Corporate Investments and Stock Returns: International Evidence*
... An alternative explanation for the value premium is mispricing--the stock price of a firm is deviated from its true or intrinsic value. For example, stocks tend to be overpriced or underpriced from time to time. Investors may overreact to past performance of firms and extrapolate past earnings growt ...
... An alternative explanation for the value premium is mispricing--the stock price of a firm is deviated from its true or intrinsic value. For example, stocks tend to be overpriced or underpriced from time to time. Investors may overreact to past performance of firms and extrapolate past earnings growt ...
The Equity Premium Stock and Bond Returns since 1802
... by the end of 1990. These series per cent per year over the entire are referred to as total return period. Although this can be inindexes, because they assume terpreted as the expected return that all cash flows, including interest and dividends as well as on stocks over a 12-month peany capital gai ...
... by the end of 1990. These series per cent per year over the entire are referred to as total return period. Although this can be inindexes, because they assume terpreted as the expected return that all cash flows, including interest and dividends as well as on stocks over a 12-month peany capital gai ...
Chapter 2
... The Direct Relationship between Risk and Return Empirical financial research reveals clear evidence of the direct relationship between systematic risk and expected return, i.e. riskier securities earn higher returns on average. ...
... The Direct Relationship between Risk and Return Empirical financial research reveals clear evidence of the direct relationship between systematic risk and expected return, i.e. riskier securities earn higher returns on average. ...
Risk premia in general equilibrium
... This paper contributes to the literature on the determinants of the risk premium, that is the rewards that investors demand for bearing particular risks (Campbell 2000). There has been a long discussion since Rietz (1988) proposed the ‘rare disasters hypothesis’ as a solution to the risk-premium puz ...
... This paper contributes to the literature on the determinants of the risk premium, that is the rewards that investors demand for bearing particular risks (Campbell 2000). There has been a long discussion since Rietz (1988) proposed the ‘rare disasters hypothesis’ as a solution to the risk-premium puz ...
NBER WORKING PAPER SERIES UNCERTAINTY AND LIQUIDITY Alberto Giovannini Working Paper No. 2296
... The analysis of precautionary money demand with a model borrowed from ...
... The analysis of precautionary money demand with a model borrowed from ...
Stocks, Bonds, Options
... The term "seat" is now synonymous with a membership on the NYSE. NYSE memberships can be purchased and sold. The all time high price paid for an NYSE membership was $2,650,000 on August 23, 1999. The lowest price ever paid was $4,000 in 1876 and again in 1878. ...
... The term "seat" is now synonymous with a membership on the NYSE. NYSE memberships can be purchased and sold. The all time high price paid for an NYSE membership was $2,650,000 on August 23, 1999. The lowest price ever paid was $4,000 in 1876 and again in 1878. ...
Estimating the Expected Marginal Rate of Substitution: Exploiting
... assumptions, equation (10) becomes a panel estimating equation. Time-series variation is used to estimate the asset-specific factor loadings {β } , coefficients that are constant across time. Estimating these factor loadings is a key objective of this research program. In practice, many empirical as ...
... assumptions, equation (10) becomes a panel estimating equation. Time-series variation is used to estimate the asset-specific factor loadings {β } , coefficients that are constant across time. Estimating these factor loadings is a key objective of this research program. In practice, many empirical as ...
Select this.
... Alternatively, assuming an investor requires a 12 percent return on this bond, its value would be: $500 x 13.7648 = $6,882 $10,000 x .1741 = 1,741 Total value of bond at 12 percent = $8,623 Higher rates of return lower the value! Compare the computed value to the market price of the bond to determin ...
... Alternatively, assuming an investor requires a 12 percent return on this bond, its value would be: $500 x 13.7648 = $6,882 $10,000 x .1741 = 1,741 Total value of bond at 12 percent = $8,623 Higher rates of return lower the value! Compare the computed value to the market price of the bond to determin ...
Key Investor Information
... Counterparty risk: The counterparty to a derivative or other contractual agreement or synthetic financial product could become unable to honour its commitments to the fund, potentially creating a partial or total loss for the fund. Currency risk: The fund can be exposed to different currencies. Chan ...
