Stock Market Predictability and Industrial Metal Returns
... world wide. Increasing metal prices are good news for equity markets in recessions and bad news in expansions. Industrial metals returns forecast changes in the economy and information gradually diffuses from metals to stocks through both the discount rate and cash flow channels. Out-of-sample R2’s ...
... world wide. Increasing metal prices are good news for equity markets in recessions and bad news in expansions. Industrial metals returns forecast changes in the economy and information gradually diffuses from metals to stocks through both the discount rate and cash flow channels. Out-of-sample R2’s ...
DP2008/08 A macro stress testing model with feedback effects Mizuho Kida
... bracket sums the expected coupon payments between t and t − 1 from asset classes that have re-priced l periods prior to time t . To keep the baseline model as simple as possible, we assume that every borrower will roll over her loan with the same maturity bucket as before, or equivalently, a bank w ...
... bracket sums the expected coupon payments between t and t − 1 from asset classes that have re-priced l periods prior to time t . To keep the baseline model as simple as possible, we assume that every borrower will roll over her loan with the same maturity bucket as before, or equivalently, a bank w ...
- Arcadis
... analysis, a minor refurbishment in Milan will deliver a marginally better return on costs, excluding any asset value appreciation. PARIS will achieve a low return from a major ...
... analysis, a minor refurbishment in Milan will deliver a marginally better return on costs, excluding any asset value appreciation. PARIS will achieve a low return from a major ...
Investor Sentiment and Beta Pricing
... negative affect. Thus, Johnson and Tversky (1983) show that people that read newspaper articles with negative phrases subsequently view adverse events as more likely. In general, positive sentiment results in overly optimistic views, and vice versa (Bower 1981, 1991; Arkes, Herren, and Isen 1988; Wr ...
... negative affect. Thus, Johnson and Tversky (1983) show that people that read newspaper articles with negative phrases subsequently view adverse events as more likely. In general, positive sentiment results in overly optimistic views, and vice versa (Bower 1981, 1991; Arkes, Herren, and Isen 1988; Wr ...
Value at Risk
... Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
... Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
Value at Risk - Binus Repository
... Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
... Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
Financial Applications of Copula Functions
... Gaussian VaR underestimates systematically the risk for a confidence level greater than 95%. That explains why that parametric (or Gaussian) VaR are not very often used by international banks. Nevertheless, the copula framework is likely to lead in the near future to more realistic parametric or sem ...
... Gaussian VaR underestimates systematically the risk for a confidence level greater than 95%. That explains why that parametric (or Gaussian) VaR are not very often used by international banks. Nevertheless, the copula framework is likely to lead in the near future to more realistic parametric or sem ...
Does Academic Research Destroy Stock Return Predictability?*
... Finance research has uncovered many cross-sectional relations between predetermined variables and future stock returns. Beyond historical curiosity, these relations are relevant to the extent they provide insight into the future. Whether or not the typical relation continues outside of a study’s or ...
... Finance research has uncovered many cross-sectional relations between predetermined variables and future stock returns. Beyond historical curiosity, these relations are relevant to the extent they provide insight into the future. Whether or not the typical relation continues outside of a study’s or ...
Value at Risk
... Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
... Regulators base the capital they require banks to keep on VaR The market-risk capital is k times the 10day 99% VaR where k is at least 3.0 ...
NBER WORKING PAPER SERIES THE EQUITY PREMIUM IN RETROSPECT Rajnish Mehra
... More than two decades ago, we demonstrated that the equity premium (the return earned by a risky security in excess of that earned by a relatively risk-free T-bill), was an order of magnitude greater than could be rationalized in the context of the standard neoclassical paradigms of financial econom ...
... More than two decades ago, we demonstrated that the equity premium (the return earned by a risky security in excess of that earned by a relatively risk-free T-bill), was an order of magnitude greater than could be rationalized in the context of the standard neoclassical paradigms of financial econom ...
Stock Price Volatility and the Equity Premium
... about future dividends arising from a simple learning heuristic can increase stock return volatility relative to a setting in which the stochastic process for dividends is known.7 In this paper we develop a model of stock prices and dividends in a stochastic dynamic general equilibrium setting with ...
