies and
... One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as t ...
... One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as t ...
Institutional Investment Constraints and Stock Prices
... Lewellen (2011)). Such “benchmark investing” behavior contradicts predictions of neoclassic models: institutional investors are usually viewed as being better informed than individual investors. Thus, they should overweight stocks that have positive news and underweight stocks with negative news. Ho ...
... Lewellen (2011)). Such “benchmark investing” behavior contradicts predictions of neoclassic models: institutional investors are usually viewed as being better informed than individual investors. Thus, they should overweight stocks that have positive news and underweight stocks with negative news. Ho ...
The Effect of the Quality of Rumors On Market Yields
... This shows that after the rumor is published investors are able to differentiate between the rumors and thereby acquire an abnormal return in the multi-rumor case. A possible explanation for this might be the expectations generated in the minds of investors regarding the possibility that additional ...
... This shows that after the rumor is published investors are able to differentiate between the rumors and thereby acquire an abnormal return in the multi-rumor case. A possible explanation for this might be the expectations generated in the minds of investors regarding the possibility that additional ...
Time-Zone Arbitrage in Vanguard International
... Historically, U.S.-based mutual funds have calculated their value using stale prices for the assets that trade in foreign markets. The predictability of change in the stale prices when the foreign market opens creates an arbitrage opportunity. Consider an example: an investor stores her money in a U ...
... Historically, U.S.-based mutual funds have calculated their value using stale prices for the assets that trade in foreign markets. The predictability of change in the stale prices when the foreign market opens creates an arbitrage opportunity. Consider an example: an investor stores her money in a U ...
Aggregation of risks and Allocation of capital
... project financing, performance management, and financial reporting. Available capital is defined as financial resources available as risk-bearing funds to absorb adverse experience. This capital is held as a buffer to meet policyholder claims during adverse climates. (Required) economic capital is c ...
... project financing, performance management, and financial reporting. Available capital is defined as financial resources available as risk-bearing funds to absorb adverse experience. This capital is held as a buffer to meet policyholder claims during adverse climates. (Required) economic capital is c ...
Margin Regulation and Volatility
... stock margins decrease the agents’ ability to leverage. Therefore the amount of leverage decreases in equilibrium, leading to less de-leveraging after bad shocks. While the first effect increases the asset’s volatility, the second effect reduces it. In equilibrium, these two effects approximately of ...
... stock margins decrease the agents’ ability to leverage. Therefore the amount of leverage decreases in equilibrium, leading to less de-leveraging after bad shocks. While the first effect increases the asset’s volatility, the second effect reduces it. In equilibrium, these two effects approximately of ...
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... has a larger influence on stocks whose valuations are more subjective and difficult to arbitrage (e.g., those stocks with higher beta, higher volatility, and greater downside risk). Third, investor sentiment is subject to reversals: i) increases (or decreases) in sentiment correspond to low (or high ...
... has a larger influence on stocks whose valuations are more subjective and difficult to arbitrage (e.g., those stocks with higher beta, higher volatility, and greater downside risk). Third, investor sentiment is subject to reversals: i) increases (or decreases) in sentiment correspond to low (or high ...
The Relationship between Stock Returns and Macroeconomic
... while the bottom-up approach contends that it is possible to find stocks to provide superior returns regardless of the economy and industry outlook. The results of several academic studies investigating the effects of economic variables on stock returns have supported the top-down investment process ...
... while the bottom-up approach contends that it is possible to find stocks to provide superior returns regardless of the economy and industry outlook. The results of several academic studies investigating the effects of economic variables on stock returns have supported the top-down investment process ...
Margin Requirements, Volatility, and Market Integrity
... e®ects appears to be systematically associated with lower stock return volatility. The evidence to date suggests that, contrary to the leverage arguments advanced by the pyramiding-depyramiding hypothesis and explicitly accepted by many of the o±cial studies of the 1987 stock market crash, there is ...
... e®ects appears to be systematically associated with lower stock return volatility. The evidence to date suggests that, contrary to the leverage arguments advanced by the pyramiding-depyramiding hypothesis and explicitly accepted by many of the o±cial studies of the 1987 stock market crash, there is ...
Do Chinese Investors Get What They Don`t Pay For? Expense
... negative coefficients on these three elements of fee structure. To find the relationship, we build an OLS model using the data of all funds which were established before Jan 01 2010 (N=467), and use their return, expense ratio as well as the sales loads from Jan 2010 to April 2015. All of the data a ...