... Counterparty risk: The counterparty to a derivative or other contractual agreement or synthetic financial product could become unable to honour its commitments to the fund, potentially creating a partial or total loss for the fund. Currency risk: The fund can be exposed to different currencies. Chan ...
Insurance Asset Management Trends in 2014
... The Bank of New York Mellon Corporation and may also be used as a generic term to reference the Corporation as a whole or its various subsidiaries generally. Products and services may be provided under various brand names and in various countries by subsidiaries, affiliates, and joint ventures of Th ...
... The Bank of New York Mellon Corporation and may also be used as a generic term to reference the Corporation as a whole or its various subsidiaries generally. Products and services may be provided under various brand names and in various countries by subsidiaries, affiliates, and joint ventures of Th ...
Credit Default Swaps and the synthetic CDO
... liquidity of the CDS market – more names can be traded in this market compared to the cash market o The portfolio manager is able to undertake credit trading on European corporate and other credits in the more liquid credit derivatives market, where they may be liquidity problems in the cash market ...
... liquidity of the CDS market – more names can be traded in this market compared to the cash market o The portfolio manager is able to undertake credit trading on European corporate and other credits in the more liquid credit derivatives market, where they may be liquidity problems in the cash market ...
This PDF is a selection from a published volume from... Economic Research Volume Title: Research Findings in the Economics of Aging
... utility of the alternative investment strategies, they find that all-stock portfolios would be preferred by all but extremely risk averse persons, as would be expected from the puzzlingly high equity premium. To incorporate the possibility that the future will differ (modestly) from the past, they al ...
... utility of the alternative investment strategies, they find that all-stock portfolios would be preferred by all but extremely risk averse persons, as would be expected from the puzzlingly high equity premium. To incorporate the possibility that the future will differ (modestly) from the past, they al ...
ALLAN GRAY BALANCED FUND
... Investor sentiment towards emerging markets remains weak. This has left emerging markets at a valuation discount to developed markets. The MSCI Emerging Market Index trades at a discount of over 30% to the MSCI World Index – an index dominated by the US and other developed markets – on a price to ea ...
... Investor sentiment towards emerging markets remains weak. This has left emerging markets at a valuation discount to developed markets. The MSCI Emerging Market Index trades at a discount of over 30% to the MSCI World Index – an index dominated by the US and other developed markets – on a price to ea ...
Major Currencies And Capitalization
... in more different currencies than do smaller firms. Is the conclusion noted above for major currencies valid for a set of minor currencies? As noted then, size-dependent different responses would make sense only if the Russell 1000 and 2000 indices had material divergences in behavior. To refresh, o ...
... in more different currencies than do smaller firms. Is the conclusion noted above for major currencies valid for a set of minor currencies? As noted then, size-dependent different responses would make sense only if the Russell 1000 and 2000 indices had material divergences in behavior. To refresh, o ...
Direct Investing In Farmland and Real Assets
... monetary policy, and to the fact that higher interest rates are likely to put downward pressure on land prices as higher discount rates bite into the present expected value of future agricultural proceeds from the land. Industrial Production, which is positive, suggests that land prices are pro-cycl ...
... monetary policy, and to the fact that higher interest rates are likely to put downward pressure on land prices as higher discount rates bite into the present expected value of future agricultural proceeds from the land. Industrial Production, which is positive, suggests that land prices are pro-cycl ...
Microsoft Word - Bab2_15Jul10
... for firm management because once the price has been set, shares cannot be offered to the investors at a higher price the first day of trading regardless of the level of demand (Gordon & Jin, 1993). This process set initial stock price that forms the basis for underpricing where there is difference i ...
... for firm management because once the price has been set, shares cannot be offered to the investors at a higher price the first day of trading regardless of the level of demand (Gordon & Jin, 1993). This process set initial stock price that forms the basis for underpricing where there is difference i ...
Schroders The effect of unstable correlations on portfolio diversification
... Perhaps a better question to ask is what value there might be in using long run average correlation data to help meet investor objectives. When do we want diversification benefits in the portfolio and for what purpose? In line with previous papers dealing with asset allocation, it is helpful to star ...
... Perhaps a better question to ask is what value there might be in using long run average correlation data to help meet investor objectives. When do we want diversification benefits in the portfolio and for what purpose? In line with previous papers dealing with asset allocation, it is helpful to star ...
