USE4 - cloudfront.net
... rotation procedure known as orthogonalization can serve as an effective tool for both reducing collinearity and making the factors more intuitive. For instance, the Non-Linear Size factor, after orthogonalization, essentially captures the return differences between mid-cap stocks and the overall mar ...
... rotation procedure known as orthogonalization can serve as an effective tool for both reducing collinearity and making the factors more intuitive. For instance, the Non-Linear Size factor, after orthogonalization, essentially captures the return differences between mid-cap stocks and the overall mar ...
The Effect of Futures Trading on the Underlying Volatility: Evidence
... of volatility in case of on S&P CNX Nifty, in case of BSE sensex, where derivative turnover is considerable low, its role seems to ambiguous This study examined the impact of introduction of KOSPI 200 futures on Korean stock market using data for the period from 1 September 1993 to December 1998. Ry ...
... of volatility in case of on S&P CNX Nifty, in case of BSE sensex, where derivative turnover is considerable low, its role seems to ambiguous This study examined the impact of introduction of KOSPI 200 futures on Korean stock market using data for the period from 1 September 1993 to December 1998. Ry ...
"Disaster Risk and Business Cycles"
... quantitative and uses Epstein-Zin utility. This paper is mostly related to four strands of literature. First, a large literature in …nance builds and estimates models which attempt to match not only the equity premium and the riskfree rate, but also the variation of risk premia (i.e. the predictabi ...
... quantitative and uses Epstein-Zin utility. This paper is mostly related to four strands of literature. First, a large literature in …nance builds and estimates models which attempt to match not only the equity premium and the riskfree rate, but also the variation of risk premia (i.e. the predictabi ...
View PDF - CiteSeerX
... We consider now several possible properties for a risk measure ρ defined on G. In Section 2.4 they will be related to the axioms stated above concerning acceptance sets. For clarity we label the new axioms with letters. The first requirement ensures that the risk measure is stated in the same units ...
... We consider now several possible properties for a risk measure ρ defined on G. In Section 2.4 they will be related to the axioms stated above concerning acceptance sets. For clarity we label the new axioms with letters. The first requirement ensures that the risk measure is stated in the same units ...
Coherent Measures of Risk
... We consider now several possible properties for a risk measure ρ defined on G. In Section 2.4 they will be related to the axioms stated above concerning acceptance sets. For clarity we label the new axioms with letters. The first requirement ensures that the risk measure is stated in the same units ...
... We consider now several possible properties for a risk measure ρ defined on G. In Section 2.4 they will be related to the axioms stated above concerning acceptance sets. For clarity we label the new axioms with letters. The first requirement ensures that the risk measure is stated in the same units ...
Proposed Technical Information Paper 2 Depreciated Replacement
... for financial reporting purposes. This exposure draft proposes that a properly applied cost approach can be applied in a wide variety of circumstances. Do you agree with the argument that the cost approach, if properly applied, can be used as a method to arrive at market value for a variety of purpo ...
... for financial reporting purposes. This exposure draft proposes that a properly applied cost approach can be applied in a wide variety of circumstances. Do you agree with the argument that the cost approach, if properly applied, can be used as a method to arrive at market value for a variety of purpo ...
Fundamental indexation: an active value strategy in disguise
... We can illustrate the strong value tilt of fundamental indices by regressing the returns of the RAFI 1000 index (the Research Affiliates Fundamental Index for the top 1000 US equities) on the returns of traditional market factor indices. The results of these regressions are displayed in Table 1. We ...
... We can illustrate the strong value tilt of fundamental indices by regressing the returns of the RAFI 1000 index (the Research Affiliates Fundamental Index for the top 1000 US equities) on the returns of traditional market factor indices. The results of these regressions are displayed in Table 1. We ...
A Closer Look at the Virtues of Dividend-Paying
... dividend-paying stocks have compounded money over the past three decades at a rate significantly higher than non-dividend payers. For example, in the small-cap universe, dividend payers have compounded money at over 500 basis points higher than nondividend payers, creating more than four times the a ...
... dividend-paying stocks have compounded money over the past three decades at a rate significantly higher than non-dividend payers. For example, in the small-cap universe, dividend payers have compounded money at over 500 basis points higher than nondividend payers, creating more than four times the a ...
Is Noise Trading Cancelled Out by Aggregation?
