Earnings Seasonality and Stock Returns

... announcements over a five year period beginning one year before portfolio formation. We then calculate the average rank in the previous five years of the upcoming quarter. The highest possible seasonality in quarter three, for instance, would be a company where the previous five announcements in qua ...

... announcements over a five year period beginning one year before portfolio formation. We then calculate the average rank in the previous five years of the upcoming quarter. The highest possible seasonality in quarter three, for instance, would be a company where the previous five announcements in qua ...

Timing the Treasury Bond Market

... the model performs a technical analysis to time the market. As opposed to fundamental analysis, which involves analyzing the intrinsic value of a company, technical analysis is the study of statistics generated by market activity to identify trends and patterns in financial markets (Lo & Hasanhodzic ...

... the model performs a technical analysis to time the market. As opposed to fundamental analysis, which involves analyzing the intrinsic value of a company, technical analysis is the study of statistics generated by market activity to identify trends and patterns in financial markets (Lo & Hasanhodzic ...

Essays on the Forecasting Power of Implied Volatility

... Not surprisingly, very few studies deal with the forecasting properties of implied volatility for future realized returns. This is presumably because in an efficient market, returns are, by definition, unforecastable. This may not be completely true, however, if we start with the assumption that im ...

... Not surprisingly, very few studies deal with the forecasting properties of implied volatility for future realized returns. This is presumably because in an efficient market, returns are, by definition, unforecastable. This may not be completely true, however, if we start with the assumption that im ...

CreditMetrics™ — Technical Document

... We wish to estimate the volatility of value due to changes in credit quality, not just the expected loss. In our view, as important as default likelihood estimation is, it is only one link in the long chain of modeling and estimation that is necessary to fully assess credit risk (volatility) within ...

... We wish to estimate the volatility of value due to changes in credit quality, not just the expected loss. In our view, as important as default likelihood estimation is, it is only one link in the long chain of modeling and estimation that is necessary to fully assess credit risk (volatility) within ...

Scholar`s Edge Enrollment Kit

... Derivative instruments, investments whose values depend on the performance of an underlying security or asset, interest rate, index or currency, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. 9. Prior to 9/28/16, the Portfolio’s name was Oppe ...

... Derivative instruments, investments whose values depend on the performance of an underlying security or asset, interest rate, index or currency, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. 9. Prior to 9/28/16, the Portfolio’s name was Oppe ...

Introduction to Credit Risk Modeling, An

... of a loss protection in terms of an insurance, as one knows it from car or health insurances. Moreover, history shows that even good customers have a potential to default on their financial obligations, such that an insurance for not only the critical but all loans in the bank’s credit portfolio mak ...

... of a loss protection in terms of an insurance, as one knows it from car or health insurances. Moreover, history shows that even good customers have a potential to default on their financial obligations, such that an insurance for not only the critical but all loans in the bank’s credit portfolio mak ...

1 INVESTMENT: UNIT - 1 Investment involves making of a sacrifice

... classification of corporate securities that can be chosen as investment avenues can be depicted as shown below. Equity Shares-: By investing in shares, investors basically buy the ownership right to that company. When the company makes profits, shareholders receive their share of the profits in the ...

... classification of corporate securities that can be chosen as investment avenues can be depicted as shown below. Equity Shares-: By investing in shares, investors basically buy the ownership right to that company. When the company makes profits, shareholders receive their share of the profits in the ...

On Path–dependency of Constant Proportion Portfolio

... (in case his expectations do not realize). We assume nothing else about our investor. Similarly to most of the literature, we consider a BS model for the underlying risky asset, i.e. we assume it follows a Geometrical Brownian Motion (GBM). Nonetheless, this represent no limitations as our results w ...

... (in case his expectations do not realize). We assume nothing else about our investor. Similarly to most of the literature, we consider a BS model for the underlying risky asset, i.e. we assume it follows a Geometrical Brownian Motion (GBM). Nonetheless, this represent no limitations as our results w ...

CTAs: Shedding light on the black box

... another way, investing in CTAs will entail years, perhaps even consecutive years, when such programs will collectively be among the worst in any portfolio. There is a cyclicality to performance that allocators must therefore consider. This is borne out in the table below, which ranks the performance ...

... another way, investing in CTAs will entail years, perhaps even consecutive years, when such programs will collectively be among the worst in any portfolio. There is a cyclicality to performance that allocators must therefore consider. This is borne out in the table below, which ranks the performance ...

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 ...

Dynamic Correlation or Tail Dependence Hedging for Portfolio

... From a modeling perspective, our paper is inspired by the large literature on modeling asset comovements. Popular choices for the time-varying correlation phenomenon are multivariate GARCH models (e.g. Bollerslev et al. (1988) or the principal component GARCH of Alexander (2002)), the parsimonious ...

... From a modeling perspective, our paper is inspired by the large literature on modeling asset comovements. Popular choices for the time-varying correlation phenomenon are multivariate GARCH models (e.g. Bollerslev et al. (1988) or the principal component GARCH of Alexander (2002)), the parsimonious ...

Financial Literacy and Portfolio Diversification

... their work with, concentrating human capital risk and financial risk, and opt often for their firm’s stock when allocating retirement saving (Dorn and Huberman, 2005). Investors also tend to concentrate a large share of their wealth in their own business, bearing an amount of idiosyncratic risk that ...

... their work with, concentrating human capital risk and financial risk, and opt often for their firm’s stock when allocating retirement saving (Dorn and Huberman, 2005). Investors also tend to concentrate a large share of their wealth in their own business, bearing an amount of idiosyncratic risk that ...