“Sell in May and Go Away” Just Won`t Go Away
... Table 1 displays results in two panels: Panel A shows results for countries whose MSCI data begin in 1970, and Panel B shows the results for countries whose MSCI data begin in 1988 or later (as described in the table notes). Each panel shows the results for both the Bouman and Jacobsen (2002) sample ...
... Table 1 displays results in two panels: Panel A shows results for countries whose MSCI data begin in 1970, and Panel B shows the results for countries whose MSCI data begin in 1988 or later (as described in the table notes). Each panel shows the results for both the Bouman and Jacobsen (2002) sample ...
Introduction to Volatility
... Day-to-day market movements reflect the buying and selling decisions of millions of investors. Market prices change from one moment to the next. Volatility is defined as the variation of an asset's returns, and indicates the range of a return's movement. Large Volatility values mean that returns flu ...
... Day-to-day market movements reflect the buying and selling decisions of millions of investors. Market prices change from one moment to the next. Volatility is defined as the variation of an asset's returns, and indicates the range of a return's movement. Large Volatility values mean that returns flu ...
Risk and Utility
... • R will affect the shape of the exponential curve, making it more or less concave ⇒ more or less risk averse, thus • R is the risk tolerance • There is an approximation that can be used to estimate the risk tolerance ...
... • R will affect the shape of the exponential curve, making it more or less concave ⇒ more or less risk averse, thus • R is the risk tolerance • There is an approximation that can be used to estimate the risk tolerance ...
A Case for Active Management - Mawer Investment Management
... The problem, as Charley Ellis, a legend among index fund investors, recently declared in an interview with CNNMoney, is that “some 80% of [active fund managers] would slightly beat the market, but after fees, their returns end up being below the market.”4 Investors also are flocking to passive mutua ...
... The problem, as Charley Ellis, a legend among index fund investors, recently declared in an interview with CNNMoney, is that “some 80% of [active fund managers] would slightly beat the market, but after fees, their returns end up being below the market.”4 Investors also are flocking to passive mutua ...
Full text - Высшая школа экономики
... and Merton options are redundant assets as they can be perfectly replicated by the existing assets on the market. Coval and Shumway’s research has shown that delta neutral option strategies consistently yield negative returns, though they should yield the risk-free return if options were redundant. ...
... and Merton options are redundant assets as they can be perfectly replicated by the existing assets on the market. Coval and Shumway’s research has shown that delta neutral option strategies consistently yield negative returns, though they should yield the risk-free return if options were redundant. ...
ETF Trading: Understanding ETF Liquidity
... Now let’s examine how to determine the appropriate trading strategy for a specific ETF, given market conditions. For example, assume that, based on a client’s investment objectives, you purchase 30,000 shares of FlexShares Quality Dividend Index Fund (QDF). Employing the First Level of Liquidity (Se ...
... Now let’s examine how to determine the appropriate trading strategy for a specific ETF, given market conditions. For example, assume that, based on a client’s investment objectives, you purchase 30,000 shares of FlexShares Quality Dividend Index Fund (QDF). Employing the First Level of Liquidity (Se ...
performance analysis for the two-minute portfolio in both canadian
... theoretical expected return, and to determine whether the deviation is statistically significant. The method is used to exam whether it is managers’ ability or luck that attributes to the excess return. Modigliani and Modigliani (1997) propose M-squared or RAP. It measures a portfolio’s risk-adjuste ...
... theoretical expected return, and to determine whether the deviation is statistically significant. The method is used to exam whether it is managers’ ability or luck that attributes to the excess return. Modigliani and Modigliani (1997) propose M-squared or RAP. It measures a portfolio’s risk-adjuste ...
IS JAPAN ‘BACK’? 2013 th
... A rise in investment is actually a ‘good thing’ when your starting point is capital consumption (let’s glide over the data quality complications…) Raising dividends would also be a ‘good thing’ for profits because it would increase the income of capitalists Implication is that ‘Abe-nomics’ will real ...
... A rise in investment is actually a ‘good thing’ when your starting point is capital consumption (let’s glide over the data quality complications…) Raising dividends would also be a ‘good thing’ for profits because it would increase the income of capitalists Implication is that ‘Abe-nomics’ will real ...
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.