The Cross-Section and Time Series of Stock and Bond Returns
... to the level of the term structure accounts for the difference in excess returns on five maturity-sorted government bond portfolios, consistent with Cochrane and Piazzesi (2008). Third, exposure to the market return accounts for the aggregate equity premium. This three-factor model reduces mean abso ...
... to the level of the term structure accounts for the difference in excess returns on five maturity-sorted government bond portfolios, consistent with Cochrane and Piazzesi (2008). Third, exposure to the market return accounts for the aggregate equity premium. This three-factor model reduces mean abso ...
Global Intangible Financial Tracker 2016 An annual
... ensuring that information is influential, relevant and underpins analysis on a basis of trust across and beyond the business. The Principles therefore provide the new operating framework for quality decision making to create and preserve value for the short, medium and long term. About CIMA Taking t ...
... ensuring that information is influential, relevant and underpins analysis on a basis of trust across and beyond the business. The Principles therefore provide the new operating framework for quality decision making to create and preserve value for the short, medium and long term. About CIMA Taking t ...
Aggregate Jump and Volatility Risk in the Cross
... studying the effect of stochastic volatility by their high sensitivity to volatility— they have large vegas—and their insensitivity to market returns. However, this only holds for small diffusive shocks. In a world with jumps, straddle returns are subject to hedging error due to the positive gamma o ...
... studying the effect of stochastic volatility by their high sensitivity to volatility— they have large vegas—and their insensitivity to market returns. However, this only holds for small diffusive shocks. In a world with jumps, straddle returns are subject to hedging error due to the positive gamma o ...
Time-varying expected momentum profits
... of the value premium. Our paper is not the first to examine the procyclicality of momentum profits. Chordia and Shivakumar (2002), Cooper et al. (2004) and Stivers and Sun (2010) already documented procyclical variations in momentum profits. Unlike the previous literature, however, this paper shows tha ...
... of the value premium. Our paper is not the first to examine the procyclicality of momentum profits. Chordia and Shivakumar (2002), Cooper et al. (2004) and Stivers and Sun (2010) already documented procyclical variations in momentum profits. Unlike the previous literature, however, this paper shows tha ...
Dedicated Short Bias Hedge Funds
... literature are simply the misspecification of “alternative beta” (Jaeger and Wagner [2005]). During our research we examine four distinct but complementary performance measurement models. Our first model consists of traditional risk factors and as such decomposes hedge fund returns into alpha and “t ...
... literature are simply the misspecification of “alternative beta” (Jaeger and Wagner [2005]). During our research we examine four distinct but complementary performance measurement models. Our first model consists of traditional risk factors and as such decomposes hedge fund returns into alpha and “t ...
Risk Analysis of Collateralized Debt Obligations
... derivatives.1 The basic valuation problem is to estimate the price of default insurance, i.e., the arbitrage-free value of the portfolio derivative at contract inception. This value is given by the expected discounted derivative cash flows relative to a risk-neutral pricing measure. After inception, ...
... derivatives.1 The basic valuation problem is to estimate the price of default insurance, i.e., the arbitrage-free value of the portfolio derivative at contract inception. This value is given by the expected discounted derivative cash flows relative to a risk-neutral pricing measure. After inception, ...
Chapter 13 Equity Valuation Multiple Choice Questions 1. The
... year. Dividends are expected to grow at the rate of 8% per year. The risk-free rate of return is 4%, and the expected return on the market portfolio is 14%. Investors use the CAPM to compute the market capitalization rate on the stock and use the constant-growth DDM to determine the intrinsic value ...
... year. Dividends are expected to grow at the rate of 8% per year. The risk-free rate of return is 4%, and the expected return on the market portfolio is 14%. Investors use the CAPM to compute the market capitalization rate on the stock and use the constant-growth DDM to determine the intrinsic value ...
The Credit Spread Puzzle - Myth or Reality?
... evidence of any credit spread puzzle. One approach to testing structural models is to use average firm variables such as asset volatility and leverage ratio as input in a structural model and compare model-implied spread with average actual spread over a period. This is always done for different rat ...
