NBER WORKING PAPER SERIES BELIEFS ARE HETEROGENEOUS
... ity of output (endowments in our models), and by the participants’ tastes for risk and tradeoff across time, as well as their beliefs. As far as consumption and risk sharing are concerned, our formulation identifies a simple tradeoff between these two key, but seemingly quite different factors. Tha ...
... ity of output (endowments in our models), and by the participants’ tastes for risk and tradeoff across time, as well as their beliefs. As far as consumption and risk sharing are concerned, our formulation identifies a simple tradeoff between these two key, but seemingly quite different factors. Tha ...
Risk-Adjusted Compensation
... However, quantitative measures, even with embedded qualitative adjustments to correct for error, are still inadequate to capture all risks or all elements of performance (e.g., the “how” in differentiating performance among executives; the backoffice work that is weakly related to risk outcomes, suc ...
... However, quantitative measures, even with embedded qualitative adjustments to correct for error, are still inadequate to capture all risks or all elements of performance (e.g., the “how” in differentiating performance among executives; the backoffice work that is weakly related to risk outcomes, suc ...
Investor Preferences and Portfolio Selection: Is Diversification an
... Premaratne and Tay (2002) explore the role of skewness in asset returns. If an asset contributes positive skewness to a diversified portfolio, then that asset will be valuable and has a higher price (or lower expected return). Investors who prefer positive skewness would seek to construct portfolio ...
... Premaratne and Tay (2002) explore the role of skewness in asset returns. If an asset contributes positive skewness to a diversified portfolio, then that asset will be valuable and has a higher price (or lower expected return). Investors who prefer positive skewness would seek to construct portfolio ...
Pricing Convertible Bonds using Stochastic Interest Rate
... bond it has a face value that will be paid back at the date of maturity. The holder has the right to convert the bond into a predetermined number of shares in the company in a given period of time. The convertible bond may be considered as a combination of a bond and a European call option on the st ...
... bond it has a face value that will be paid back at the date of maturity. The holder has the right to convert the bond into a predetermined number of shares in the company in a given period of time. The convertible bond may be considered as a combination of a bond and a European call option on the st ...
Information on risk, own funds and capital requirements
... general composition of Board of Management possesses practical experience related to managing of financial institutions as a whole. In doing this Personnel Committee follows the criteria defined in point 435.2.b of CRR. Currently all Board Members have many years’ experience not only in managing of ...
... general composition of Board of Management possesses practical experience related to managing of financial institutions as a whole. In doing this Personnel Committee follows the criteria defined in point 435.2.b of CRR. Currently all Board Members have many years’ experience not only in managing of ...
Chapter 6: Using the NPV Rule
... What is the present value of the stock’s future dividends? What is the expected return for the stock? How should competition affect the stock price? Based on this discussion, what is the equilibrium stock price? What is the expected return for the stock using its equilibrium stock price? What implic ...
... What is the present value of the stock’s future dividends? What is the expected return for the stock? How should competition affect the stock price? Based on this discussion, what is the equilibrium stock price? What is the expected return for the stock using its equilibrium stock price? What implic ...
1 - University of Mauritius
... In a stock market with an annual turnover of around 349 million US dollars; it is important to see whether there are certain patterns which can be exploited by investors; in particular, investment strategies based on momentum in returns on the Stock Exchange of Mauritius. This will provide valuable ...
... In a stock market with an annual turnover of around 349 million US dollars; it is important to see whether there are certain patterns which can be exploited by investors; in particular, investment strategies based on momentum in returns on the Stock Exchange of Mauritius. This will provide valuable ...
perspectives on dynamic asset allocation
... The liability-hedging component of the framework, the LHP, is never a perfect hedge. It is often implemented via the concept of dollar-duration hedging for interest rates and comparable techniques for credit spreads and inflation. The LHP and the liabilities must then have virtually identical dollar ...
... The liability-hedging component of the framework, the LHP, is never a perfect hedge. It is often implemented via the concept of dollar-duration hedging for interest rates and comparable techniques for credit spreads and inflation. The LHP and the liabilities must then have virtually identical dollar ...
Dealers` Hedging of Interest Rate Options in the U.S. Dollar Fixed
... calculated from the estimated strike prices. Chart 1 also shows, as a mirror image, the value of a hedge position that provides a delta-neutral hedge of the options at the initial interest rates (the dashed line). The hedge position is derived by using the estimated strike prices to calculate the pr ...
