Essays in Information and Asset Pricing
... own demand for information, aiming to neutralize the negative externality imposed by overconfidence on the rational agents’ expected profits and welfare. This “reaction” can be observed only when rational traders are free to decide whether or not to become informed. Thus, endogeneity of information ...
... own demand for information, aiming to neutralize the negative externality imposed by overconfidence on the rational agents’ expected profits and welfare. This “reaction” can be observed only when rational traders are free to decide whether or not to become informed. Thus, endogeneity of information ...
Chapter 1: Introduction to Corporate Finance
... As you can see, individual IRR's and PIs are not good for comparing between two mutually exclusive projects. However, we know IRR and PI are good for evaluating whether one project is acceptable. Therefore, consider “one project” that involves switching from the smaller project to the larger p ...
... As you can see, individual IRR's and PIs are not good for comparing between two mutually exclusive projects. However, we know IRR and PI are good for evaluating whether one project is acceptable. Therefore, consider “one project” that involves switching from the smaller project to the larger p ...
Dividend yields, dividend growth, and return predictability
... There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth—e.g. Cochrane’s presidential address (Cochrane (2011)). We extend the analysis conducted in Cochrane (2008, 2011) to equity portfolios sorted on size and ...
... There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth—e.g. Cochrane’s presidential address (Cochrane (2011)). We extend the analysis conducted in Cochrane (2008, 2011) to equity portfolios sorted on size and ...
Evidence of the Abnormal Accrual Anomaly Incremental to
... with returns from random size-matched portfolios. The first two tests are proposed by Bernard et al. (1997). First, they suggest that if anomalous results occur due to investor mispricing and this mispricing relates to an earnings-based anomaly, then abnormal returns should concentrate around future ...
... with returns from random size-matched portfolios. The first two tests are proposed by Bernard et al. (1997). First, they suggest that if anomalous results occur due to investor mispricing and this mispricing relates to an earnings-based anomaly, then abnormal returns should concentrate around future ...
Mathematical Models And Statistical Analysis of Credit Risk
... If M be the unconditional transition matrix, then Mt = (rt − 1) A + M is the Conditional transition matrix. How do we derive the factor rt ? Here A = aij is a suitable matrix such as aij ≥ 0 for i < j and aij ≤ 0 for i > j. The factor rt is just chosen to be the conditional probability of default in ...
... If M be the unconditional transition matrix, then Mt = (rt − 1) A + M is the Conditional transition matrix. How do we derive the factor rt ? Here A = aij is a suitable matrix such as aij ≥ 0 for i < j and aij ≤ 0 for i > j. The factor rt is just chosen to be the conditional probability of default in ...
The takeover announcement effect on the stock price - UvA-DARE
... information would already be part of today’s information. Stock prices that change in response to unpredictable information will move unpredictably. This is the fundamental argumentation to why stock price changes should be random and unpredictable. Consequently stock prices should follow a random w ...
... information would already be part of today’s information. Stock prices that change in response to unpredictable information will move unpredictably. This is the fundamental argumentation to why stock price changes should be random and unpredictable. Consequently stock prices should follow a random w ...
1 Socially responsible investing in the global market
... and 17% of assets under professional management in the US and Europe, respectively, are involved in socially responsible investments (SRIs).1 Furthermore, socially SRIs have been growing at a substantially higher rate than conventional investments. In particular, socially responsible funds constitut ...
... and 17% of assets under professional management in the US and Europe, respectively, are involved in socially responsible investments (SRIs).1 Furthermore, socially SRIs have been growing at a substantially higher rate than conventional investments. In particular, socially responsible funds constitut ...
By Force of Habit: A Consumption-Based
... This formula helps us to specify the model. To produce a timevarying Sharpe ratio, X(s) must vary with s. To produce risk prices that are higher in bad times, when s is low, 3L (s) and hence the volatility of s must increase as s declines. ...
... This formula helps us to specify the model. To produce a timevarying Sharpe ratio, X(s) must vary with s. To produce risk prices that are higher in bad times, when s is low, 3L (s) and hence the volatility of s must increase as s declines. ...
Time-Varying Inflation Risk and the Cross
... In our model, this generates the negative unconditional price of inflation risk observed in the data. Conditionally, the predictability of consumption growth with inflation is determined, in sign and magnitude, by the time-varying nominal-real covariance. Our model uses this timevarying relation be ...
... In our model, this generates the negative unconditional price of inflation risk observed in the data. Conditionally, the predictability of consumption growth with inflation is determined, in sign and magnitude, by the time-varying nominal-real covariance. Our model uses this timevarying relation be ...
spectral methods for volatility derivatives
... exchange rates. The underlying process is stationary as can be inferred from the fact that the implied forward volatility smile behaves in a consistent way (see Figures 7, 8, 9 and 10). There are two features of this model that make it possible to obtain the distributions of the future behaviour of ...
... exchange rates. The underlying process is stationary as can be inferred from the fact that the implied forward volatility smile behaves in a consistent way (see Figures 7, 8, 9 and 10). There are two features of this model that make it possible to obtain the distributions of the future behaviour of ...
Comomentum: Inferring Arbitrage Activity from Return
... that the degree of time-varying long-run reversal is particularly strong in the second half of the sample. This result is consistent with theory as one might expect more destabilizing arbitrage activity due to the phenomenal growth in mutual funds and hedge funds trading momentum over the last thir ...
