How Markets React to Earnings Announcements in the Absence of
... underreaction to earnings announcements are not well understood. This phenomenon can be explained with a number of hypotheses, but two competing hypotheses and explanations dominate the debate. The first is the rational explanation and the second comes from the behavioural school which suggests that ...
... underreaction to earnings announcements are not well understood. This phenomenon can be explained with a number of hypotheses, but two competing hypotheses and explanations dominate the debate. The first is the rational explanation and the second comes from the behavioural school which suggests that ...
Geographic dispersion and stock returns
... Firms are sorted into portfolios of local firms and geographically dispersed firms using our state count measure. The portfolio of local firms has a Jensen’s alpha of 48 basis points per month relative to a factor model that controls for risks related to the market, size, book-tomarket ratio, momentum, ...
... Firms are sorted into portfolios of local firms and geographically dispersed firms using our state count measure. The portfolio of local firms has a Jensen’s alpha of 48 basis points per month relative to a factor model that controls for risks related to the market, size, book-tomarket ratio, momentum, ...
Risk Analysis & Modelling
... second, and one cycle is roughly one calculation So each Core can make approximately 2.8 billion calculations per second If you were to perform 5.6 billion calculations on a calculator at 1 calculation every 3 seconds without rest it would take you over 500 years! With this almost “unlimited” calcul ...
... second, and one cycle is roughly one calculation So each Core can make approximately 2.8 billion calculations per second If you were to perform 5.6 billion calculations on a calculator at 1 calculation every 3 seconds without rest it would take you over 500 years! With this almost “unlimited” calcul ...
Value versus Growth - Krannert School of Management
... value and growth portfolios, respectively. We also overlay the transition probabilities with historical NBER recession dates. The conditional transition probabilities depend on lagged conditioning information and reflect the perception of investors on the conditional likelihood of being in the high- ...
... value and growth portfolios, respectively. We also overlay the transition probabilities with historical NBER recession dates. The conditional transition probabilities depend on lagged conditioning information and reflect the perception of investors on the conditional likelihood of being in the high- ...
Equilibrium Cross-Section of Returns
... adopted in good times, when xt is high. This rising cost of investment is then similar to the result obtained in a standard convex adjustment cost model. Together then, our assumptions about productivity and costs guarantee then that individual investment decisions can be aggregated into a linear st ...
... adopted in good times, when xt is high. This rising cost of investment is then similar to the result obtained in a standard convex adjustment cost model. Together then, our assumptions about productivity and costs guarantee then that individual investment decisions can be aggregated into a linear st ...
The Composite Index of Propensity to Risk – CIPR
... The spectrum of risk attitudes is related to the form of utility functions reflecting the behavior of individuals when choosing between risky, uncertain outcomes and certain equivalents. For example, consider two possible monetary outcomes or lotteries, z1 and z2 that may occur with chances p and (1 ...
... The spectrum of risk attitudes is related to the form of utility functions reflecting the behavior of individuals when choosing between risky, uncertain outcomes and certain equivalents. For example, consider two possible monetary outcomes or lotteries, z1 and z2 that may occur with chances p and (1 ...
Trading Is Hazardous to Your Wealth: The Common Stock
... not explicitly address whether such a tilt exists among the individual investors they analyze, but we suspect that it does. This small-stock tilt is likely to be extremely important because small stocks outperform large stocks by 67 basis points per month during their sample period. As do Schlarbaum ...
... not explicitly address whether such a tilt exists among the individual investors they analyze, but we suspect that it does. This small-stock tilt is likely to be extremely important because small stocks outperform large stocks by 67 basis points per month during their sample period. As do Schlarbaum ...
The Size and Specialization of Direct Investment Portfolios
... enhances productivity.1 Specialist investors are able to derive more value from their investments, either because they can pick the best projects or because they can develop projects most effectively. Thus, if there are decreasing returns to the scale of activity, specialist investors are expected t ...
... enhances productivity.1 Specialist investors are able to derive more value from their investments, either because they can pick the best projects or because they can develop projects most effectively. Thus, if there are decreasing returns to the scale of activity, specialist investors are expected t ...
Managing credit booms and busts
... Asset prices in turn are driven by the insiders’ demand for loans, which is a function of their borrowing capacity. This introduces a mutual feedback loop between asset prices and credit flows: small financial shocks to insiders can simultaneously lead to large booms and busts in asset prices and b ...
... Asset prices in turn are driven by the insiders’ demand for loans, which is a function of their borrowing capacity. This introduces a mutual feedback loop between asset prices and credit flows: small financial shocks to insiders can simultaneously lead to large booms and busts in asset prices and b ...
Risk management for wealth and asset management
... conduct risk, managing expectations around appropriate capabilities, and building an understanding of how to manage the risks from cybercrime. Respondents in this year’s survey also commented on how regulatory risk was now considered to be the number one risk. Nearly every firm mentioned challenges ...
... conduct risk, managing expectations around appropriate capabilities, and building an understanding of how to manage the risks from cybercrime. Respondents in this year’s survey also commented on how regulatory risk was now considered to be the number one risk. Nearly every firm mentioned challenges ...
