Bond Positions, Expectations, And The Yield Curve∗
... that premia are cyclical, but rather that they were much higher in the early 1980s than at other times. For medium term bonds (such as a two year bond), which relatively more with the level of the yield curve, the bias in level forecasts is more important. It implies that subjective premia are somew ...
... that premia are cyclical, but rather that they were much higher in the early 1980s than at other times. For medium term bonds (such as a two year bond), which relatively more with the level of the yield curve, the bias in level forecasts is more important. It implies that subjective premia are somew ...
BEHAVIOR OF MONTHLY TOTAL RETURNS OF U.S. GOVERNMENT BONDS: 1926-2007 Abraham Habib
... U.S. Government bonds from 1953 to 1981. Chang and Pinegar (1986) also find a January effect for lower quality bonds. Wilson and Jones (1990) find a January effect for corporate bonds and commercial paper. Jordan and Jordan (1991) examine seasonality in daily corporate bond returns using the Dow Jon ...
... U.S. Government bonds from 1953 to 1981. Chang and Pinegar (1986) also find a January effect for lower quality bonds. Wilson and Jones (1990) find a January effect for corporate bonds and commercial paper. Jordan and Jordan (1991) examine seasonality in daily corporate bond returns using the Dow Jon ...
Are Executive Stock Option Exercises Driven by Private Information
... for all exercises without conditioning on whether shares are immediately sold similar to the null findings of Carpenter and Remmers (2001). Rather than focus only on option exercises as in the prior literature, we also examine non-exercise of options conjecturing that delaying option exercises may a ...
... for all exercises without conditioning on whether shares are immediately sold similar to the null findings of Carpenter and Remmers (2001). Rather than focus only on option exercises as in the prior literature, we also examine non-exercise of options conjecturing that delaying option exercises may a ...
Cross-Market Investor Sentiment in Commodity Exchange
... Baker and Wurgler (2006, 2007) argue that investor sentiment, the propensity to speculate, drives the relative demand for speculative investments, which are typically hard to value and tend to be difficult to arbitrage and therefore possibly cause cross-sectional effects on stock returns.4 They docu ...
... Baker and Wurgler (2006, 2007) argue that investor sentiment, the propensity to speculate, drives the relative demand for speculative investments, which are typically hard to value and tend to be difficult to arbitrage and therefore possibly cause cross-sectional effects on stock returns.4 They docu ...
Kritzman_Portfolio_formation
... Most serious investors use mean-variance optimization to form portfolios, in part, because it requires knowledge only of a portfolio’s expected return and variance. Yet this convenience comes at some expense, because the legitimacy of mean-variance optimization depends on questionable assumptions. E ...
... Most serious investors use mean-variance optimization to form portfolios, in part, because it requires knowledge only of a portfolio’s expected return and variance. Yet this convenience comes at some expense, because the legitimacy of mean-variance optimization depends on questionable assumptions. E ...
Stock Return Serial Dependence and Out-of
... smaller stocks are correlated with past returns of larger stocks, but not vice versa, a distinct leadlag relation based on size.“ Moreover, they show that a contrarian portfolio that takes advantage of this lead-lag pattern in stock returns by being long past losing stocks and short past winners pro ...
... smaller stocks are correlated with past returns of larger stocks, but not vice versa, a distinct leadlag relation based on size.“ Moreover, they show that a contrarian portfolio that takes advantage of this lead-lag pattern in stock returns by being long past losing stocks and short past winners pro ...
Sharing Risk and Revenues from PPPs
... Although revenue risk sharing and upside revenue sharing mechanisms are all about sharing project revenues, this does not necessarily mean that revenue is the most appropriate measure to use in these mechanisms. In fact, there are generally three metrics that could be used to inform revenue risk sha ...
... Although revenue risk sharing and upside revenue sharing mechanisms are all about sharing project revenues, this does not necessarily mean that revenue is the most appropriate measure to use in these mechanisms. In fact, there are generally three metrics that could be used to inform revenue risk sha ...
R CAPITAL SOLUTIONS LTD DISCLOSURE AND MARKET
... transactions, the identification of risks, and the timely and adequate flow of information. Board - Recruitment Policy Board members must be of sufficiently good repute and have the skills, knowledge and expertise for performing their assigned responsibilities. Therefore the Company collects relevan ...