... that the degree of time-varying long-run reversal is particularly strong in the second half of the sample. This result is consistent with theory as one might expect more destabilizing arbitrage activity due to the phenomenal growth in mutual funds and hedge funds trading momentum over the last thir ...
simulating portfolios by using models of social networks
... assets. I present the conditions, under which agents select mixed portfolios. Games of this part also demonstrated that preserving liquidity is essential for the selection process to work smoothly. It has been demonstrated that one-time shocks affect the selection process in the short run but not ov ...
... assets. I present the conditions, under which agents select mixed portfolios. Games of this part also demonstrated that preserving liquidity is essential for the selection process to work smoothly. It has been demonstrated that one-time shocks affect the selection process in the short run but not ov ...
Margins - ASX Clear - Australian Securities Exchange
... asx Clear will accept. You should check what collateral your broker will accept. In addition, in the event that your broker’s margin obligation is less than the value of collateral which asx Clear requires at any particular time, your broker may (subject to your instructions) hold on to that surplus ...
... asx Clear will accept. You should check what collateral your broker will accept. In addition, in the event that your broker’s margin obligation is less than the value of collateral which asx Clear requires at any particular time, your broker may (subject to your instructions) hold on to that surplus ...
What Ties Return Volatilities to Price Valuations and
... as weighted averages of earnings and inflation uncertainty, so that macroeconomic information impacts volatility in a non-linear way. These endogenous weights crucially depend on both investors’ beliefs about the state of the economy, and their subjective price valuations of stocks and bonds in thos ...
... as weighted averages of earnings and inflation uncertainty, so that macroeconomic information impacts volatility in a non-linear way. These endogenous weights crucially depend on both investors’ beliefs about the state of the economy, and their subjective price valuations of stocks and bonds in thos ...
Option Valuation
... • All of the inputs into the OPM are directly observable, except for the expected standard deviation of returns • The OPM can be used to compute the market’s estimate of future volatility by solving for the standard deviation • This is called the implied standard deviation • Online options calculato ...
... • All of the inputs into the OPM are directly observable, except for the expected standard deviation of returns • The OPM can be used to compute the market’s estimate of future volatility by solving for the standard deviation • This is called the implied standard deviation • Online options calculato ...
Gain/loss Asymmetry and the Leverage Effect
... functions measure the quiet, laminar states. The idea of inverse statistics has been applied in the analysis financial data. For financial time series the inverse question can be written as follows: ‘For a given return on an investment, what is the typical, average time span needed to obtain this re ...
... functions measure the quiet, laminar states. The idea of inverse statistics has been applied in the analysis financial data. For financial time series the inverse question can be written as follows: ‘For a given return on an investment, what is the typical, average time span needed to obtain this re ...
Timing the Treasury Bond Market
... using those indicators, be able to time the market and always hold the asset with the highest return. Treasury bonds and Treasury bills are government bonds, i.e. a financial instrument in which the investor loans money to government for a fixed interest rate. This asset class is considered very saf ...
... using those indicators, be able to time the market and always hold the asset with the highest return. Treasury bonds and Treasury bills are government bonds, i.e. a financial instrument in which the investor loans money to government for a fixed interest rate. This asset class is considered very saf ...
Black and Scholes (1973) and Sharpe (1976) provide an earlier
... Unfunded pension liabilities are a debt of the sponsoring employer and therefore can be valued using financial economics principle. As pension obligations are options-like, it was natural to use option-pricing analysis proposed by Black and Scholes (1973) to evaluate the economic cost of unfunded li ...
... Unfunded pension liabilities are a debt of the sponsoring employer and therefore can be valued using financial economics principle. As pension obligations are options-like, it was natural to use option-pricing analysis proposed by Black and Scholes (1973) to evaluate the economic cost of unfunded li ...
The Relation between information in option prices and short term
... is expected to return to its long term mean6. Strong positive volatility skewness should therefore be positively related to upcoming short term return. The evidence of mean-reversion in stock markets is strong and in this study I will use the information in option prices to measure how close the ma ...
... is expected to return to its long term mean6. Strong positive volatility skewness should therefore be positively related to upcoming short term return. The evidence of mean-reversion in stock markets is strong and in this study I will use the information in option prices to measure how close the ma ...
product key facts
... There is no assurance that RMB will not be subject to devaluation. Any devaluation of RMB could adversely affect the value of the investors’ investments. If investors convert other currencies into RMB so as to invest in the RMB classes of units and subsequently convert the RMB redemption proceeds ba ...
... There is no assurance that RMB will not be subject to devaluation. Any devaluation of RMB could adversely affect the value of the investors’ investments. If investors convert other currencies into RMB so as to invest in the RMB classes of units and subsequently convert the RMB redemption proceeds ba ...
Labor Mobility and the Cross-Section of Expected Returns
... Factor mobility–the ability to reallocate resources across the economy–maximizes aggregate output, mitigates asymmetric shocks, and thus increases total welfare. Although a positivesum game at the aggregate level, factor mobility makes some players worse off, in particular those who lack control ove ...
... Factor mobility–the ability to reallocate resources across the economy–maximizes aggregate output, mitigates asymmetric shocks, and thus increases total welfare. Although a positivesum game at the aggregate level, factor mobility makes some players worse off, in particular those who lack control ove ...