THE IMPACT OF MINIMUM INVESTMENT BARRIERS ON SHORT END OF PERFORMANCE?
... two groups; a “high minimum investment level group” consisting of funds having a minimum investment level of $250,000-or-more, and a “low minimum investment level group” consisting of funds having a minimum investment level of less-than-$250,000. This deviates from the approach commonly used in the ...
... two groups; a “high minimum investment level group” consisting of funds having a minimum investment level of $250,000-or-more, and a “low minimum investment level group” consisting of funds having a minimum investment level of less-than-$250,000. This deviates from the approach commonly used in the ...
The Performance of Individual Investors in Structured Financial
... Therefore, unlike a buy and hold strategy, asset selection is not a one-time proposition, as structured products that mature will need to be replaced. We extend this work by analyzing the realized performance of retail investors who trade investment certificates. In particular, we are the first to i ...
... Therefore, unlike a buy and hold strategy, asset selection is not a one-time proposition, as structured products that mature will need to be replaced. We extend this work by analyzing the realized performance of retail investors who trade investment certificates. In particular, we are the first to i ...
1 September 2006 Page 1 of 52 The SPI Fund of Scottish Provident
... premiums. We use some of the premium to pay our expenses and costs and the rest becomes part of the SPI Fund and shares in the net investment returns. The policy may receive annual bonuses and when the time comes for the policyholder to claim the benefit of the policy we may add a final bonus or, fo ...
... premiums. We use some of the premium to pay our expenses and costs and the rest becomes part of the SPI Fund and shares in the net investment returns. The policy may receive annual bonuses and when the time comes for the policyholder to claim the benefit of the policy we may add a final bonus or, fo ...
Does Fund Size Erode Performance? Organizational Diseconomies
... performance, it can afford to hire more managers so as to cover more stocks. The fund can thereby generate additional good ideas so that it can take small positions in lots of stocks as opposed to large positions in a few stocks. Indeed, the vast majority of small cap stocks are untouched by mutual ...
... performance, it can afford to hire more managers so as to cover more stocks. The fund can thereby generate additional good ideas so that it can take small positions in lots of stocks as opposed to large positions in a few stocks. Indeed, the vast majority of small cap stocks are untouched by mutual ...
Evaluation of Active Management of the Norwegian Government
... In line with the brief, the report has three main sections. The first undertakes a review of the theory and empirical evidence on the Efficient Market Hypothesis [EMH]. If markets are completely efficient, active portfolio management has little potential to add to fund performance. Therefore, in ...
... In line with the brief, the report has three main sections. The first undertakes a review of the theory and empirical evidence on the Efficient Market Hypothesis [EMH]. If markets are completely efficient, active portfolio management has little potential to add to fund performance. Therefore, in ...
Mutual Funds and Bubbles: The Surprising Role of Contractual
... incentives for the managers to herd with their peers in order to preserve their reputation in a labor market with asymmetric information. These articles put forth the intuition that reputation concerns may affect managerial behavior. We build upon this literature by taking this basic intuition to ex ...
... incentives for the managers to herd with their peers in order to preserve their reputation in a labor market with asymmetric information. These articles put forth the intuition that reputation concerns may affect managerial behavior. We build upon this literature by taking this basic intuition to ex ...
Predicting Market Returns Using Aggregate Implied Cost of Capital
... The implied cost of capital (ICC ) is the expected return that equates a stock’s current price to the present value of its expected future free cash flows where, empirically, the free cash flows are estimated using a combination of short-term analyst earnings forecasts, long-term growth rates projec ...
... The implied cost of capital (ICC ) is the expected return that equates a stock’s current price to the present value of its expected future free cash flows where, empirically, the free cash flows are estimated using a combination of short-term analyst earnings forecasts, long-term growth rates projec ...
мυнαммαd нαѕηαιη ѕαdιq - vuZs Virtual University Community
... An investment should be accepted if the net present value is __________ and rejected if it is ________. Positive; positive Positive; negative p105 Negative; negative Negative; positive ...
... An investment should be accepted if the net present value is __________ and rejected if it is ________. Positive; positive Positive; negative p105 Negative; negative Negative; positive ...
IRR = 12.3%
... • Example: Project C requires an initial investment of $10,000 and yields a inflow of $20,000 one year later. Project D requires an initial investment of $20,000 and yields an inflow of $35,000 one year later. It would appear that we should choose project C due to its higher IRR. Project D, however, ...
... • Example: Project C requires an initial investment of $10,000 and yields a inflow of $20,000 one year later. Project D requires an initial investment of $20,000 and yields an inflow of $35,000 one year later. It would appear that we should choose project C due to its higher IRR. Project D, however, ...
