Asset Price Dynamics in Partially Segmented Markets ∗
... Fed actually starts selling? Although yields in both markets react immediately, both markets exhibit signi…cant underreaction: the short-run price impact is signi…cantly less than the long-run impact. Immediately upon the announcement, generalists begin to gradually adjust in the direction of the a ...
... Fed actually starts selling? Although yields in both markets react immediately, both markets exhibit signi…cant underreaction: the short-run price impact is signi…cantly less than the long-run impact. Immediately upon the announcement, generalists begin to gradually adjust in the direction of the a ...
International Diversification Versus Domestic Diversification: Mean
... compare the performance of DOD and IND portfolios. We discuss the methodologies used in the paper in the following subsections. The selected stocks are listed by market capitalization. 3.2. Portfolio Optimization We first adopt the classical portfolio optimization (PO) model [1] to determine the fra ...
... compare the performance of DOD and IND portfolios. We discuss the methodologies used in the paper in the following subsections. The selected stocks are listed by market capitalization. 3.2. Portfolio Optimization We first adopt the classical portfolio optimization (PO) model [1] to determine the fra ...
NBER WORKING PAPER SERIES EXPLAINING DEVIATIONS FROM UNCOVERED INTEREST PARITY Robert E. Cumby
... strictly correct. See Frenkel and Razin (1980), Engel 11984), and section III below. However, since it has become standard practice in the literature to do so, and since the evidence in section III shows that such a covariance is not the explanation for nonzero expected nominal speculative returns, ...
... strictly correct. See Frenkel and Razin (1980), Engel 11984), and section III below. However, since it has become standard practice in the literature to do so, and since the evidence in section III shows that such a covariance is not the explanation for nonzero expected nominal speculative returns, ...
Rising Rate Jan 2017 - web version FINAL.indd
... guaranteed, and such opinions and data may be subject to change without no ce. Although the informa on is obtained from sources deemed to be reliable, neither MCM nor its affiliates can guarantee the accuracy of the informa on. Market indices have been provided for comparison purposes only. Indices ar ...
... guaranteed, and such opinions and data may be subject to change without no ce. Although the informa on is obtained from sources deemed to be reliable, neither MCM nor its affiliates can guarantee the accuracy of the informa on. Market indices have been provided for comparison purposes only. Indices ar ...
Geometric or Arithmetic Mean: A Reconsideration
... mean return of the portfolio is not known, but must be estimated, we demonstrate that compounding at the sample arithmetic average return results in an upwardly biased estimate of final portfolio value even if the sample estimate of mean return is itself unbiased. Neither does the geometric average ...
... mean return of the portfolio is not known, but must be estimated, we demonstrate that compounding at the sample arithmetic average return results in an upwardly biased estimate of final portfolio value even if the sample estimate of mean return is itself unbiased. Neither does the geometric average ...
A Model of Capital and Crises Zhiguo He Arvind Krishnamurthy May 2011
... Financial crises, such as the hedge fund crisis of 1998 or the 2007/2008 subprime crisis, have several common characteristics: risk premia rise, interest rates fall, conditional volatilities of asset prices rise, correlations between assets rise, and investors “‡y to the quality” of a riskless liqui ...
... Financial crises, such as the hedge fund crisis of 1998 or the 2007/2008 subprime crisis, have several common characteristics: risk premia rise, interest rates fall, conditional volatilities of asset prices rise, correlations between assets rise, and investors “‡y to the quality” of a riskless liqui ...
Gold Is A Safe Haven Asset
... U.S. Dollar Index (USDX) - 1970 to Today - Bloomberg “Gold will prove a haven from currency storms” is the conclusion of a wide-ranging analysis of the world monetary system by Official Monetary and Financial Institutions Forum, (OMFIF), the global monetary think-tank. The OMFIF report entitled, ‘Go ...