... in stock returns. That is, idiosyncratic biases can lead to both overvaluation and undervaluation, depending on the past stock price movements. Note also that, in my model, idiosyncratic biases can lead to stock price overshooting in the sense that the expected future return is negative. This is in ...
... in stock returns. That is, idiosyncratic biases can lead to both overvaluation and undervaluation, depending on the past stock price movements. Note also that, in my model, idiosyncratic biases can lead to stock price overshooting in the sense that the expected future return is negative. This is in ...
Executive stock and option valuation in a two state
... diversified and risk-neutral investor would pay for the same option. Thus, for the same parameters, the S2 model shows a greater divergence between the company cost and the executive value of both stock options and restricted stock. This greater divergence requires that stock options and restricted ...
... diversified and risk-neutral investor would pay for the same option. Thus, for the same parameters, the S2 model shows a greater divergence between the company cost and the executive value of both stock options and restricted stock. This greater divergence requires that stock options and restricted ...
Forecasting stock market volatility with macroeconomic
... macroeconomic variables that capture business cycle fluctuations help to forecast stock market volatility. Finding an answer to this question may help investors to refine theories of derivatives pricing, to compute more exact solutions to problems of optimal portfolio selection, and to efficiently m ...
... macroeconomic variables that capture business cycle fluctuations help to forecast stock market volatility. Finding an answer to this question may help investors to refine theories of derivatives pricing, to compute more exact solutions to problems of optimal portfolio selection, and to efficiently m ...
Macquarie True Index Global Infrastructure Securities Fund
... potential for loss and unit price variability over the short term). Financial markets can, and have been volatile, and higher levels of market volatility may result in greater risk for investors than an investment in less volatile markets. When you make an investment, you are accepting the risks of ...
... potential for loss and unit price variability over the short term). Financial markets can, and have been volatile, and higher levels of market volatility may result in greater risk for investors than an investment in less volatile markets. When you make an investment, you are accepting the risks of ...
RISK MANAGEMENT
... future outlook, are generally called “expected losses.” Also, losses that may be incurred in worst case scenarios and cannot be estimated based on past experiences are generally called “unexpected losses,” and it is generally considered that risk capital can be quantified by measuring “unexpected los ...
... future outlook, are generally called “expected losses.” Also, losses that may be incurred in worst case scenarios and cannot be estimated based on past experiences are generally called “unexpected losses,” and it is generally considered that risk capital can be quantified by measuring “unexpected los ...
Inter-generational Redistribution in the Great Recession
... particular interest that we can ask within the context of this model is whether young people might actually be better off if they become economically active in the midst of a large and persistent economic downtown. The answer to this question is that it depends on the size of the decline in equilib ...
... particular interest that we can ask within the context of this model is whether young people might actually be better off if they become economically active in the midst of a large and persistent economic downtown. The answer to this question is that it depends on the size of the decline in equilib ...
Item 1 – Cover Page - NorthCoast Asset Management
... invests in leading growth stocks during favorable equity environments and scales to cash to preserve gains when bear market risk is high. The strategy adheres to a flexible investment mandate that allows for allocation shifts that range between 0%-100% exposure to equities. Positions are managed (pu ...
... invests in leading growth stocks during favorable equity environments and scales to cash to preserve gains when bear market risk is high. The strategy adheres to a flexible investment mandate that allows for allocation shifts that range between 0%-100% exposure to equities. Positions are managed (pu ...
Industry and Sector Equity Premium with Economic Dynamics: Keiichi Kubota
... b. Two-Sector Economy and the Risk Premium The theoretical relationship between production technology and asset returns has been analyzed in Brock (1982) and Cox, Ingersoll, and Ross (1985) in a general equilibrium model. Euler equations where both the investment returns and asset returns are includ ...
... b. Two-Sector Economy and the Risk Premium The theoretical relationship between production technology and asset returns has been analyzed in Brock (1982) and Cox, Ingersoll, and Ross (1985) in a general equilibrium model. Euler equations where both the investment returns and asset returns are includ ...
bank balance sheet optimization
... diversified portfolio of mortgages and other type of loans, corporate bonds, and other assets like credit card receivables) into structured asset-backed securities (ABS) and sold them to various other financial investors, thereby off-loading the risk (securitization). However, most of the credit ris ...