... evidence of any credit spread puzzle. One approach to testing structural models is to use average firm variables such as asset volatility and leverage ratio as input in a structural model and compare model-implied spread with average actual spread over a period. This is always done for different rat ...
Property, plant and equipment
... their intrinsic value is unlikely to be reflected in financial terms based on a market price; ...
... their intrinsic value is unlikely to be reflected in financial terms based on a market price; ...
Forecasting Volatility in Financial Markets: A Review
... Poon and Granger: Forecasting Volatility in Financial Markets set aside reserve capital of at least three times that of value-at-risk (VaR), which is defined as the minimum expected loss with a 1-percent confidence level for a given time horizon (usually one or ten days). Sometimes, a 5-percent crit ...
... Poon and Granger: Forecasting Volatility in Financial Markets set aside reserve capital of at least three times that of value-at-risk (VaR), which is defined as the minimum expected loss with a 1-percent confidence level for a given time horizon (usually one or ten days). Sometimes, a 5-percent crit ...
Press release of Banco de Portugal on the independent evaluation
... Taking as reference the value of assets, liabilities, off-balance-sheet items and assets under management as calculated by PwC, and based on the information reported by Novo Banco, the Pillar 1 common equity tier 1 – CET1 – ratio stands at 9.2% on a consolidated basis. Banco de Portugal clarifies t ...
... Taking as reference the value of assets, liabilities, off-balance-sheet items and assets under management as calculated by PwC, and based on the information reported by Novo Banco, the Pillar 1 common equity tier 1 – CET1 – ratio stands at 9.2% on a consolidated basis. Banco de Portugal clarifies t ...
handbook(2014.10)
... A futures contract is an agreement to buy or sell the specified asset of a specific volume at the predetermined price on a specific future date. Futures transactions were introduced to the financial market with a background where adoption of floating rate system for US dollar and interest-rate liber ...
... A futures contract is an agreement to buy or sell the specified asset of a specific volume at the predetermined price on a specific future date. Futures transactions were introduced to the financial market with a background where adoption of floating rate system for US dollar and interest-rate liber ...
Commonality In The Determinants Of Expected Stock Returns
... increasingly apparent that these models can have low power. In spite of this, we include the standard market related beta3 and betas related macro-economic variables. These include monthly percentage changes in industrial production and inflation, the rate of return on 30 day Treasury bills, as well ...
... increasingly apparent that these models can have low power. In spite of this, we include the standard market related beta3 and betas related macro-economic variables. These include monthly percentage changes in industrial production and inflation, the rate of return on 30 day Treasury bills, as well ...
The Swaps Market: A Case Study Detailing Market
... It is interesting to note that the innovation of swaps was entirely solution driven – that is, they were brought about to codify and simplify the tedious back-to-back loans that were painstakingly being employed by corporations. Once these first swaps were conducted, their ability to transfer risk ...
... It is interesting to note that the innovation of swaps was entirely solution driven – that is, they were brought about to codify and simplify the tedious back-to-back loans that were painstakingly being employed by corporations. Once these first swaps were conducted, their ability to transfer risk ...
Funding Liquidity, Market Liquidity and the Cross-Section
... portfolios. But AEM show that leverage risk successfully prices the cross-section of size and book-to-market portfolios. We find that the leverage factor explains by itself 87 percent of the dispersion of returns in the cross-section of portfolios sorted by bookto-market, but only 1 percent in the c ...
... portfolios. But AEM show that leverage risk successfully prices the cross-section of size and book-to-market portfolios. We find that the leverage factor explains by itself 87 percent of the dispersion of returns in the cross-section of portfolios sorted by bookto-market, but only 1 percent in the c ...
Systemic Contingent Claims Analysis -- Estimating Market
... system-wide distress in the financial sector and/or significantly amplify its consequences (with adverse effects on other sectors, in particular capital formation in the real economy). Typically, such distress manifests itself in disruptions to the flow of financial services due to an impairment of ...
... system-wide distress in the financial sector and/or significantly amplify its consequences (with adverse effects on other sectors, in particular capital formation in the real economy). Typically, such distress manifests itself in disruptions to the flow of financial services due to an impairment of ...