Empirical Investigation of an Equity Pairs Trading Strategy
... RetDiff = betaC*(Cret-Rf) – (Lret – Rf), where Rf is the risk free rate and betaC is the regression coefficient of firm i’s monthly return on its pairs-portfolio return using monthly data between year t-4 and t.2 The use of betaC addresses the issue of different return volatilities between the stock ...
... RetDiff = betaC*(Cret-Rf) – (Lret – Rf), where Rf is the risk free rate and betaC is the regression coefficient of firm i’s monthly return on its pairs-portfolio return using monthly data between year t-4 and t.2 The use of betaC addresses the issue of different return volatilities between the stock ...
The Brilliant Mind of Investors
... Kubik, and Stein (2004) propose that social activity makes people to participate more in stock markets. This means that individuals, who are socially active, meaning that they communicate with their neighbors and go to church, tend to invest more in stocks. Reason may be that learning from friends a ...
... Kubik, and Stein (2004) propose that social activity makes people to participate more in stock markets. This means that individuals, who are socially active, meaning that they communicate with their neighbors and go to church, tend to invest more in stocks. Reason may be that learning from friends a ...
Parameter Uncertainty and the Credit Risk of Collateralized Debt
... Modeling dependence in realized defaults among groups of credit exposures is critical for portfolio credit risk management. Normal copula models describe default dependence using systems of correlated normal latent credit factors. Copula-based models have become popular over the last decade both bec ...
... Modeling dependence in realized defaults among groups of credit exposures is critical for portfolio credit risk management. Normal copula models describe default dependence using systems of correlated normal latent credit factors. Copula-based models have become popular over the last decade both bec ...
The remainder of the paper is as follows
... Why do firms merge and how do mergers affect them? Much of the focus in answering this question has been on whether mergers create value, and if so, for whom. We propose to look at these issues from a different angle. An acquisition not only affects a firm’s potential return stream but also changes ...
... Why do firms merge and how do mergers affect them? Much of the focus in answering this question has been on whether mergers create value, and if so, for whom. We propose to look at these issues from a different angle. An acquisition not only affects a firm’s potential return stream but also changes ...
NBER WORKING PAPER SERIES DOES STOCK MARKET PERFORMANCE INFLUENCE RETIREMENT INTENTIONS?
... also examine the expected impact of the collapse of the housing market. Johnson, Soto, and Zedlewski (2008) and Soto (2008) estimate the losses in retirement account assets and home values, and survey the evidence on how these losses, combined with weak labor markets, might affect retirement intenti ...
... also examine the expected impact of the collapse of the housing market. Johnson, Soto, and Zedlewski (2008) and Soto (2008) estimate the losses in retirement account assets and home values, and survey the evidence on how these losses, combined with weak labor markets, might affect retirement intenti ...
FL BlackRock Long Term (Aquila C) IE/XE
... G - Derivatives: Where a fund uses derivatives for investment purposes, there may be an increase in the risk and volatility of the fund. Some derivative investments also expose investors to counterparty or default risk where another party is unable to meets its obligations and pay what is due, which ...
... G - Derivatives: Where a fund uses derivatives for investment purposes, there may be an increase in the risk and volatility of the fund. Some derivative investments also expose investors to counterparty or default risk where another party is unable to meets its obligations and pay what is due, which ...
a PDF of the full article
... AMCs tend to distinguish market stress tests, which simulate the impact of turbulence on one or several markets on the fund’s net asset value, from liquidity stress tests, which simulate the impact of a high volume of redemption requests on the fund’s liabilities (possibly during a period of low mar ...
... AMCs tend to distinguish market stress tests, which simulate the impact of turbulence on one or several markets on the fund’s net asset value, from liquidity stress tests, which simulate the impact of a high volume of redemption requests on the fund’s liabilities (possibly during a period of low mar ...
Essays in Financial Economics Sergey Iskoz
... Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for wealth redistribution between institutional and individual investors. I find that underw ...
... Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for wealth redistribution between institutional and individual investors. I find that underw ...
overweight - TD Ameritrade
... Performance data quoted represents past performance, which does not guarantee future results. Investment return and principal value of investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Current performance may be lower or higher than ...
... Performance data quoted represents past performance, which does not guarantee future results. Investment return and principal value of investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Current performance may be lower or higher than ...