Safe Assets
... as one whose real value is insulated from shocks, including the declines in GDP due to the rare disasters. However, if the GDP process is given, safe assets cannot mitigate overall risk but can only redistribute this risk across agents. In a representative-agent setting, the redistribution of aggreg ...
... as one whose real value is insulated from shocks, including the declines in GDP due to the rare disasters. However, if the GDP process is given, safe assets cannot mitigate overall risk but can only redistribute this risk across agents. In a representative-agent setting, the redistribution of aggreg ...
Expected Returns, Yield Spreads, and Asset Pricing Tests
... argument linking yield spreads and expected equity returns. Building on Merton’s (1974) framework, we first formalize our ideas. We then test our pricing predictions using standard multi-factor models. In our view, the asset pricing tests of this paper provide fresh insights in to the determinants o ...
... argument linking yield spreads and expected equity returns. Building on Merton’s (1974) framework, we first formalize our ideas. We then test our pricing predictions using standard multi-factor models. In our view, the asset pricing tests of this paper provide fresh insights in to the determinants o ...
Young, Old, Conservative, and Bold: The Implications of
... Second, by using recursive rather than time-additive preferences we can separate — both conceptually and quantitatively — the effects of risk-aversion and IES heterogeneity, and study their interaction. We show that these features of the model — OLG and heterogeneity of recursive preferences — help ...
... Second, by using recursive rather than time-additive preferences we can separate — both conceptually and quantitatively — the effects of risk-aversion and IES heterogeneity, and study their interaction. We show that these features of the model — OLG and heterogeneity of recursive preferences — help ...
A Closed-Form Solution for Options with Stochastic
... at its long-run mean, θ *. In practice, the stochastic variance will drift above and below this level, but the basic conclusions should not change. An important insight from the analysis is the distinction between the effects of stochastic volatility per se and the effects of correlation of volatili ...
... at its long-run mean, θ *. In practice, the stochastic variance will drift above and below this level, but the basic conclusions should not change. An important insight from the analysis is the distinction between the effects of stochastic volatility per se and the effects of correlation of volatili ...
Cross-Sectional Dispersion and Expected Returns
... for aggregate idiosyncratic risk that can be readily computed at any frequency without the need to assume any particular asset pricing model. We propose that, as a proxy for aggregate idiosyncratic risk, cross-sectional dispersion represents a state variable that should be priced in the cross-secti ...
... for aggregate idiosyncratic risk that can be readily computed at any frequency without the need to assume any particular asset pricing model. We propose that, as a proxy for aggregate idiosyncratic risk, cross-sectional dispersion represents a state variable that should be priced in the cross-secti ...
The Event Study Method - Revista Panorama Socioeconómico / U
... statistical properties of daily security returns. In fact, although empirical research using event study method is increasingly incorporating Latin American security daily returns data, some characteristics of these securities clearly differ from those traded in equity markets of developed countries ...
... statistical properties of daily security returns. In fact, although empirical research using event study method is increasingly incorporating Latin American security daily returns data, some characteristics of these securities clearly differ from those traded in equity markets of developed countries ...
Hedge Funds, Managerial Skill, and Macroeconomic Variables
... successful within relative value and funds of funds. One view is that by diversifying across various hedge funds, funds of funds become less dependent on economic conditions. The optimal portfolios of hedge funds which allow for predictability in managerial skills do differ somewhat from the other p ...
... successful within relative value and funds of funds. One view is that by diversifying across various hedge funds, funds of funds become less dependent on economic conditions. The optimal portfolios of hedge funds which allow for predictability in managerial skills do differ somewhat from the other p ...
IPE EDHEC-Risk Research Insights Spring 2014
... the risk allocation approach, also known as risk budgeting approach, to portfolio construction, consists in advocating a focus on risk, as opposed to dollar, allocation. In a nutshell, the goal of the risk allocation methodology is to ensure that the contribution of each constituent to the overall r ...
... the risk allocation approach, also known as risk budgeting approach, to portfolio construction, consists in advocating a focus on risk, as opposed to dollar, allocation. In a nutshell, the goal of the risk allocation methodology is to ensure that the contribution of each constituent to the overall r ...
A Wealth-Dependent Investment Opportunity Set
... and Σm = Dm Dm , then Σm is the first m by m submatrix of Σ and is also positive definite. The problem in this paper is different from an ordinary consumption and investment problem in the following sense: let xt be the investor’s wealth at time t and Tξ the first time that her wealth reaches ξ. The ...
... and Σm = Dm Dm , then Σm is the first m by m submatrix of Σ and is also positive definite. The problem in this paper is different from an ordinary consumption and investment problem in the following sense: let xt be the investor’s wealth at time t and Tξ the first time that her wealth reaches ξ. The ...
Transamerica Stable Value Option
... and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of future perf ...
... and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of future perf ...
Transamerica Stable Value Option
... and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of future perf ...
... and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of future perf ...