... U.S. Dollar Index (USDX) - 1970 to Today - Bloomberg “Gold will prove a haven from currency storms” is the conclusion of a wide-ranging analysis of the world monetary system by Official Monetary and Financial Institutions Forum, (OMFIF), the global monetary think-tank. The OMFIF report entitled, ‘Go ...
THE CAPITAL ASSET PRICING MODEL`S RISK
... security. Bruner et al. (1998) found wide variation in the choice of risk-free rates for the CAPM. Practitioners strongly prefer long-term bonds; 70% of corporations and financial advisors use Treasury bonds with maturities of ten years or greater, while 10% or less use Treasury bills. By contrast, ...
... security. Bruner et al. (1998) found wide variation in the choice of risk-free rates for the CAPM. Practitioners strongly prefer long-term bonds; 70% of corporations and financial advisors use Treasury bonds with maturities of ten years or greater, while 10% or less use Treasury bills. By contrast, ...
Predictable returns and asset allocation
... a well-defined prior over the R2 . In our empirical implementation, we consider returns on a stock index and on a long-term bond. The predictor variables are the dividend-price ratio and the yield spread between Treasuries of different maturities. We find that the evidence is sufficient to convince ...
... a well-defined prior over the R2 . In our empirical implementation, we consider returns on a stock index and on a long-term bond. The predictor variables are the dividend-price ratio and the yield spread between Treasuries of different maturities. We find that the evidence is sufficient to convince ...
the valuation of equity derivatives
... degree of confidence that should be placed on the valuations that were provided. It has also became apparent that some of the accounting requirements for measuring instruments would have benefited from being informed at the time of their creation by an established source of recognised valuation best ...
... degree of confidence that should be placed on the valuations that were provided. It has also became apparent that some of the accounting requirements for measuring instruments would have benefited from being informed at the time of their creation by an established source of recognised valuation best ...
Collateral-Motivated Financial Innovation
... To understand these issues, first consider a benchmark case without collateral frictions. In this case, if an investor defaults on his promise (e.g., debt or a short position in an Arrow security), his counterparty can seize the collateral the investor has posted for the trade and the defaulting inve ...
... To understand these issues, first consider a benchmark case without collateral frictions. In this case, if an investor defaults on his promise (e.g., debt or a short position in an Arrow security), his counterparty can seize the collateral the investor has posted for the trade and the defaulting inve ...
NBIM DIscussIoN NoTE Momentum in Futures Market
... margins to account for the increased risk. Volatility parity portfolios which are based on inversevolatility weighting are therefore less affected by margin calls, ignoring leverage levels for the moment. However, one of the main issues with volatility parity is that low-risk assets can dominate the ...
... margins to account for the increased risk. Volatility parity portfolios which are based on inversevolatility weighting are therefore less affected by margin calls, ignoring leverage levels for the moment. However, one of the main issues with volatility parity is that low-risk assets can dominate the ...
A Partial Internal Model for Credit and Market Risk Under Solvency II
... companies’ annual reports and investor presentations, taking the requirements of the Solvency II standard model and the Standard & Poor’s rating model into account. According to Höring (2012), the representative life insurance company provides traditional life insurance products and does not engage ...
... companies’ annual reports and investor presentations, taking the requirements of the Solvency II standard model and the Standard & Poor’s rating model into account. According to Höring (2012), the representative life insurance company provides traditional life insurance products and does not engage ...
NBER WORKING PAPER SERIES Stephen G. Cecchetti
... output and price-level gaps – have fatter tails than others. But if one were to use the normal distribution, the errors would be large – averaging roughly 50%. For the U.S., the 5th percentile of the normal distribution implies a deviation of output from trend of slightly more than -2½%. Taking the ...
... output and price-level gaps – have fatter tails than others. But if one were to use the normal distribution, the errors would be large – averaging roughly 50%. For the U.S., the 5th percentile of the normal distribution implies a deviation of output from trend of slightly more than -2½%. Taking the ...