... calculated from the estimated strike prices. Chart 1 also shows, as a mirror image, the value of a hedge position that provides a delta-neutral hedge of the options at the initial interest rates (the dashed line). The hedge position is derived by using the estimated strike prices to calculate the pr ...
Bubbles and Crises - University of Pennsylvania
... countries including 5 industrial and 15 emerging ones. A common precursor to most of the crises considered was ®nancial liberalisation and signi®cant credit expansion. These were followed by an average rise in the price of stocks of about 40% per year above that occurring in normal times. The prices ...
... countries including 5 industrial and 15 emerging ones. A common precursor to most of the crises considered was ®nancial liberalisation and signi®cant credit expansion. These were followed by an average rise in the price of stocks of about 40% per year above that occurring in normal times. The prices ...
Annual Report - Pershing Square Capital Management
... Manager’s decision to sell the position and to focus resources on new and existing investments which have the potential to generate greater returns for shareholders. As I have stated in the past, the concentrated nature of PSCM’s portfolio is likely to lead to lumpy investment performance on both th ...
... Manager’s decision to sell the position and to focus resources on new and existing investments which have the potential to generate greater returns for shareholders. As I have stated in the past, the concentrated nature of PSCM’s portfolio is likely to lead to lumpy investment performance on both th ...
NBER WORKING PAPER SERIES PUTTING THE BRAKES ON SUDDEN STOPS:
... closed-economy, representative-agent analysis, but framed in the context of what is effectively a twoagent equilibrium asset pricing model and extended to incorporate margin constraints and trading costs. The price guarantees, which in the model are keen to a “put option” with minimum return, have d ...
... closed-economy, representative-agent analysis, but framed in the context of what is effectively a twoagent equilibrium asset pricing model and extended to incorporate margin constraints and trading costs. The price guarantees, which in the model are keen to a “put option” with minimum return, have d ...
AEGON withstands market turmoil with continued capital
... Other charges amounted to EUR 54 million and are mostly related to restructuring provisions in the Netherlands (EUR 60 million) and in the United Kingdom (EUR 15 million). These charges are partly offset by UK policyholder tax with an equal and opposite charge in the tax income line of EUR 20 millio ...
... Other charges amounted to EUR 54 million and are mostly related to restructuring provisions in the Netherlands (EUR 60 million) and in the United Kingdom (EUR 15 million). These charges are partly offset by UK policyholder tax with an equal and opposite charge in the tax income line of EUR 20 millio ...
Introduction to Share Buyback Valuation
... Share buybacks are generally not a reliable way of returning capital to shareholders. Share buybacks magnify any mispricing of the shares compared to the value to long-term shareholders, which is the company’s excess cash plus the present value of future earnings that can be paid out as dividends. B ...
... Share buybacks are generally not a reliable way of returning capital to shareholders. Share buybacks magnify any mispricing of the shares compared to the value to long-term shareholders, which is the company’s excess cash plus the present value of future earnings that can be paid out as dividends. B ...
Asymmetric investment returns and the
... Here r is the average interest/dividend rate applying to foreign liabilities, which has averaged 1.3 percentage points below the rate of nominal GDP growth since 1990. On this basis, stabilising US NFLs at 50-60 per cent of GDP would require the primary deficit to fall to under 1 per cent of GDP, a ...
... Here r is the average interest/dividend rate applying to foreign liabilities, which has averaged 1.3 percentage points below the rate of nominal GDP growth since 1990. On this basis, stabilising US NFLs at 50-60 per cent of GDP would require the primary deficit to fall to under 1 per cent of GDP, a ...
A Model of Monetary Policy and Risk Premia
... We model two types of liquid securities: central bank reserves, which have the highest level of liquidity, and government bonds. Banks’ demand for liquidity buffers causes liquid securities to command a premium in equilibrium. This liquidity premium depends on the nominal interest rate. The liquidit ...
... We model two types of liquid securities: central bank reserves, which have the highest level of liquidity, and government bonds. Banks’ demand for liquidity buffers causes liquid securities to command a premium in equilibrium. This liquidity premium depends on the nominal interest rate. The liquidit ...
Corporate Governance, Ownership Structure Perspective and Firm
... a positive relationship between Tobin’s Q and the level of nonmanagement control while management group control in excess of its proportional ownership is negatively related to Tobin’s Q. The findings of Lemmon and Lins (2003) give evidence of higher stock returns when management directly owns a lar ...
... a positive relationship between Tobin’s Q and the level of nonmanagement control while management group control in excess of its proportional ownership is negatively related to Tobin’s Q. The findings of Lemmon and Lins (2003) give evidence of higher stock returns when management directly owns a lar ...