What Determines Expected International Asset Returns?*
... Lintner (1965) capital asset pricing model where national investors differ in their consumption baskets and care about returns measured in their domestic currency. Adler and Dumas (1983) extend this model by allowing for stochastic national inflation. This approach does not suffer from the disadvant ...
... Lintner (1965) capital asset pricing model where national investors differ in their consumption baskets and care about returns measured in their domestic currency. Adler and Dumas (1983) extend this model by allowing for stochastic national inflation. This approach does not suffer from the disadvant ...
Do hedge funds hedge?
... underpriced. The position is hedged by shorting the company’s common stock. The cost of short selling the shares will eventually be offset by the continuous stream of bond yields while profits are made through the repricing of the bond relative to the shares. The assumed mispricing represents the a ...
... underpriced. The position is hedged by shorting the company’s common stock. The cost of short selling the shares will eventually be offset by the continuous stream of bond yields while profits are made through the repricing of the bond relative to the shares. The assumed mispricing represents the a ...
NBER WORKING PAPER SERIES EXPLAINING DEVIATIONS FROM UNCOVERED INTEREST PARITY Robert E. Cumby
... if these returns can be explained by models of a foreign exchange risk premiumi After presenting evidence that both nominal and real epected speculative profits are non—zero, the paper examines if real returns to forward speculation are consistent with consumption—based models of risk premia. Estima ...
... if these returns can be explained by models of a foreign exchange risk premiumi After presenting evidence that both nominal and real epected speculative profits are non—zero, the paper examines if real returns to forward speculation are consistent with consumption—based models of risk premia. Estima ...
A Portfolio Built on Divident Growth - Presentation by Scott Malatesta
... All information as of 12/31/12. 1. Based on trailing one-year All Urban Consumer Price Index change of +1.7% as of 11/30/12. Reflects the Morningstar Taxable Money Market Funds Category, the Morningstar Short-Term Bond Fund Category and the Morningstar Intermediate Government Bond Funds Category ave ...
... All information as of 12/31/12. 1. Based on trailing one-year All Urban Consumer Price Index change of +1.7% as of 11/30/12. Reflects the Morningstar Taxable Money Market Funds Category, the Morningstar Short-Term Bond Fund Category and the Morningstar Intermediate Government Bond Funds Category ave ...
New Evidence on Whether Gold Mining Stocks
... and monthly data. The mean betas on the stock market return variable were -0.05, 0.27, and 0.48. Thus, it appears that gold mining stocks are far more sensitive to gold returns than they are to stock market returns. In other words, gold mining stocks are more like gold than like stocks. Moreover, th ...
... and monthly data. The mean betas on the stock market return variable were -0.05, 0.27, and 0.48. Thus, it appears that gold mining stocks are far more sensitive to gold returns than they are to stock market returns. In other words, gold mining stocks are more like gold than like stocks. Moreover, th ...
Have big banks gotten safer?
... information on bank security prices. Indeed, according to standard financial theories, the idea that banks are better capitalized and hold fewer risky assets has clear implications for the pricing of their securities. With less leverage, bank equity should be less volatile, and there should be less ...
... information on bank security prices. Indeed, according to standard financial theories, the idea that banks are better capitalized and hold fewer risky assets has clear implications for the pricing of their securities. With less leverage, bank equity should be less volatile, and there should be less ...
STOCK - Campbell County Schools
... • Stocks that are priced very low. • Tend to be very risky. • Issued by companies with a short or erratic history of both revenues and earnings. ...
... • Stocks that are priced very low. • Tend to be very risky. • Issued by companies with a short or erratic history of both revenues and earnings. ...
Why was stock market volatility so high during the Great Depression
... are also a particularly useful period to study. Acemoglu and Robinson argue that, over the last 200 years, extending the franchise has effectively been a way for capital owners to commit credibly to future redistribution (Acemoglu and Robinson 1999, 2000). If this is true, then any challenges by dis ...
