The Role of Operating Leverage in Asset Pricing
... to an external supplier, and bear higher variable costs but lower fixed costs. Alternatively, it may as well purchase the property and machinery for production, which incurs a high level of fixed costs but lower variable costs in turn. Operating leverage, i.e. the trade-off between fixed and variabl ...
... to an external supplier, and bear higher variable costs but lower fixed costs. Alternatively, it may as well purchase the property and machinery for production, which incurs a high level of fixed costs but lower variable costs in turn. Operating leverage, i.e. the trade-off between fixed and variabl ...
Pricing Volatility Swaps Under Heston`s Stochastic
... Business, University of Calgary, Calgary, Alberta, Canada, T2N 1N4; Email: [email protected]; ...
... Business, University of Calgary, Calgary, Alberta, Canada, T2N 1N4; Email: [email protected]; ...
Wealth decumulation, portfolio composition and financial literacy
... In a recent paper Brunetti et al. (2012) explore the potential link between an illiquid household portfolio and financial fragility, which they define as having insufficient liquid assets to cope with unexpected expenses. Their main findings are that, in addition to standard demographic factors such ...
... In a recent paper Brunetti et al. (2012) explore the potential link between an illiquid household portfolio and financial fragility, which they define as having insufficient liquid assets to cope with unexpected expenses. Their main findings are that, in addition to standard demographic factors such ...
Trading Returns Based on Term Structure Residuals in the
... wealth from risky investments into safer assets. Furthermore, governments have undertaken extensive quantitative easing in order to respond to the economic slowdown, which has further accelerated this increase in the government bond market (TheCityUK 2011). These numbers underscore the crucial role ...
... wealth from risky investments into safer assets. Furthermore, governments have undertaken extensive quantitative easing in order to respond to the economic slowdown, which has further accelerated this increase in the government bond market (TheCityUK 2011). These numbers underscore the crucial role ...
Application of Relative Entropy in Finding the Minimal Equivalent
... a hidden Markov Chain process to various financial problems. For an overview of hidden Markov Chain processes and their financial applications, see Elliott et al. [11] and Elliott and Kopp [12]. Some works on the use of hidden Markov Chain models in finance include Elliott and van der Hoek [13] for ...
... a hidden Markov Chain process to various financial problems. For an overview of hidden Markov Chain processes and their financial applications, see Elliott et al. [11] and Elliott and Kopp [12]. Some works on the use of hidden Markov Chain models in finance include Elliott and van der Hoek [13] for ...
Writing your charity`s investment policy
... What is this guide for? ....................................................................................................................... 1 Who is this guide for? ......................................................................................................................... 1 Why h ...
... What is this guide for? ....................................................................................................................... 1 Who is this guide for? ......................................................................................................................... 1 Why h ...
The Expected Value Premium - Weatherhead School of Management
... each portfolio. We estimate r̄ as the sample average of the realized real equity returns, and ḡ as the sample average of the real dividend growth rates. Agt+1 is an infinite sum of future real dividend growth rates. In practice we use a finite sum of 100 years of future growth. We assume that the ...
... each portfolio. We estimate r̄ as the sample average of the realized real equity returns, and ḡ as the sample average of the real dividend growth rates. Agt+1 is an infinite sum of future real dividend growth rates. In practice we use a finite sum of 100 years of future growth. We assume that the ...
Cost of capital and earnings transparency
... changes in firm value from earnings or from other sources, our measure reflects only the extent to which earnings and change in earnings, and information correlated with earnings and change in earnings, explain returns. Because both earnings transparency and cost of capital can differ across firms and ...
... changes in firm value from earnings or from other sources, our measure reflects only the extent to which earnings and change in earnings, and information correlated with earnings and change in earnings, explain returns. Because both earnings transparency and cost of capital can differ across firms and ...
On the Design of Collateralized Debt Obligation
... volume of securitization issuance was estimated to be roughly 270 bn USD for 1997 and about 2100 bn USD for 2006 (HBSC (2007)). The recent subprime-crisis depressed the issuance volume. Securitizations were accused of fostering intransparancy of bank risks which dried out the liquidity in the interb ...
... volume of securitization issuance was estimated to be roughly 270 bn USD for 1997 and about 2100 bn USD for 2006 (HBSC (2007)). The recent subprime-crisis depressed the issuance volume. Securitizations were accused of fostering intransparancy of bank risks which dried out the liquidity in the interb ...
Consistent Variance Curve Models
... models can be used to obtain hedges of payoffs in terms of stock price and traded variance swaps. Finally, we use our previous results and apply them to the standard market practise of recalibration of various models. Taking Heston’s popular model [H93] as an example, we show that mean-reversion sho ...