... transactions, the identification of risks, and the timely and adequate flow of information. Board - Recruitment Policy Board members must be of sufficiently good repute and have the skills, knowledge and expertise for performing their assigned responsibilities. Therefore the Company collects relevan ...
The Other Side of Value: The Effect of Quality on Price and Return in
... increases by only about 0.1 % (0.8 % when annual regressions are used). These results indicate that inclusion of the quality factor (QMJ) only marginally improves the fit of the asset-pricing model for real estate. Overall, our analyses provide compelling evidence that quality characteristics are pe ...
... increases by only about 0.1 % (0.8 % when annual regressions are used). These results indicate that inclusion of the quality factor (QMJ) only marginally improves the fit of the asset-pricing model for real estate. Overall, our analyses provide compelling evidence that quality characteristics are pe ...
Growth-Rate and Uncertainty Shocks in Consumption
... erned by AR(1) processes (xi, t+1and xW, t+1 sample to differ in the their sensitivity to the world processes. The differing sensitivity is governed by the parameter ξ i . ...
... erned by AR(1) processes (xi, t+1and xW, t+1 sample to differ in the their sensitivity to the world processes. The differing sensitivity is governed by the parameter ξ i . ...
Leverage Cycles and the Anxious Economy
... Moreover, asset trades in the anxious stage move in exactly the opposite direction from the crisis stage. In the anxious economy it is the public that is selling in the bad news sector, and the most optimistic investors who are buying. To explain our data on emerging market closures, we tell a story ...
... Moreover, asset trades in the anxious stage move in exactly the opposite direction from the crisis stage. In the anxious economy it is the public that is selling in the bad news sector, and the most optimistic investors who are buying. To explain our data on emerging market closures, we tell a story ...
Who are the Value and Growth Investors?
... systematic risk other than market portfolio return risk (Fama and French 1992), such as recession risk (Cochrane 1999, Jagannathan and Wang 1996), cash-flow risk (Campbell and Vuolteenaho 2004, Campbell, Polk, and Vuolteenaho 2010), long-run consumption risk (Hansen, Heaton, and Li 2008), or the cos ...
... systematic risk other than market portfolio return risk (Fama and French 1992), such as recession risk (Cochrane 1999, Jagannathan and Wang 1996), cash-flow risk (Campbell and Vuolteenaho 2004, Campbell, Polk, and Vuolteenaho 2010), long-run consumption risk (Hansen, Heaton, and Li 2008), or the cos ...
Commercial Risk Europe
... “Limitations…are so strict that they would effectively rule out at least eight out of 10 captives from using the simplifications for captives,” said ECIROA. The directive states that simplified ...
... “Limitations…are so strict that they would effectively rule out at least eight out of 10 captives from using the simplifications for captives,” said ECIROA. The directive states that simplified ...
Dynamic Factor Timing and the Predictability of Actively Managed
... seek to outperform the benchmark index by timing industry returns. If the manager succeeds in, say, increasing portfolio weights to the manufacturing industry before in outperforms, or decreasing portfolio weights to the energy sector before it under-performs, then the portion of the funds alpha tha ...
... seek to outperform the benchmark index by timing industry returns. If the manager succeeds in, say, increasing portfolio weights to the manufacturing industry before in outperforms, or decreasing portfolio weights to the energy sector before it under-performs, then the portion of the funds alpha tha ...
Developing a strong risk appetite program
... • Acknowledge commonalities. It is very important that risk, operations and finance collaborate closely when developing the strategic plan and the risk appetite statement. The bank should avoid the perception that either document is “owned” by a specific function or narrowly defined group. Hence th ...
... • Acknowledge commonalities. It is very important that risk, operations and finance collaborate closely when developing the strategic plan and the risk appetite statement. The bank should avoid the perception that either document is “owned” by a specific function or narrowly defined group. Hence th ...
mid cap: the goldilocks asset class
... There is another possible reason why mid cap deserves its Goldilocks title. For individual investors, investing may be a rational process, but markets are still driven largely by fear and greed. Large and small cap stocks fit neatly into the fear and greed pathology: small cap stocks appeal to inves ...
... There is another possible reason why mid cap deserves its Goldilocks title. For individual investors, investing may be a rational process, but markets are still driven largely by fear and greed. Large and small cap stocks fit neatly into the fear and greed pathology: small cap stocks appeal to inves ...
Credit ratings and credit risk: Is one measure enough?