Cost of capital and earnings transparency
... earnings, which that study notes is adapted from the measure in an earlier version of our study.5 Francis et al. (2004) refers to this measure as relevance, estimates it based on firm-by-firm time-series regressions using ten-year rolling windows of ...
... earnings, which that study notes is adapted from the measure in an earlier version of our study.5 Francis et al. (2004) refers to this measure as relevance, estimates it based on firm-by-firm time-series regressions using ten-year rolling windows of ...
Explaining the Magnitude of Liquidity Premia
... of return predictability and wealth shocks can generate liquidity premia up to 42 times larger than in the standard i.i.d. return case. When returns are predictable, the unconditional distribution of the wealth shocks is always the same as that for the i.i.d. shocks. The liquidity premium is largest ...
... of return predictability and wealth shocks can generate liquidity premia up to 42 times larger than in the standard i.i.d. return case. When returns are predictable, the unconditional distribution of the wealth shocks is always the same as that for the i.i.d. shocks. The liquidity premium is largest ...
Returns to Buying Earnings and Book Value: Accounting for Growth
... announcements. It appears that the risk in holding stocks is associated, at least in part, with the risk of earnings not meeting expectations; investors “buy (expected) earnings” and the outcome to their investment depends on the difference between actual and expected earnings. The idea has some per ...
... announcements. It appears that the risk in holding stocks is associated, at least in part, with the risk of earnings not meeting expectations; investors “buy (expected) earnings” and the outcome to their investment depends on the difference between actual and expected earnings. The idea has some per ...
Real Options, Volatility, and Stock Returns∗
... positive. The economic importance of real options also seems to be large. For example, a one standard deviation increase in a measure of volatility raises a typical firm’s value by about 2.5%. This finding is in line with the results in Duffee (1995) who shows that stock returns are positively relat ...
... positive. The economic importance of real options also seems to be large. For example, a one standard deviation increase in a measure of volatility raises a typical firm’s value by about 2.5%. This finding is in line with the results in Duffee (1995) who shows that stock returns are positively relat ...
Hedge Fund Innovation - American Economic Association
... Finally, panel and cross-sectional regressions show that the benefits of innovators are declining with the age of the fund and with net flows. This is consistent with a rational hedge fund market, where innovating hedge funds capture a large portion of investment flows and deliver alpha only to the ...
... Finally, panel and cross-sectional regressions show that the benefits of innovators are declining with the age of the fund and with net flows. This is consistent with a rational hedge fund market, where innovating hedge funds capture a large portion of investment flows and deliver alpha only to the ...
Does Investor Identity Matter in Equity Issues
... of affiliated investors to be more pronounced for non-distressed firms with access to both private and public equity markets. The results indicate that unaffiliated investors purchase shares at significantly deeper discounts than affiliated investors, but we find no significant difference between th ...
... of affiliated investors to be more pronounced for non-distressed firms with access to both private and public equity markets. The results indicate that unaffiliated investors purchase shares at significantly deeper discounts than affiliated investors, but we find no significant difference between th ...
The Impact of Skewness and Fat Tails on the Asset Allocation Decision
... TLF model can take the inputs shown in Table 1 and generate the corresponding multivariate returns that we used for the first four scenario analyses. Assets A, B, and C have the same ratio of return to risk (standard deviation), 0.5. Asset D has a slightly lower return-to-risk ratio, 0.43. The corre ...
... TLF model can take the inputs shown in Table 1 and generate the corresponding multivariate returns that we used for the first four scenario analyses. Assets A, B, and C have the same ratio of return to risk (standard deviation), 0.5. Asset D has a slightly lower return-to-risk ratio, 0.43. The corre ...
Payoff complementarities and financial fragility Evidence from
... The second ingredient for payoff complementarities in redemptions from illiquid funds is that the costs imposed by redemptions are generally not reflected in the price (NAV) investors get when they redeem their shares. Instead, they are mostly imposed on investors who keep their money in the fund. Th ...
... The second ingredient for payoff complementarities in redemptions from illiquid funds is that the costs imposed by redemptions are generally not reflected in the price (NAV) investors get when they redeem their shares. Instead, they are mostly imposed on investors who keep their money in the fund. Th ...
Mutual Fund Performance and the Incentive to Generate Alpha
... We use data from Financial Research Corporation (FRC) to distinguish direct-sold retail mutual funds from broker-sold retail mutual funds. We begin our analysis by testing whether flows in the direct-sold segment are more sensitive to risk-adjusted returns than flows in the broker-sold segment. When ...
... We use data from Financial Research Corporation (FRC) to distinguish direct-sold retail mutual funds from broker-sold retail mutual funds. We begin our analysis by testing whether flows in the direct-sold segment are more sensitive to risk-adjusted returns than flows in the broker-sold segment. When ...