NBER WORKING PAPER SERIES Paul Beaudry Amartya Lahiri
... examine how an economy may adjust to good profit/productivity shocks in the absence of abundant investment opportunities. However before using the model to interpret recent observations, we use it to better understand what macro-risk allocation implies. For example, we show how and why the efficien ...
... examine how an economy may adjust to good profit/productivity shocks in the absence of abundant investment opportunities. However before using the model to interpret recent observations, we use it to better understand what macro-risk allocation implies. For example, we show how and why the efficien ...
An Indirect Impact of the Price to Book Value to the Stock Returns
... economic cyclical impact as an investment risk that is often threatening. In determining the shares to be purchased, we must judge in advance to avoid speculation and unexpected loss, because the stock price fluctuates from time to time. Therefore, investors have to predict how much the rate of retu ...
... economic cyclical impact as an investment risk that is often threatening. In determining the shares to be purchased, we must judge in advance to avoid speculation and unexpected loss, because the stock price fluctuates from time to time. Therefore, investors have to predict how much the rate of retu ...
NBER WORKING PAPER SERIES INTERNATIONAL CAPITAL FLOWS RETURNS AND WORLD FINANCIAL INTEGRATION
... derived under the assumption that all households and firms have access to the same information regarding the current state of the world economy. While this common-knowledge assumption is standard in international macro models, it does have important implications for the role played by international ...
... derived under the assumption that all households and firms have access to the same information regarding the current state of the world economy. While this common-knowledge assumption is standard in international macro models, it does have important implications for the role played by international ...
NBER WORKING PAPER SERIES THE DECLINING EQUITY PREMIUM: Martin Lettau
... standard deviations are on the order of 60 to 70 percent relative to the 1970s and 1980s, and the marked change seems to be better described as a structural “break,”or regime shift, than a gradual, trending decline. The macroeconomic literature is currently involved in an active debate over the cau ...
... standard deviations are on the order of 60 to 70 percent relative to the 1970s and 1980s, and the marked change seems to be better described as a structural “break,”or regime shift, than a gradual, trending decline. The macroeconomic literature is currently involved in an active debate over the cau ...
The Declining Equity Premium: What Role Does Macroeconomic
... standard deviations are on the order of 60 to 70 percent relative to the 1970s and 1980s, and the marked change seems to be better described as a structural “break,”or regime shift, than a gradual, trending decline. The macroeconomic literature is currently involved in an active debate over the cau ...
... standard deviations are on the order of 60 to 70 percent relative to the 1970s and 1980s, and the marked change seems to be better described as a structural “break,”or regime shift, than a gradual, trending decline. The macroeconomic literature is currently involved in an active debate over the cau ...
Value-at-Risk and Extreme Returns
... of Risk Forecasting 2.1 Dependence Financial return data are characterized by (at least) two stylized facts. First, returns are non-normal, with heavy tails. Second, returns exhibit dependence in the second moment. In risk forecasting, there is a choice between two general approaches. The risk forec ...
... of Risk Forecasting 2.1 Dependence Financial return data are characterized by (at least) two stylized facts. First, returns are non-normal, with heavy tails. Second, returns exhibit dependence in the second moment. In risk forecasting, there is a choice between two general approaches. The risk forec ...
Evidence from the stock market response to
... with the arbitrary belief, where investors believe that assets are mispriced and they will get compensated for whatever they believe as optimal portfolios. In the next stage, they consider a market where investors have common priors and are sophisticated enough to interpret the information given to ...
... with the arbitrary belief, where investors believe that assets are mispriced and they will get compensated for whatever they believe as optimal portfolios. In the next stage, they consider a market where investors have common priors and are sophisticated enough to interpret the information given to ...
Multiple Choice Questions
... Answer: A Difficulty: Moderate Rationale: $90/ 53.57 = 1.68 41. One of the problems with attempting to forecast stock market values is that A) there are no variables that seem to predict market return. B) the earnings multiplier approach can only be used at the firm level. C) the level of uncertaint ...
... Answer: A Difficulty: Moderate Rationale: $90/ 53.57 = 1.68 41. One of the problems with attempting to forecast stock market values is that A) there are no variables that seem to predict market return. B) the earnings multiplier approach can only be used at the firm level. C) the level of uncertaint ...
