The relationship between lunar cycle and stock returns in
... between the two successive new moons in one lunar cycle. The moon phases are observable and predictable cycles. This makes the lunar cycle an appropriate proxy variable for unobservable moods and that influence investors behaviour. ...
... between the two successive new moons in one lunar cycle. The moon phases are observable and predictable cycles. This makes the lunar cycle an appropriate proxy variable for unobservable moods and that influence investors behaviour. ...
Real Estate Market Risk in Bank Stock Returns: Evidence for 15
... 2009). These authors find a significant negative relation between the change in interest rates and bank stock returns, conditional on the balance-sheet exposure to interest rate risk. Allen et al. (1995) argue that the value of banks react significantly to real estate market conditions when: (1) ban ...
... 2009). These authors find a significant negative relation between the change in interest rates and bank stock returns, conditional on the balance-sheet exposure to interest rate risk. Allen et al. (1995) argue that the value of banks react significantly to real estate market conditions when: (1) ban ...
Momentum`s Got Style Style Investing and - Aalto
... limited cognitive abilities so that we can make decisions with less effort than if we treated each object uniquely. Categorization applies also to financial markets where information is abundant. Investors categorize individual assets into asset classes, such as equities, bonds, or currencies, to si ...
... limited cognitive abilities so that we can make decisions with less effort than if we treated each object uniquely. Categorization applies also to financial markets where information is abundant. Investors categorize individual assets into asset classes, such as equities, bonds, or currencies, to si ...
role of capital market
... Investments by households in India have increasingly moved either to risk-free, fixed-return, lowyielding instruments or to non-financial assets. Low knowledge among households of financial concepts and products has a direct impact on utilization by households of the financial markets. Financial lit ...
... Investments by households in India have increasingly moved either to risk-free, fixed-return, lowyielding instruments or to non-financial assets. Low knowledge among households of financial concepts and products has a direct impact on utilization by households of the financial markets. Financial lit ...
Risk Aversion, Wealth, and Personality
... narrow framing (evaluating the gamble in isolation, without incorporating it with overall wealth - see e.g. Barberis et al. (2006)), thus we also use household income and personal income as reference values in the utility function. If we assume negative exponential utility (eq. 3), we are able to fi ...
... narrow framing (evaluating the gamble in isolation, without incorporating it with overall wealth - see e.g. Barberis et al. (2006)), thus we also use household income and personal income as reference values in the utility function. If we assume negative exponential utility (eq. 3), we are able to fi ...
Overnight Versus Intraday Expected Returns
... risk-adjustments, is stronger among large-cap stocks and stocks with relatively high prices, and is true not only for a standard price momentum strategy but also for earnings and industry momentum strategies. In stark contrast, the profits on size and value (and many other strategies, as discussed b ...
... risk-adjustments, is stronger among large-cap stocks and stocks with relatively high prices, and is true not only for a standard price momentum strategy but also for earnings and industry momentum strategies. In stark contrast, the profits on size and value (and many other strategies, as discussed b ...
Risk Perceptions, Directional Goals and the Link between Risk and
... participants is assigned to consider a prospective investment in the firm’s stock (and thus do not have a directional goal). We also vary the observability of the inputs to a fair value estimate (i.e., Level 2 and Level 3 in the fair value hierarchy in ASC 820 [FASB 2014]). Level 3 estimates are th ...
... participants is assigned to consider a prospective investment in the firm’s stock (and thus do not have a directional goal). We also vary the observability of the inputs to a fair value estimate (i.e., Level 2 and Level 3 in the fair value hierarchy in ASC 820 [FASB 2014]). Level 3 estimates are th ...
Risk, Returns, and Multinational Production - bu people
... fixed costs at the risk free rate. Hence profit flows and firm value are not proportional due to these different discounts. Second, sunk costs of exports and FDI can be interpreted as the premia to be paid to exercise the option of entering the foreign market. Hence profit flow and firm value are no ...
... fixed costs at the risk free rate. Hence profit flows and firm value are not proportional due to these different discounts. Second, sunk costs of exports and FDI can be interpreted as the premia to be paid to exercise the option of entering the foreign market. Hence profit flow and firm value are no ...
managed futures and hedge funds: a match made in
... Under these assumptions, the basic return statistics for our four asset classes are shown in Table 1. The table shows that managed futures returns have a lower mean and a higher standard deviation than hedge fund returns. However, managed futures also exhibit positive instead of negative skewness an ...
... Under these assumptions, the basic return statistics for our four asset classes are shown in Table 1. The table shows that managed futures returns have a lower mean and a higher standard deviation than hedge fund returns. However, managed futures also exhibit positive instead of negative skewness an ...
The properties of hedge fund investors* actual returns
... assume constant capital exposure over time, i.e., they assume equal-weighting of capital over time. However, investors’ actual returns are determined not only by the returns they earn but also by the amount of invested capital which changes with capital flows from and into the investment. Hedge fund ...
... assume constant capital exposure over time, i.e., they assume equal-weighting of capital over time. However, investors’ actual returns are determined not only by the returns they earn but also by the amount of invested capital which changes with capital flows from and into the investment. Hedge fund ...
structured life insurance and investment products for retail investors
... contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain interest rate on the contributions made by the insured. The insured has to decide simultaneously on the investment strategy and the guarantee scheme, i.e. the particular stru ...
... contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain interest rate on the contributions made by the insured. The insured has to decide simultaneously on the investment strategy and the guarantee scheme, i.e. the particular stru ...
