Gain, Loss and Asset Pricing
... /. The bounds can be made sharper by including other assets, called basis assets, in the analysis: price bounds are then obtained by finding all prices of the new security which do not allow the benchmark investor to construct high gain-loss ratio portfolios from the new security and the basis asset ...
... /. The bounds can be made sharper by including other assets, called basis assets, in the analysis: price bounds are then obtained by finding all prices of the new security which do not allow the benchmark investor to construct high gain-loss ratio portfolios from the new security and the basis asset ...
chapter 1 - Test Bank wizard
... that the required rate of return on a stock whose standard deviation is 0.21 will be greater than the required return on a stock whose standard deviation is 0.10. However, if stocks are held in portfolios, it is possible that the required return could be higher on the stock with the low standard dev ...
... that the required rate of return on a stock whose standard deviation is 0.21 will be greater than the required return on a stock whose standard deviation is 0.10. However, if stocks are held in portfolios, it is possible that the required return could be higher on the stock with the low standard dev ...
On stock market returns and returns on investment
... to assume a particular specification of the relative prices. This requires a particular specification for consumer preferences [as in Sharatchandra (1990) or Braun (1990)]. Research which attempts to further exploit the implications of the assumption of market completeness [as in Cochrane (1991)] is ...
... to assume a particular specification of the relative prices. This requires a particular specification for consumer preferences [as in Sharatchandra (1990) or Braun (1990)]. Research which attempts to further exploit the implications of the assumption of market completeness [as in Cochrane (1991)] is ...
The Risky Capital of Emerging Markets – A Long-Run
... common and idiosyncratic transitory shocks (i.e., shocks that affect growth rates for only a single period), which may also lead to return differentials. Quantifying the implications of long-run risks in our model is challenging for two reasons: first, we must disentangle common from idiosyncratic s ...
... common and idiosyncratic transitory shocks (i.e., shocks that affect growth rates for only a single period), which may also lead to return differentials. Quantifying the implications of long-run risks in our model is challenging for two reasons: first, we must disentangle common from idiosyncratic s ...
S2AV: A valuation methodology for insurance companies
... the most important drivers, particularly in the medium to long term, will be the required level of Solvency II capital1 and the own funds available and eligible to cover it. Therefore our proposed valuation methodology focuses on these metrics. However, we note that there may be additional constrain ...
... the most important drivers, particularly in the medium to long term, will be the required level of Solvency II capital1 and the own funds available and eligible to cover it. Therefore our proposed valuation methodology focuses on these metrics. However, we note that there may be additional constrain ...
MGFOA Meeting OPEB 5
... Recognized in expense over average expected remaining service lives of active and inactive members (including retirees) Average remaining service life of inactive members is 0 Resulting amortization periods will be very short Method must be systematic and rational, using closed period Mass ...
... Recognized in expense over average expected remaining service lives of active and inactive members (including retirees) Average remaining service life of inactive members is 0 Resulting amortization periods will be very short Method must be systematic and rational, using closed period Mass ...
Volatility Transmission and Spillovers among Gold, Bonds and
... Since ancient times, gold has served as a means of exchange and storage of wealth. The price of gold is mostly related to economic and political instability, as it has no sovereign credit risk. Gold is a unique asset with safe haven and hedging properties, as it is weakly correlated with other finan ...
... Since ancient times, gold has served as a means of exchange and storage of wealth. The price of gold is mostly related to economic and political instability, as it has no sovereign credit risk. Gold is a unique asset with safe haven and hedging properties, as it is weakly correlated with other finan ...
Macroeconomic effects of secondary market trading
... mechanism operates through a feedback from asset prices to origination incentives. Since producing bad assets is inefficient, banks do so only when they expect to sell them to financiers. This means that the returns to shirking are pinned down by the asset price. Accordingy, banks exert effort when ...
... mechanism operates through a feedback from asset prices to origination incentives. Since producing bad assets is inefficient, banks do so only when they expect to sell them to financiers. This means that the returns to shirking are pinned down by the asset price. Accordingy, banks exert effort when ...
Maximum Market Price of Longevity Risk under Solvency
... insurance seller, but if this entity is not an insurance/reinsurance undertaking and therefore not regulated by Solvency II, a methodological framework based on the RM is not usable to determine the minimum price. When available, upper and lower bounds for the risk premium specify a “price range for ...
