The Level, Slope and Curve Factor Model for Stocks
... structure of stock returns. Which factors are the most important? Which factors should we be writing consumption based asset pricing models to explain? The procedure searches for the most economically important risk factors that are priced in the cross-section, and finds that the crosssection can be ...
... structure of stock returns. Which factors are the most important? Which factors should we be writing consumption based asset pricing models to explain? The procedure searches for the most economically important risk factors that are priced in the cross-section, and finds that the crosssection can be ...
Thesis - Kyiv School of Economics
... are significant in liability equations. For all countries there is at least one real interest rate being significant. Hence, increase in external market return lead to increase in portfolio flows into the country. However, only for two countries domestic real interest rate is significant which sugge ...
... are significant in liability equations. For all countries there is at least one real interest rate being significant. Hence, increase in external market return lead to increase in portfolio flows into the country. However, only for two countries domestic real interest rate is significant which sugge ...
NBER WORKING PAPER SERIES Hanno Lustig Yi-Li Chien
... of risk and interest rates are i.i.d. over time when aggregate consumption growth is i.i.d. over time. This version of the model does not contribute any dynamics endogenously. As a result, the standard deviation of stock returns is obviously much too small in this two-agent model, since there is no ...
... of risk and interest rates are i.i.d. over time when aggregate consumption growth is i.i.d. over time. This version of the model does not contribute any dynamics endogenously. As a result, the standard deviation of stock returns is obviously much too small in this two-agent model, since there is no ...
Value at Risk
... • Regulators base the capital they require banks to keep on VaR • The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
... • Regulators base the capital they require banks to keep on VaR • The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
CFRM 546 - 0404
... [00:19:34.06] Now, the distribution of the loss at time t plus 1 is the loss distribution, distribution function fl, or simply f. Recall fl of x equals probability of all those [INAUDIBLE], omega slash debt l omega, OK? OK, so this is a set, and this is the measure to measure. This is a probability ...
... [00:19:34.06] Now, the distribution of the loss at time t plus 1 is the loss distribution, distribution function fl, or simply f. Recall fl of x equals probability of all those [INAUDIBLE], omega slash debt l omega, OK? OK, so this is a set, and this is the measure to measure. This is a probability ...
Liquidity measures, liquidity drivers and expected returns on an
... developed markets a century afterwards (Gehrig and Fohlin 2006). The substantially shorter business cycles in Imperial Germany are found and discussed in Burhop and Wolff (2005). We use daily stock returns of a sample of 27 stocks, included into the index described in Gelman and Burhop (2008), to ca ...
... developed markets a century afterwards (Gehrig and Fohlin 2006). The substantially shorter business cycles in Imperial Germany are found and discussed in Burhop and Wolff (2005). We use daily stock returns of a sample of 27 stocks, included into the index described in Gelman and Burhop (2008), to ca ...
RP 2011-45 - Department of Economics and Business Economics
... variation in equity returns is a core pursuit in empirical asset pricing. In their seminal contribution Fama and French (1993) …nd that the cross section of stock returns is well explained by a simple linear three-factor model comprised of a broad market premium, the spread between small and big mar ...
... variation in equity returns is a core pursuit in empirical asset pricing. In their seminal contribution Fama and French (1993) …nd that the cross section of stock returns is well explained by a simple linear three-factor model comprised of a broad market premium, the spread between small and big mar ...
Leverage Cycles and the Anxious Economy
... to borrow money only if they can put up enough collateral to guarantee delivery. Assets in our model play a dual role: they are investment opportunities, but they can also be used as collateral to gain access to cash. The collateral capacity of an asset is the level of promises that can be made usin ...
... to borrow money only if they can put up enough collateral to guarantee delivery. Assets in our model play a dual role: they are investment opportunities, but they can also be used as collateral to gain access to cash. The collateral capacity of an asset is the level of promises that can be made usin ...
Joint Dynamics of Bond and Stock Returns - Wisconsin-School
... is similar to “two trees” in Cochrane et al. (2008) and operates through discount-rate effects induced by general equilibrium market clearing. Unlike “two trees,” however, the rebalancing mechanism endogenizes the size of technologies and the aggregate risk-taking decision. To generate a positive co ...
