The Capital Asset Pricing Model
... portion of his or her initial wealth that he or she allocates to risky assets and divides it further: using the fraction w to purchase asset j and the remaining fraction 1 − w to buy the market portfolio. Note that since the market portfolio already includes some of asset j, choosing w > 0 really me ...
... portion of his or her initial wealth that he or she allocates to risky assets and divides it further: using the fraction w to purchase asset j and the remaining fraction 1 − w to buy the market portfolio. Note that since the market portfolio already includes some of asset j, choosing w > 0 really me ...
Market Discipline and Internal Governance in the Mutual Fund Industry
... fact that has attracted much attention is that the flow-performance relation is not only positive but also convex, meaning that out-performers receive disproportionately more fund inflows, while under-performers are not penalized in an offsetting manner.5 This convexity implies a positive expected r ...
... fact that has attracted much attention is that the flow-performance relation is not only positive but also convex, meaning that out-performers receive disproportionately more fund inflows, while under-performers are not penalized in an offsetting manner.5 This convexity implies a positive expected r ...
Target price forecasts: Fundamentals and behavioural factor
... they make a reduced contribution to the optimistic bias in target price. Arguably, this is as expected given that there is little theoretical basis for a relation between the behavioral factors and future returns. Overall, we view our results as consistent with the nature of a target price, which is ...
... they make a reduced contribution to the optimistic bias in target price. Arguably, this is as expected given that there is little theoretical basis for a relation between the behavioral factors and future returns. Overall, we view our results as consistent with the nature of a target price, which is ...
Investor Sentiment and the Mean-Variance Relation
... and trading of sentiment investors during high-sentiment periods should undermine an otherwise positive mean-variance tradeoff in the stock market. Using the investor sentiment index proposed by Baker and Wurgler (2006), we identify high- and low-sentiment periods and then analyze the mean-variance r ...
... and trading of sentiment investors during high-sentiment periods should undermine an otherwise positive mean-variance tradeoff in the stock market. Using the investor sentiment index proposed by Baker and Wurgler (2006), we identify high- and low-sentiment periods and then analyze the mean-variance r ...
CHAPTER 14 Long-Term Liabilities
... stated interest rate is presumed to be fair unless: (1) no interest rate is stated, or (2) the stated interest rate is unreasonable, or (3) the stated face amount of the debt instrument is materially different from the current sales price for the same or similar items or from the current market valu ...
... stated interest rate is presumed to be fair unless: (1) no interest rate is stated, or (2) the stated interest rate is unreasonable, or (3) the stated face amount of the debt instrument is materially different from the current sales price for the same or similar items or from the current market valu ...
Transition to IFRS and value relevance in a small but developed
... 2000). Thus, a company may produces two sets of accounts for the same financial year with a different share price to be traded in the two different markets. Looking at the relationship between cash flows and returns under the two accounting regimes, Eccher & Healy (2000: 27) find that ‘IAS financial ...
... 2000). Thus, a company may produces two sets of accounts for the same financial year with a different share price to be traded in the two different markets. Looking at the relationship between cash flows and returns under the two accounting regimes, Eccher & Healy (2000: 27) find that ‘IAS financial ...
Welfare effects of downstream mergers and upstream market
... through non-linear contracts with the same competing downstream …rms. As mentioned in a review article by Miklos-Thal et al. (2010, p.345) "The formal modeling of such "interlocking" vertical relations has proved di¢cult... and we still know relatively little about many basic questions... Interlocki ...
... through non-linear contracts with the same competing downstream …rms. As mentioned in a review article by Miklos-Thal et al. (2010, p.345) "The formal modeling of such "interlocking" vertical relations has proved di¢cult... and we still know relatively little about many basic questions... Interlocki ...
Best execution mechanics: TBA specified pool
... TBA is an effective hedge against changing MBS prices TBA hedges interest rate risk TBA allows HFAs to lock in MBS price on new loan reservations, hedging the change in price due to rising interest rates ...
... TBA is an effective hedge against changing MBS prices TBA hedges interest rate risk TBA allows HFAs to lock in MBS price on new loan reservations, hedging the change in price due to rising interest rates ...
Dividend Changes and Future Profitability: The role of earnings
... changes. They maintain that the predictive value of dividend changes is minimal, such that dividends reflect the past rather than signal the future. Their findings were later confirmed by Grullon, Michaely, and Swaminathan (2002). On the other hand, Brickley (1983) finds that earnings increase signi ...
... changes. They maintain that the predictive value of dividend changes is minimal, such that dividends reflect the past rather than signal the future. Their findings were later confirmed by Grullon, Michaely, and Swaminathan (2002). On the other hand, Brickley (1983) finds that earnings increase signi ...
Comvita Limited - Takeovers Panel
... hours before 5.00pm on the Closing Date, is maintained continuously during the subsequent trading periods of the NZSX or ASX (as relevant) until 5.00pm on the Closing Date; and ...