... are also a particularly useful period to study. Acemoglu and Robinson argue that, over the last 200 years, extending the franchise has effectively been a way for capital owners to commit credibly to future redistribution (Acemoglu and Robinson 1999, 2000). If this is true, then any challenges by dis ...
Equilibrium in Securities Markets with Heterogeneous
... the larger the unspanned component of the income shocks is. The heterogeneity in risk aversion is crucial for the magnitude of the reduction in the risk-free rate. The reduction is highest when the more risk-averse investors face the largest unspanned income risk. In numerical examples with reasona ...
... the larger the unspanned component of the income shocks is. The heterogeneity in risk aversion is crucial for the magnitude of the reduction in the risk-free rate. The reduction is highest when the more risk-averse investors face the largest unspanned income risk. In numerical examples with reasona ...
QMR_Q115_2014_Landscape (1) - Fiduciary Consulting Group
... standard, popular dish with set ingredients. The ...
... standard, popular dish with set ingredients. The ...
SAS Risk Analysis Environment
... Derivatives are used in every imaginable business and industry for hedging financial risks that are otherwise beyond the control of the company. For example, ...
... Derivatives are used in every imaginable business and industry for hedging financial risks that are otherwise beyond the control of the company. For example, ...
Stock Split Revisited: Evidence from U.S. and China Sheridan
... China stops after six months and in some cases reverses in the subsequent six months. Using detailed trading data from the Shanghai Stock Exchange and information on State Owned Enterprise (SOE) privatizations, we find that individual investors are net buyers after split announcements while mutual f ...
... China stops after six months and in some cases reverses in the subsequent six months. Using detailed trading data from the Shanghai Stock Exchange and information on State Owned Enterprise (SOE) privatizations, we find that individual investors are net buyers after split announcements while mutual f ...
The Kelly criterion and its variants
... investors and speculators, Journal of Portfolio Management (Fall). Chapter 6 of W T Ziemba (2003) The Stochastic Programming Approach to Asset Liability and Wealth Management, AIMR updated into various chapters in Ziemba and Ziemba (2007), Scenarios for Risk Management and Global Investment Strategi ...
... investors and speculators, Journal of Portfolio Management (Fall). Chapter 6 of W T Ziemba (2003) The Stochastic Programming Approach to Asset Liability and Wealth Management, AIMR updated into various chapters in Ziemba and Ziemba (2007), Scenarios for Risk Management and Global Investment Strategi ...
How to Estimate the Effect of a Stock Repurchase on Share Price
... of outstanding stock that must be repurchased for the price of the stock to remain at least at its pre-purchase price. Until now, no easy way to determine this amount has been available. We have developed one- a method that is practical but theoretically sound and that estimates the minimum amount o ...
... of outstanding stock that must be repurchased for the price of the stock to remain at least at its pre-purchase price. Until now, no easy way to determine this amount has been available. We have developed one- a method that is practical but theoretically sound and that estimates the minimum amount o ...
RBC - SFU.ca
... Initially published in 2004 – built on the work of Basel I, especially in the areas of risk and capital Designed to improve the way regulatory capital requirements reflect underlying risks and to better address the financial innovation that had occurred in recent years Aimed at rewarding and encoura ...
... Initially published in 2004 – built on the work of Basel I, especially in the areas of risk and capital Designed to improve the way regulatory capital requirements reflect underlying risks and to better address the financial innovation that had occurred in recent years Aimed at rewarding and encoura ...
The Stock Market, Information, and Financial Market Efficiency
... From the viewpoint of firms, this is the rate of return they need to pay to attract investors, so it is called the equity cost of capital. ...
... From the viewpoint of firms, this is the rate of return they need to pay to attract investors, so it is called the equity cost of capital. ...
Heterogeneity and Portfolio Choice: Theory and
... denominator when reporting percentage portfolio allocations. In this paper we employ a measure of "total financial wealth." We emphasize this measure because of the quantitative importance of assets such as real estate and privately held businesses, and because these components of financial wealth ...
... denominator when reporting percentage portfolio allocations. In this paper we employ a measure of "total financial wealth." We emphasize this measure because of the quantitative importance of assets such as real estate and privately held businesses, and because these components of financial wealth ...