... is similar to “two trees” in Cochrane et al. (2008) and operates through discount-rate effects induced by general equilibrium market clearing. Unlike “two trees,” however, the rebalancing mechanism endogenizes the size of technologies and the aggregate risk-taking decision. To generate a positive co ...
Will the true marginal investor please stand up?: Asset prices with
... with different transaction costs and prices. Every column except column 3 is taken directly from Table 1 of Amihud and Mendelson (1986, p.229). Thus in this solution each of the four investor-types is a marginal investor for at least two assets. The Amihud and Mendelson solution is depicted graphica ...
... with different transaction costs and prices. Every column except column 3 is taken directly from Table 1 of Amihud and Mendelson (1986, p.229). Thus in this solution each of the four investor-types is a marginal investor for at least two assets. The Amihud and Mendelson solution is depicted graphica ...
The Cross-Section and Time Series of Stock and Bond Returns
... forward-looking investor, it is natural that investors assign them a positive risk price. The second contribution is to attribute these different bond exposures to differences in the underlying cash flow dynamics. We find that value stocks experience negative cash-flow shocks in economic downturns. ...
... forward-looking investor, it is natural that investors assign them a positive risk price. The second contribution is to attribute these different bond exposures to differences in the underlying cash flow dynamics. We find that value stocks experience negative cash-flow shocks in economic downturns. ...
IMPACT OF TIME VARYING DISTRIBUTIONAL PARAMETERS ON
... frontier with chosen efficient portfolio is used as a benchmark. Using EWMA and DCCGARCH(1,1) methods two efficient frontiers with time-varying covariance matrixes are calculated. Near to that, 24 months rolling window method is applied for Markowitz, EWMA and DCC-GARCH(1,1) estimated efficient port ...
... frontier with chosen efficient portfolio is used as a benchmark. Using EWMA and DCCGARCH(1,1) methods two efficient frontiers with time-varying covariance matrixes are calculated. Near to that, 24 months rolling window method is applied for Markowitz, EWMA and DCC-GARCH(1,1) estimated efficient port ...
Historical cost measurement and the use of DuPont analysis by
... That is, changes in the historical cost bias in asset values affect the extent to which asset turnover forecasts are mispriced by investors. In additional analyses we first provide some preliminary international evidence to generalize our findings and to investigate the role of inflation, which, ba ...
... That is, changes in the historical cost bias in asset values affect the extent to which asset turnover forecasts are mispriced by investors. In additional analyses we first provide some preliminary international evidence to generalize our findings and to investigate the role of inflation, which, ba ...
Vanguard Personal Advisor Services Brochure
... your Portfolio as well as accounts held outside of the Portfolio. The Ongoing Service also offers an online experience that includes web content based on your goals and provides personalized reporting. The online experience is accessed by logging on to your account at vanguard.com. Certain account r ...
... your Portfolio as well as accounts held outside of the Portfolio. The Ongoing Service also offers an online experience that includes web content based on your goals and provides personalized reporting. The online experience is accessed by logging on to your account at vanguard.com. Certain account r ...
Leverage Cycles and The Anxious Economy.
... to borrow money more easily. The other side of the coin, is that investors who need to raise cash get more by selling those assets on which they did not borrow money because the sales revenues net of loan repayments are higher. The model provides the following testable implication. We show that even ...
... to borrow money more easily. The other side of the coin, is that investors who need to raise cash get more by selling those assets on which they did not borrow money because the sales revenues net of loan repayments are higher. The model provides the following testable implication. We show that even ...
The Volatility of the Price of Gold: An Application of Extreme Value
... are concerned about the heavy tail of the financial time series. Those rare but plausible events could cause significant damage to society and have a strong negative impact on the livelihood of economic agents. Many conventional models failed to model those irregular events properly. Past literature ...
... are concerned about the heavy tail of the financial time series. Those rare but plausible events could cause significant damage to society and have a strong negative impact on the livelihood of economic agents. Many conventional models failed to model those irregular events properly. Past literature ...