... investors are interested in ratings and why variation in borrowing cost is strongly related to rating: investors care both about expected payo¤ and about risk premia. This paper adds to a growing literature that evaluates the ability of ratings to predict default, beginning with Hickman (1958). Some ...
... investors are interested in ratings and why variation in borrowing cost is strongly related to rating: investors care both about expected payo¤ and about risk premia. This paper adds to a growing literature that evaluates the ability of ratings to predict default, beginning with Hickman (1958). Some ...
Leverage Cycles and The Anxious Economy.
... behavior in collateral values explains the differential fall in prices. The good emerging market asset has a significantly higher collateral value than the bad emerging market asset during the anxious economy. During a flight to collateral episode, investors would rather buy those assets that enabl ...
... behavior in collateral values explains the differential fall in prices. The good emerging market asset has a significantly higher collateral value than the bad emerging market asset during the anxious economy. During a flight to collateral episode, investors would rather buy those assets that enabl ...
Bonds, Stocks, and Sources of Mispricing
... measure is computed as in Stambaugh, Yu, and Yuan (2015) and is the average of a stock’s decile rankings based on a broad set of anomalies. The measure of firm-level credit risk is the Standard & Poor’s long term issuer credit rating available on COMPUSTAT. For robustness, we also use alternative c ...
... measure is computed as in Stambaugh, Yu, and Yuan (2015) and is the average of a stock’s decile rankings based on a broad set of anomalies. The measure of firm-level credit risk is the Standard & Poor’s long term issuer credit rating available on COMPUSTAT. For robustness, we also use alternative c ...
How different is the regulatory capital from the economic capital
... which take into account multiple sources of risk as well as borrowers’ heterogeneity. Therefore, we have extended the asymptotic single risk factor (ASRF) model to a multifactor framework which takes account for additional systematic risk factors, such as size or sector factors. The first advantage ...
... which take into account multiple sources of risk as well as borrowers’ heterogeneity. Therefore, we have extended the asymptotic single risk factor (ASRF) model to a multifactor framework which takes account for additional systematic risk factors, such as size or sector factors. The first advantage ...
The Impact of Costs and Returns on the Investment
... The Swiss pension fund system is part of the so-called ‘2. Säule‘ of the Swiss retirement plan. The ‘2. Säule‘ covers all pension fund payments related to a person’s professional life. The pension fund scheme helps employees (i) to save money for retirement and (ii) to hedge against invalidity and d ...
... The Swiss pension fund system is part of the so-called ‘2. Säule‘ of the Swiss retirement plan. The ‘2. Säule‘ covers all pension fund payments related to a person’s professional life. The pension fund scheme helps employees (i) to save money for retirement and (ii) to hedge against invalidity and d ...
International Financial Reporting Standard 13 Fair Value
... The entity must have access to the principal (or most advantageous) market at the measurement date. Because different entities (and businesses within those entities) with different activities may have access to different markets, the principal (or most advantageous) market for the same asset or liab ...
... The entity must have access to the principal (or most advantageous) market at the measurement date. Because different entities (and businesses within those entities) with different activities may have access to different markets, the principal (or most advantageous) market for the same asset or liab ...
Client Investing Guide
... model portfolio is designed to achieve specific investment objectives within its agreed risk profile. Your professional adviser will help you to choose the model portfolio that best suits your goals, investment objectives and risk profile. MPS portfolios are managed by a dedicated team of investment ...
... model portfolio is designed to achieve specific investment objectives within its agreed risk profile. Your professional adviser will help you to choose the model portfolio that best suits your goals, investment objectives and risk profile. MPS portfolios are managed by a dedicated team of investment ...
Topic 4: Asymmetric information models of capital structure
... they are offered fearing that this equity represents ownership of assets that are not very valuable. Hence, ...
... they are offered fearing that this equity represents ownership of assets that are not very valuable. Hence, ...
DT - European Parliament
... but as one of the many options issuers and investors have. Supply side: other funding options and thirst for margin On the supply side covered bonds (debt securities backed by cash flows from mortgages or public sector loans, but without risk transfer) seem to be more attractive, partly as the resul ...
... but as one of the many options issuers and investors have. Supply side: other funding options and thirst for margin On the supply side covered bonds (debt securities backed by cash flows from mortgages or public sector loans, but without risk transfer) seem to be more attractive, partly as the resul ...
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.