... models can be used to obtain hedges of payoffs in terms of stock price and traded variance swaps. Finally, we use our previous results and apply them to the standard market practise of recalibration of various models. Taking Heston’s popular model [H93] as an example, we show that mean-reversion sho ...
Essays on the Forecasting Power of Implied Volatility
... same volatility for all European options with the same exercise price and time to maturity. But in reality, due to either Black-Scholes not being the correct model or to the existence of market frictions and measurement problems, we observe different implied volatilities for options on the same unde ...
... same volatility for all European options with the same exercise price and time to maturity. But in reality, due to either Black-Scholes not being the correct model or to the existence of market frictions and measurement problems, we observe different implied volatilities for options on the same unde ...
Stochastic Volatility: Modeling and Asymptotic Approaches to Option
... The availability of high-frequency data over the past twenty years brings with it issues of deciphering market micro-structure effects such as bid-ask bounce, which contaminate the potential usefulness of such large data sets, and we refer to the recent book Aı̈t-Sahalia and Jacod (2014) for an overv ...
... The availability of high-frequency data over the past twenty years brings with it issues of deciphering market micro-structure effects such as bid-ask bounce, which contaminate the potential usefulness of such large data sets, and we refer to the recent book Aı̈t-Sahalia and Jacod (2014) for an overv ...
Firm-specific attributes and the cross-section of
... second drug therefore contributes little to the overall value of the firm and news about potential future demand for the second drug has little effect on the firm’s value. If the second drug makes it to advanced stages of development, the value of the overall firm increases because cash flows from marke ...
... second drug therefore contributes little to the overall value of the firm and news about potential future demand for the second drug has little effect on the firm’s value. If the second drug makes it to advanced stages of development, the value of the overall firm increases because cash flows from marke ...
Asymptotic Arbitrage in Large Financial Markets With - HAL
... security, ∆Bt is the control, and diag x denotes the diagonal operator generated by the vector x. The first term in the rhs of the dynamics means that the portfolio, before an action of the agent, evolves according to the price movings. The second one corresponds to transfers decided by the agent. I ...
... security, ∆Bt is the control, and diag x denotes the diagonal operator generated by the vector x. The first term in the rhs of the dynamics means that the portfolio, before an action of the agent, evolves according to the price movings. The second one corresponds to transfers decided by the agent. I ...
Financial reporting developments: Asset Retirement Obligations
... Throughout this publication references to guidance in the codification are shown using these reference numbers. References are also made to certain pre-codification standards (and specific sections or paragraphs of pre-Codification standards) in situations in which the content being discussed is exc ...
... Throughout this publication references to guidance in the codification are shown using these reference numbers. References are also made to certain pre-codification standards (and specific sections or paragraphs of pre-Codification standards) in situations in which the content being discussed is exc ...
Measuring and Managing Credit Risk: Understanding the EDF
... • Repeat the exercise for all ranges of DD • Measure forward default observations for periods from 1 year to 5 years • Form new buckets every year through the present and repeat steps COPYRIGHT © 2004 MOODY’S KMV COMPANY. ALL RIGHTS RESERVED. ...
... • Repeat the exercise for all ranges of DD • Measure forward default observations for periods from 1 year to 5 years • Form new buckets every year through the present and repeat steps COPYRIGHT © 2004 MOODY’S KMV COMPANY. ALL RIGHTS RESERVED. ...
Evaluation of Active Management of the Norwegian Government
... In line with the brief, the report has three main sections. The first undertakes a review of the theory and empirical evidence on the Efficient Market Hypothesis [EMH]. If markets are completely efficient, active portfolio management has little potential to add to fund performance. Therefore, in ...
... In line with the brief, the report has three main sections. The first undertakes a review of the theory and empirical evidence on the Efficient Market Hypothesis [EMH]. If markets are completely efficient, active portfolio management has little potential to add to fund performance. Therefore, in ...
Stable Paretian Distributions
... 1 < α < 2 the stable Paretian distribution has a finite mean given by ...
... 1 < α < 2 the stable Paretian distribution has a finite mean given by ...
Smart Beta - A referential guide for institutional investors
... hit investment capacity constraints.” “One needs to draw a distinction between a factor and a risk premium, or more precisely, a ‘return premium,’” he says. “For example, selecting or weighting component securities by book yield, dividend yield or earnings yield may all, to varying degrees, provide ...
... hit investment capacity constraints.” “One needs to draw a distinction between a factor and a risk premium, or more precisely, a ‘return premium,’” he says. “For example, selecting or weighting component securities by book yield, dividend yield or earnings yield may all, to varying degrees, provide ...