... negative coefficients on these three elements of fee structure. To find the relationship, we build an OLS model using the data of all funds which were established before Jan 01 2010 (N=467), and use their return, expense ratio as well as the sales loads from Jan 2010 to April 2015. All of the data a ...
Momentum, Acceleration, and Reversal
... six-month returns (r712), but gradually remove the most recent months in the first six-month period, one month at a time. For example, r26 is the average monthly return over the five months with lags 2 to 6, i.e. the most recent month is excluded. By excluding the most recent one month, we are eff ...
... six-month returns (r712), but gradually remove the most recent months in the first six-month period, one month at a time. For example, r26 is the average monthly return over the five months with lags 2 to 6, i.e. the most recent month is excluded. By excluding the most recent one month, we are eff ...
Government Debt and Risk Premia - Penn Economics
... return predictability is equivalent to time-varying equity premium in a standard rational pricing model.6 Thus, the rise of debt-to-GDP ratio indicates that investors require a high premium to compensate equity risks. The classic equity premium puzzle emphasizes the difficulty in rationalizing the 6 ...
... return predictability is equivalent to time-varying equity premium in a standard rational pricing model.6 Thus, the rise of debt-to-GDP ratio indicates that investors require a high premium to compensate equity risks. The classic equity premium puzzle emphasizes the difficulty in rationalizing the 6 ...
IQP-Computized trading stock - Worcester Polytechnic Institute
... attempt to take control of their financial futures. But few of them know how to invest scientifically. They don’t know which stocks to buy or sell, when to buy or sell, and when to take profits and when to stop losses. In particular, NASDAQ.com provides a powerful Guru Stock Screener where you can ...
... attempt to take control of their financial futures. But few of them know how to invest scientifically. They don’t know which stocks to buy or sell, when to buy or sell, and when to take profits and when to stop losses. In particular, NASDAQ.com provides a powerful Guru Stock Screener where you can ...
MAKING CUSTOMERS PAY: MEASURING AND MANAGING
... Measuring returns from the customer portfolio This section includes examples of customer risk and returns calculations carried out by the customer development team (Ryals, 2002b). The first step in applying CAPM to the customer portfolio is to measure returns from the customer portfolio by estimatin ...
... Measuring returns from the customer portfolio This section includes examples of customer risk and returns calculations carried out by the customer development team (Ryals, 2002b). The first step in applying CAPM to the customer portfolio is to measure returns from the customer portfolio by estimatin ...
Property, plant and equipment
... expenses as incurred, since it maintains rather than increases the asset’s originally assessed standard of performance. By contrast an entity may acquire an asset at a price that reflects the entity’s obligation to incur expenditure in the future that is necessary to bring the asset to the location ...
... expenses as incurred, since it maintains rather than increases the asset’s originally assessed standard of performance. By contrast an entity may acquire an asset at a price that reflects the entity’s obligation to incur expenditure in the future that is necessary to bring the asset to the location ...
DOES SHAREHOLDER COMPOSITION AFFECT STOCK RETURNS?
... that certain investor types such as mutual funds actively invest using momentum strategies.5 Lakonishok, Shleifer and Vishny (1992) find less evidence of this behavior among pension funds. Rather than focusing on whether certain classes of investors follow momentum strategies, we use Georgeson’s dat ...
... that certain investor types such as mutual funds actively invest using momentum strategies.5 Lakonishok, Shleifer and Vishny (1992) find less evidence of this behavior among pension funds. Rather than focusing on whether certain classes of investors follow momentum strategies, we use Georgeson’s dat ...
The required return on equity under a foundation model
... Powercor and United Energy to provide our views on a range of issues relating to the computation of the allowed return on equity in the Australian regulatory setting. Specifically, we have been asked to: a. Review the AER’s concerns as to the use of dividend growth model (DGM) estimates to inform th ...
... Powercor and United Energy to provide our views on a range of issues relating to the computation of the allowed return on equity in the Australian regulatory setting. Specifically, we have been asked to: a. Review the AER’s concerns as to the use of dividend growth model (DGM) estimates to inform th ...
Fact sheet Comparing listed and unlisted assets
... Unlisted assets tend to have superior risk-adjusted returns compared to many other asset classes. This involves measuring an investment return in relation to the amount of risk taken to achieve that return. Unlisted assets sit on the risk/return curve between fixed-income investments, such as bonds, ...
... Unlisted assets tend to have superior risk-adjusted returns compared to many other asset classes. This involves measuring an investment return in relation to the amount of risk taken to achieve that return. Unlisted assets sit on the risk/return curve between fixed-income investments, such as bonds, ...
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.