Analysis of stock performance based on
... The objective of this thesis is to examine the validity of enterprise value/earnings before interest and tax (EV/EBIT) and return on invested capital (RoIC) as a screening tool to select stocks. The various ways of improving the selection process is an integral part of investing, and therefore this ...
... The objective of this thesis is to examine the validity of enterprise value/earnings before interest and tax (EV/EBIT) and return on invested capital (RoIC) as a screening tool to select stocks. The various ways of improving the selection process is an integral part of investing, and therefore this ...
Is buy and hold dead - Richard Bernstein Advisors
... Long-Term Treasuries: BofA Merrill Lynch 15+ Year US Treasury Index. The BofA Merrill Lynch 15+ Year US Treasury Index is an unmanaged index comprised of US Treasury securities, other than inflation-protected securities and STRIPS, with at least $1 billion in outstanding face value and a remaining t ...
... Long-Term Treasuries: BofA Merrill Lynch 15+ Year US Treasury Index. The BofA Merrill Lynch 15+ Year US Treasury Index is an unmanaged index comprised of US Treasury securities, other than inflation-protected securities and STRIPS, with at least $1 billion in outstanding face value and a remaining t ...
ask investment managers private limited
... [i] The present investment objectives and policies, including the types of securities in which investments are generally made Investment Philosophy ASK Investment Managers’ (ASKIM) investment philosophy revolves around two key aspects: Endeavour to preserve capital and generate long term returns. AS ...
... [i] The present investment objectives and policies, including the types of securities in which investments are generally made Investment Philosophy ASK Investment Managers’ (ASKIM) investment philosophy revolves around two key aspects: Endeavour to preserve capital and generate long term returns. AS ...
Market and Public Liquidity
... are risky and expose their holders to both maturity and return risk. The other assets are riskless. There are gains from trade between LR and SR investors when the risky asset matures late. In this case SR investors prefer to sell the asset to LR investors as long as the price is at least as high as ...
... are risky and expose their holders to both maturity and return risk. The other assets are riskless. There are gains from trade between LR and SR investors when the risky asset matures late. In this case SR investors prefer to sell the asset to LR investors as long as the price is at least as high as ...
Margin-based Asset Pricing and Deviations from the Law of One Price
... flows and different margin requirements, while margins for such assets would be the same if margins arose solely from limited commitment (Geanakoplos 1997). In the real world, securities with (almost) identical cash flows can have substantially different margins, since margins depend on the market l ...
... flows and different margin requirements, while margins for such assets would be the same if margins arose solely from limited commitment (Geanakoplos 1997). In the real world, securities with (almost) identical cash flows can have substantially different margins, since margins depend on the market l ...
chapter one - McGraw Hill Higher Education
... Alan Greenspan, Chairman of the U.S. Federal Reserve Bank pondered at the height of the stock market boom in January, 2000 (when the Dow Index stood at 11,600 and the NASDAQ was over 5000), whether the boom would be remembered as “one of the many euphoric speculative bubbles that have dotted human h ...
... Alan Greenspan, Chairman of the U.S. Federal Reserve Bank pondered at the height of the stock market boom in January, 2000 (when the Dow Index stood at 11,600 and the NASDAQ was over 5000), whether the boom would be remembered as “one of the many euphoric speculative bubbles that have dotted human h ...
Anno Stolper: The Appeal of Risky Assets
... return, our results hold if fund managers incur positive costs if they are fired.) There is a substantial literature on incentives in funds management.5 Brown et al. (1996), for instance, show empirically that fund managers with a bad relative performance increase risk relative to fund managers with ...
... return, our results hold if fund managers incur positive costs if they are fired.) There is a substantial literature on incentives in funds management.5 Brown et al. (1996), for instance, show empirically that fund managers with a bad relative performance increase risk relative to fund managers with ...
Q1 2017 Market ChartBook
... the second quarter, with international equity markets taking the lead relative to the US. Improving global growth, sustained global trade and structural reforms including initiatives in India, Indonesia, Argentina and Brazil have helped drive markets upward. Attractive valuations relative to US mark ...
... the second quarter, with international equity markets taking the lead relative to the US. Improving global growth, sustained global trade and structural reforms including initiatives in India, Indonesia, Argentina and Brazil have helped drive markets upward. Attractive valuations relative to US mark ...
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.