... about future dividends arising from a simple learning heuristic can increase stock return volatility relative to a setting in which the stochastic process for dividends is known.7 In this paper we develop a model of stock prices and dividends in a stochastic dynamic general equilibrium setting with ...
Financial Asset and Financial Liability
... If you chose C, you have done the calculation you 20X4. If you chose D, you have used 8% of the full $100,000 and done the calculation for 20X4. If you chose A, you have used 8% of the full $100,000 ...
... If you chose C, you have done the calculation you 20X4. If you chose D, you have used 8% of the full $100,000 and done the calculation for 20X4. If you chose A, you have used 8% of the full $100,000 ...
Suboptimality with land Nikos Kokonas and Herakles Polemarchakis
... never short-sell land, while parameter values shall be such that, at the stationary equilibrium, young generations also do not short-sell. An economy is specified by the parameters (f, ey , em , . . . , πs , . . . s , . . .), and a property is robust if it obtains for an open set of economies. At a ...
... never short-sell land, while parameter values shall be such that, at the stationary equilibrium, young generations also do not short-sell. An economy is specified by the parameters (f, ey , em , . . . , πs , . . . s , . . .), and a property is robust if it obtains for an open set of economies. At a ...
I. What`s wrong with NPV? - Cambridge University Engineering
... lower than the risk of an individual project because underachieving on one project can be balanced out by overachieving on another and it is unlikely that all projects underachieve. In other words, a holder of a portfolio of independent projects can neglect individual project risk and can base decis ...
... lower than the risk of an individual project because underachieving on one project can be balanced out by overachieving on another and it is unlikely that all projects underachieve. In other words, a holder of a portfolio of independent projects can neglect individual project risk and can base decis ...
Risk analysis of the proxy life-cycle investments in the second pillar
... as possible, in practice there are only three to five pension funds of various risk categories. Depending on the number of funds, for a member it is necessary to define the moment of the automatic switch to a lower risk profile fund, and if members are also able to change the risk profile of a fund ...
... as possible, in practice there are only three to five pension funds of various risk categories. Depending on the number of funds, for a member it is necessary to define the moment of the automatic switch to a lower risk profile fund, and if members are also able to change the risk profile of a fund ...
Going mainstream – how absolute return is moving into the
... and relative return funds. Namely: Absolute return funds display a narrow range of returns in all market conditions; a higher likelihood of delivering positive outperformance when market returns are negative and a tendency to underperform when markets are rising strongly. Conversely, relative return ...
... and relative return funds. Namely: Absolute return funds display a narrow range of returns in all market conditions; a higher likelihood of delivering positive outperformance when market returns are negative and a tendency to underperform when markets are rising strongly. Conversely, relative return ...
Pricing with Splines - Annals of Economics and Statistics
... The Laplace derivative pricing formulas have their own interest and can be easily compared with the standard Black-Scholes formula, which assumes exponentialaffine s.d.f., but Gaussian (conditional) return distribution. First the pricing formulas are simpler and in particular they avoid the use of t ...
... The Laplace derivative pricing formulas have their own interest and can be easily compared with the standard Black-Scholes formula, which assumes exponentialaffine s.d.f., but Gaussian (conditional) return distribution. First the pricing formulas are simpler and in particular they avoid the use of t ...
NBER WORKING PAPER SERIES
... describe statistical approaches that control for the number of searches. In financial economics the problem is usually complicated by the fact that many researchers use the same data sets. Thus, the data are effectively mined by an unknown number of previous researchers (see, e.g. Lo and MacKinlay, ...
... describe statistical approaches that control for the number of searches. In financial economics the problem is usually complicated by the fact that many researchers use the same data sets. Thus, the data are effectively mined by an unknown number of previous researchers (see, e.g. Lo and MacKinlay, ...
JSE SAVI Squared Brochure A4.cdr
... introduces a truncation error. This range is heavily dependent on the range of volatilities available. Note that the fair variance accuracy is more sensitive to the strike range, than the strike increments. In other words, the accuracy of the fair variance is more prone to truncation errors. Safex p ...
... introduces a truncation error. This range is heavily dependent on the range of volatilities available. Note that the fair variance accuracy is more sensitive to the strike range, than the strike increments. In other words, the accuracy of the fair variance is more prone to truncation errors. Safex p ...