... insurance seller, but if this entity is not an insurance/reinsurance undertaking and therefore not regulated by Solvency II, a methodological framework based on the RM is not usable to determine the minimum price. When available, upper and lower bounds for the risk premium specify a “price range for ...
The logic of the option pricing theory is based on the following
... What is option? def: Options are financial instruments that give the owner the right, but not the obligation, to buy or sell an underlying security, or a futures contract. There are mainly two types of options: call option and put option. A call option gives the owner, the right to buy the underlyin ...
... What is option? def: Options are financial instruments that give the owner the right, but not the obligation, to buy or sell an underlying security, or a futures contract. There are mainly two types of options: call option and put option. A call option gives the owner, the right to buy the underlyin ...
Strategic Informed Trades, Diversification, and Expected Returns*
... of informed traders is small, they trade less aggressively on their private information so as to limit the information that uninformed traders can learn from price. This lowers the average precision of information and increases the risk borne by uninformed traders, which raises cost of capital. In ...
... of informed traders is small, they trade less aggressively on their private information so as to limit the information that uninformed traders can learn from price. This lowers the average precision of information and increases the risk borne by uninformed traders, which raises cost of capital. In ...
MAKING CUSTOMERS PAY: MEASURING AND MANAGING
... are of interest in the current context, the purpose of this paper is to draw a further parallel between brands and customer relationships, the notion of the portfolio. It is commonplace for marketing managers to discuss the brand portfolio and the measurement and management of this portfolio, the im ...
... are of interest in the current context, the purpose of this paper is to draw a further parallel between brands and customer relationships, the notion of the portfolio. It is commonplace for marketing managers to discuss the brand portfolio and the measurement and management of this portfolio, the im ...
NBER WORKING PAPER SERIES PREDICTABLE RETURNS AND ASSET ALLOCATION:
... over time and thus excess returns are unpredictable.1 However, an extensive empirical literature has found evidence for predictability in returns on stocks and bonds by scaled-price ratios and interest rates.2 Confronted with this theory and evidence, the literature has focused on two polar viewpoin ...
... over time and thus excess returns are unpredictable.1 However, an extensive empirical literature has found evidence for predictability in returns on stocks and bonds by scaled-price ratios and interest rates.2 Confronted with this theory and evidence, the literature has focused on two polar viewpoin ...
Tilburg University Model uncertainty and
... cover most of the candidate risk factors that have been previously used in the literature, but also introduce some risk factors that have received attention only in recent times, such as the volatility implied by option prices or indicators of interbank stress risk. Details on the motivation for inc ...
... cover most of the candidate risk factors that have been previously used in the literature, but also introduce some risk factors that have received attention only in recent times, such as the volatility implied by option prices or indicators of interbank stress risk. Details on the motivation for inc ...
Coherent Measures of Risk
... a regulator who takes into account the unfavorable states when allowing a risky position that may draw on the resources of the government—for example as a guarantor of last resort; (b) an exchange’s clearing firm, which has to make good on the promises to all parties of transactions being securely c ...
... a regulator who takes into account the unfavorable states when allowing a risky position that may draw on the resources of the government—for example as a guarantor of last resort; (b) an exchange’s clearing firm, which has to make good on the promises to all parties of transactions being securely c ...
Pairs Trading in the UK Equity Market Risk and Return
... Given the majority of hedge fund activity and academic research focuses on the US, what are the returns from following such strategies in the UK? Is there a difference in performance and if so, can it be explained by the different characteristics of the two markets? In this paper we attempt to addr ...
... Given the majority of hedge fund activity and academic research focuses on the US, what are the returns from following such strategies in the UK? Is there a difference in performance and if so, can it be explained by the different characteristics of the two markets? In this paper we attempt to addr ...
Is Default Risk Priced in Equity Returns?
... specifically focuses on the explanation of the ME and BM effects. Furthermore, the CDSP data are for individual U.S. firms (2004–2010), rarely used in studying equity returns, and hand picked to match existing data from accounting and the stock market. In brief, I find that there exists a joint effe ...
... specifically focuses on the explanation of the ME and BM effects. Furthermore, the CDSP data are for individual U.S. firms (2004–2010), rarely used in studying equity returns, and hand picked to match existing data from accounting and the stock market. In brief, I find that there exists a joint effe ...