... diversified portfolio of mortgages and other type of loans, corporate bonds, and other assets like credit card receivables) into structured asset-backed securities (ABS) and sold them to various other financial investors, thereby off-loading the risk (securitization). However, most of the credit ris ...
Stock Prices in the Presence of Liquidity Crises
... A central problem in the credit market is that lenders are reluctant to make loans because they cannot easily determine whether a prospective borrower has resources to repay the loan. If the loan is made, the lender is concerned whether the borrower will engage in risky behavior that could lower th ...
... A central problem in the credit market is that lenders are reluctant to make loans because they cannot easily determine whether a prospective borrower has resources to repay the loan. If the loan is made, the lender is concerned whether the borrower will engage in risky behavior that could lower th ...
Risk Management and Asset and Liability Management in Banks
... required for each organization. For example, consider two small commercial banks with a similar product portfolio operating in different jurisdictions where capital markets development is at different stages. The limitations of the less developed market will mean that ‘like’ products represent highe ...
... required for each organization. For example, consider two small commercial banks with a similar product portfolio operating in different jurisdictions where capital markets development is at different stages. The limitations of the less developed market will mean that ‘like’ products represent highe ...
Information Disclosure in Speculative Markets
... nonproprietary information depends on the set of expectations about the value of the firm shared by the market participants. It is assumed therefore that all agents in the model agree that the information potentially arriving to the manager is nonproprietary. The last important assumption is that in ...
... nonproprietary information depends on the set of expectations about the value of the firm shared by the market participants. It is assumed therefore that all agents in the model agree that the information potentially arriving to the manager is nonproprietary. The last important assumption is that in ...
Adaptive Expectations and Stock Market Crashes.
... or mistaken investors. In Barlevy and Veronesi (2003), this is due to nonstandard assumptions about the signal distribution. In Yuan (2005), it is due to borrowing constraints. Both papers find that the stock price can depend discontinuously on fundamentals. However, like Gennotte and Leland (1990), ...
... or mistaken investors. In Barlevy and Veronesi (2003), this is due to nonstandard assumptions about the signal distribution. In Yuan (2005), it is due to borrowing constraints. Both papers find that the stock price can depend discontinuously on fundamentals. However, like Gennotte and Leland (1990), ...
long-term portfolio guide - Responsible Investment Association
... volatility of capital markets, rigid annual mark-to-market requirements for pension plan assets and liabilities can hinder optimal management of the fund for the long term. • Institutions seeking to pursue true long-term investment strategies must first be founded on governance structures that s ...
... volatility of capital markets, rigid annual mark-to-market requirements for pension plan assets and liabilities can hinder optimal management of the fund for the long term. • Institutions seeking to pursue true long-term investment strategies must first be founded on governance structures that s ...
A Natural Experiment on Dynamic Asset Allocation
... in 1993. The second test is to check a fund’s actual allocations to stocks and bonds. Specifically, a fund is included for analysis only if its allocation to common stocks is no less than 10% of its market value and its aggregated allocation to corporate bonds, municipal bonds, and government bonds ...
... in 1993. The second test is to check a fund’s actual allocations to stocks and bonds. Specifically, a fund is included for analysis only if its allocation to common stocks is no less than 10% of its market value and its aggregated allocation to corporate bonds, municipal bonds, and government bonds ...
Asset pricing in the frequency domain: theory and empirics
... equity portfolios based on their covariance with short- and long-run shocks to equity market returns. Again, we find (consistent with Campbell and Vuolteenaho, 2004), that it is low-frequency shocks to equity market returns that drive the pricing kernel. Next, we estimate weighting functions for a¢n ...
... equity portfolios based on their covariance with short- and long-run shocks to equity market returns. Again, we find (consistent with Campbell and Vuolteenaho, 2004), that it is low-frequency shocks to equity market returns that drive the pricing kernel. Next, we estimate weighting functions for a¢n ...
Indicators and metrics used in enterprise risk management
... that form between the feedback processes that takes place in the enterprise and can generate different types of risks. Decisions will be monitored by the indicators calculated in the system and will be able to be evaluated in terms of their effects on the risks arising or likely to occur. Decision-m ...
... that form between the feedback processes that takes place in the enterprise and can generate different types of risks. Decisions will be monitored by the indicators calculated in the system and will be able to be evaluated in terms of their effects on the risks arising or likely to occur. Decision-m ...
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.