Proposed Technical Information Paper 2 Depreciated Replacement
... participant. Such situations are quite rare in practice. Replacement cost new is often, but not always lower than reproduction cost new. If it is the intention to illustrate a general point regarding fixed assets, we would urge caution with the use of examples that appear real property specific and ...
... participant. Such situations are quite rare in practice. Replacement cost new is often, but not always lower than reproduction cost new. If it is the intention to illustrate a general point regarding fixed assets, we would urge caution with the use of examples that appear real property specific and ...
Testing CAPM
... – Stambaugh (1982): similar results if add to stock index bonds and real estate: unable to reject zero-beta CAPM – Shanken (1987): if correlation between stock index and true global index exceeds 0.7-0.8, CAPM is rejected ...
... – Stambaugh (1982): similar results if add to stock index bonds and real estate: unable to reject zero-beta CAPM – Shanken (1987): if correlation between stock index and true global index exceeds 0.7-0.8, CAPM is rejected ...
Is the Growth-value Anomaly Related to the Asset Growth Anomaly?
... “growth” stocks delivering lower future abnormal stock returns than low market-to-book equity firms or “value” stocks. Besides, the literature recently documented the asset growth anomaly (see, e.g., Cooper, Gulen, and Schill, 2008; Watanabe, Xu, Yao, Yu, 2013). It refers to high total asset growth ...
... “growth” stocks delivering lower future abnormal stock returns than low market-to-book equity firms or “value” stocks. Besides, the literature recently documented the asset growth anomaly (see, e.g., Cooper, Gulen, and Schill, 2008; Watanabe, Xu, Yao, Yu, 2013). It refers to high total asset growth ...
Modelling and Hedging Options under Stochastic Pricing Parameters‡
... transformation analysis. We first estimate the model’s implied parameter processes by using time-series models. Using a method of Merton (1976) we then hedge all continuous uncertainties in the option processes that are correlated with the underlying asset price. These uncertainties are due to the c ...
... transformation analysis. We first estimate the model’s implied parameter processes by using time-series models. Using a method of Merton (1976) we then hedge all continuous uncertainties in the option processes that are correlated with the underlying asset price. These uncertainties are due to the c ...
Volatility of an Impossible Object Risk, Fear, and Safety in Games of
... when you fight you have to be willing to take a punch. You’re going to have to, and it’s not about how many you give but about how many you can take and who’s the best about learning to take a punch properly” He adds, “as long as he doesn’t get you on the button square, then you’ll be alright.” (8) ...
... when you fight you have to be willing to take a punch. You’re going to have to, and it’s not about how many you give but about how many you can take and who’s the best about learning to take a punch properly” He adds, “as long as he doesn’t get you on the button square, then you’ll be alright.” (8) ...
No Slide Title
... Customer pays notional of 100 today. We pay a coupon of x% (p.a.) in 3 months. If spot price is above 100 at the end of the 3-month period, then the deal is terminated and we pay back 100 to him on that date. If the spot price is below 100, then a further coupon of 2% (p.a.) is paid in 6 months. The ...
... Customer pays notional of 100 today. We pay a coupon of x% (p.a.) in 3 months. If spot price is above 100 at the end of the 3-month period, then the deal is terminated and we pay back 100 to him on that date. If the spot price is below 100, then a further coupon of 2% (p.a.) is paid in 6 months. The ...
VALUE -OR iE NTED iN VESTMENTMANAGEMENT Fox Asset
... There have been no enforcement actions of any kind, including criminal, civil or administrative proceedings, taken against our firm, its officers, directors or investment professionals, by the Securities and Exchange Commission (“SEC”), other regulatory bodies, or other legal authorities since the i ...
... There have been no enforcement actions of any kind, including criminal, civil or administrative proceedings, taken against our firm, its officers, directors or investment professionals, by the Securities and Exchange Commission (“SEC”), other regulatory bodies, or other legal authorities since the i ...