... hours before 5.00pm on the Closing Date, is maintained continuously during the subsequent trading periods of the NZSX or ASX (as relevant) until 5.00pm on the Closing Date; and ...
NIKE INC ( NKE ) 10−K
... items. NIKE apparel and accessories feature the same trademarks and are sold through the same marketing and distribution channels. We often market footwear, apparel and accessories in “collections” of similar design or for specific purposes. We also market apparel with licensed college and professio ...
... items. NIKE apparel and accessories feature the same trademarks and are sold through the same marketing and distribution channels. We often market footwear, apparel and accessories in “collections” of similar design or for specific purposes. We also market apparel with licensed college and professio ...
Belief Heterogeneity, Collateral Constraint, and Asset Prices with a
... contradicting the result that consumption is bounded from below. In other words, there are always shortages of collateral. This result sharply contrasts with those obtained when agents have homogenous beliefs but still have reasons to trade due to di¤erences in endowments or utility functions. In th ...
... contradicting the result that consumption is bounded from below. In other words, there are always shortages of collateral. This result sharply contrasts with those obtained when agents have homogenous beliefs but still have reasons to trade due to di¤erences in endowments or utility functions. In th ...
Financial Expertise as an Arms Race
... part of their value to their firms, and thus part of their compensation, is due to their ability to deter others from opportunistic behavior. From a social perspective, financial experts might be viewed as overqualified for the routine activities associated with their work. By analogy, the most hig ...
... part of their value to their firms, and thus part of their compensation, is due to their ability to deter others from opportunistic behavior. From a social perspective, financial experts might be viewed as overqualified for the routine activities associated with their work. By analogy, the most hig ...
abuse of structured financial products
... client entered into a contract with the bank to purchase an “option” on the performance of an unspecified basket of assets placed in a designated account. The referenced account was opened in the name of the bank and operated as the bank’s own proprietary trading account. All assets were purchased i ...
... client entered into a contract with the bank to purchase an “option” on the performance of an unspecified basket of assets placed in a designated account. The referenced account was opened in the name of the bank and operated as the bank’s own proprietary trading account. All assets were purchased i ...
Introduction to Credit Risk Modeling, An
... company is asking its house bank for a loan in the size of ten billion Euro. Somewhere in the bank’s credit department a senior analyst has the difficult job to decide if the loan will be given to the customer or if the credit request will be rejected. Let us further assume that the analyst knows th ...
... company is asking its house bank for a loan in the size of ten billion Euro. Somewhere in the bank’s credit department a senior analyst has the difficult job to decide if the loan will be given to the customer or if the credit request will be rejected. Let us further assume that the analyst knows th ...
The Hedge Fund Landscape
... Since we began researching hedge fund strategies in the late 1990s, we have witnessed considerable changes in both the industry and markets. Economic and financial crises combined with extreme volatility, and difficult liquidity conditions have challenged the way in which many investors construct th ...
... Since we began researching hedge fund strategies in the late 1990s, we have witnessed considerable changes in both the industry and markets. Economic and financial crises combined with extreme volatility, and difficult liquidity conditions have challenged the way in which many investors construct th ...
APRA Independent Review - Regulation Impact Statement Updates
... which require ADIs to hold regulatory capital against the risks which they undertake (capital standards). These capital standards include APS 120. APRA’s capital standards for ADIs follow closely those set by the Basel Committee on Banking Supervision (Basel Committee).2 The capital standards set by ...
... which require ADIs to hold regulatory capital against the risks which they undertake (capital standards). These capital standards include APS 120. APRA’s capital standards for ADIs follow closely those set by the Basel Committee on Banking Supervision (Basel Committee).2 The capital standards set by ...
The Time-Varying Liquidity Risk of Value and Growth Stocks
... consistent with this hypothesis. First, using a conditional two-factor model with the market portfolio and aggregate market liquidity, we confirm the findings of Petkova and Zhang (2005) that value (growth) stocks are riskier than growth (value) stocks in bad (good) times. Second, value stocks have ...
... consistent with this hypothesis. First, using a conditional two-factor model with the market portfolio and aggregate market liquidity, we confirm the findings of Petkova and Zhang (2005) that value (growth) stocks are riskier than growth (value) stocks in bad (good) times. Second, value stocks have ...
Margin regulation and volatility - ECB
... To sum up, changes in the regulation of a class of collateralizable assets may have only small effects on the assets’ return volatility if investors have access to another (unregulated) class of collateralizable assets to leverage their positions. This result is in line with a popular argument menti ...
... To sum up, changes in the regulation of a class of collateralizable assets may have only small effects on the assets’ return volatility if investors have access to another (unregulated) class of collateralizable assets to leverage their positions. This result is in line with a popular argument menti ...