Required Growth Probability - Transparent Value Blended Index
... Our initial examination of the abnormal return generating potential of the required growth probability is a stepwise Fama Macbeth (1973) approach to return analysis using the three factors of Fama French (1992) plus the Carhart (1997) momentum factor. We perform 156 crosssectional regressions of ret ...
... Our initial examination of the abnormal return generating potential of the required growth probability is a stepwise Fama Macbeth (1973) approach to return analysis using the three factors of Fama French (1992) plus the Carhart (1997) momentum factor. We perform 156 crosssectional regressions of ret ...
Cash-flow Risk, Discount Risk, and the Value Premium
... generate the value premium? Yes. Assets with high cash-flow risk and low duration have low price-dividend ratios. This is due to both the fact that they are risky, and thus prices have to be low to compensate agents for the risk they take, and because they have low expected dividend growth. Thus, po ...
... generate the value premium? Yes. Assets with high cash-flow risk and low duration have low price-dividend ratios. This is due to both the fact that they are risky, and thus prices have to be low to compensate agents for the risk they take, and because they have low expected dividend growth. Thus, po ...
Does Financial Distress Risk Drive the Momentum Anomaly?
... positive or negative risk premium on distressed stocks. A positive risk premium would exist if distress risk is correlated with other factors, such as size and book-to-market (B/M), but is missed by the market factor or the market over reacts to bankruptcy risk. A negative risk premium would be obse ...
... positive or negative risk premium on distressed stocks. A positive risk premium would exist if distress risk is correlated with other factors, such as size and book-to-market (B/M), but is missed by the market factor or the market over reacts to bankruptcy risk. A negative risk premium would be obse ...
Midterm FIN645
... C. will plot below the security market line. D. will plot on the security market line. E. will plot to the left of the overall market on a security market line graph. 33. The common stock of Abbott International has an expected return of 15.6 percent. The return on the market is 12.7 percent and the ...
... C. will plot below the security market line. D. will plot on the security market line. E. will plot to the left of the overall market on a security market line graph. 33. The common stock of Abbott International has an expected return of 15.6 percent. The return on the market is 12.7 percent and the ...
MLC Investment Trust Product Guide
... to invest. Investing for the minimum time or longer improves your chances of achieving the return you expect. However, returns can’t be guaranteed. ...
... to invest. Investing for the minimum time or longer improves your chances of achieving the return you expect. However, returns can’t be guaranteed. ...
The 4% Rule is Not Safe in a Low-Yield World by Michael Finke, Ph
... the historical data to construct 30-year sequences of returns in a process known as bootstrapping, or by simulating returns from a distribution (usually a normal or lognormal distribution) that matches the historical parameters for asset returns, standard deviations, and correlations. This simulatio ...
... the historical data to construct 30-year sequences of returns in a process known as bootstrapping, or by simulating returns from a distribution (usually a normal or lognormal distribution) that matches the historical parameters for asset returns, standard deviations, and correlations. This simulatio ...
The risky asymmetry of low bond yields
... underlying firm’s assets (which we can approximate by the equity). While positive skewness in returns can be deemed as favourable, this does not necessarily mean they provide better payoffs in general than negatively skewed distribution. Quite the contrary, distributions with positive skewness frequ ...
... underlying firm’s assets (which we can approximate by the equity). While positive skewness in returns can be deemed as favourable, this does not necessarily mean they provide better payoffs in general than negatively skewed distribution. Quite the contrary, distributions with positive skewness frequ ...
Smart Beta - A referential guide for institutional investors
... strategies as replacements for active managers that either underperform or hit investment capacity constraints.” “One needs to draw a distinction between a factor and a risk premium, or more precisely, a ‘return premium,’” he says. “For example, selecting or weighting component securities by book yi ...
... strategies as replacements for active managers that either underperform or hit investment capacity constraints.” “One needs to draw a distinction between a factor and a risk premium, or more precisely, a ‘return premium,’” he says. “For example, selecting or weighting component securities by book yi ...
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.