Evaluation of Active Management of the Norwegian Government
... simplest of these models is the Capital Asset Pricing Model [CAPM], and the most commonly used in recent times is a multi‐factor model called the Arbitrage Pricing Theory [APT]. The APT holds that the investor will be compensated by higher returns for accepting the risk implied by exposure to th ...
... simplest of these models is the Capital Asset Pricing Model [CAPM], and the most commonly used in recent times is a multi‐factor model called the Arbitrage Pricing Theory [APT]. The APT holds that the investor will be compensated by higher returns for accepting the risk implied by exposure to th ...
Price Volatility and Investor Behavior in an Overlapping
... volatile, strongly correlated markets. We demonstrate these points by calibrating the model with parameter values estimated in the empirical literature. It is shown that for any level of information accuracy, only very small supply shocks are necessary to produce the observed levels of stock price ...
... volatile, strongly correlated markets. We demonstrate these points by calibrating the model with parameter values estimated in the empirical literature. It is shown that for any level of information accuracy, only very small supply shocks are necessary to produce the observed levels of stock price ...
solvency and financial condition report for the year ended 31
... Market Risk The Company is exposed to market risk on: its investment portfolio of fixed income bonds, collective investment undertakings and structured notes its assets and liabilities exposed to interest rate movements its assets and liabilities denominated in foreign currencies which are exp ...
... Market Risk The Company is exposed to market risk on: its investment portfolio of fixed income bonds, collective investment undertakings and structured notes its assets and liabilities exposed to interest rate movements its assets and liabilities denominated in foreign currencies which are exp ...
Margin regulation and volatility - ECB
... leverage. Therefore the amount of leverage decreases in equilibrium, leading to less de-leveraging after bad shocks. While the first effect increases the asset’s volatility, the second effect reduces it. In equilibrium, these two effects approximately offset each other and thus the return volatilit ...
... leverage. Therefore the amount of leverage decreases in equilibrium, leading to less de-leveraging after bad shocks. While the first effect increases the asset’s volatility, the second effect reduces it. In equilibrium, these two effects approximately offset each other and thus the return volatilit ...
BUSINESS RISK AND THE TRADEOFF THEORY OF
... equity.3 According to the seminal Irrelevancy Theorem (Modigliani and Miller 1958), how a firm decides to finance itself does not change the value of the firm. Investors can replicate the financial gearing of firms by borrowing to purchase equity and thus earn the same return as firms that use debt. ...
... equity.3 According to the seminal Irrelevancy Theorem (Modigliani and Miller 1958), how a firm decides to finance itself does not change the value of the firm. Investors can replicate the financial gearing of firms by borrowing to purchase equity and thus earn the same return as firms that use debt. ...
Regulatory Capital Disclosures
... our exposures, positions must be first classified into either “banking book” or “trading book.” Positions are classified as banking book unless they qualify to be classified as trading book. Banking book positions may be accounted for at amortized cost, fair value or under the equity method; they ar ...
... our exposures, positions must be first classified into either “banking book” or “trading book.” Positions are classified as banking book unless they qualify to be classified as trading book. Banking book positions may be accounted for at amortized cost, fair value or under the equity method; they ar ...
Dealers` Hedging of Interest Rate Options in the U.S. Dollar Fixed
... than large enough to absorb the transaction volume generated by dealers’ dynamic hedging. For medium-term maturities, however, an unusually large interest rate shock could cause the hedging of exposures in this segment of the yield curve to generate trading demand that is high relative to turnover v ...
... than large enough to absorb the transaction volume generated by dealers’ dynamic hedging. For medium-term maturities, however, an unusually large interest rate shock could cause the hedging of exposures in this segment of the yield curve to generate trading demand that is high relative to turnover v ...
Select Risk Profile Portfolios – quarterly investment report
... To meet these objectives, Morningstar regularly reviews the portfolios and recommends changes where this is necessary. However, there’s no guarantee that the funds will meet their objectives. ...
... To meet these objectives, Morningstar regularly reviews the portfolios and recommends changes where this is necessary. However, there’s no guarantee that the funds will meet their objectives. ...
The EFFECTS of THE IAS/IFRS ADOPTION in EUROPE on the
... Since the cost of equity capital is an expected rate of return, it cannot directly be observed on the market. Three main different criteria can be used to estimate this variable. The first and simplest approach is based on the assumption that historical realized returns are good indicators of expect ...
... Since the cost of equity capital is an expected rate of return, it cannot directly be observed on the market. Three main different criteria can be used to estimate this variable. The first and simplest approach is based on the assumption that historical realized returns are good indicators of expect ...
NBER WORKING PAPER SERIES Sergey Iskoz Jiang Wang
... has the advantage of being independent of the valuation model and the objectives of the manager and the investors. Its limitations are also obvious compared with the traditional approach. For example, if our methodology identifies a manager with useful information, it does not necessarily tell us how ...
... has the advantage of being independent of the valuation model and the objectives of the manager and the investors. Its limitations are also obvious compared with the traditional approach. For example, if our methodology identifies a manager with useful information, it does not necessarily tell us how ...
Behavioral Portfolio Theory
... the special case when all portfolio return distributions are constrained to be nor? mal, minimizing the probability of ruin is equivalent to minimizing the number of standard deviations in which s lies below pp. That is, in Roy's safety-first model, with normally distributed returns, an investor cho ...
... the special case when all portfolio return distributions are constrained to be nor? mal, minimizing the probability of ruin is equivalent to minimizing the number of standard deviations in which s lies below pp. That is, in Roy's safety-first model, with normally distributed returns, an investor cho ...
The Performance of IPO Investment Strategies and Pseudo Market
... Initial Public Offerings (IPOs) frequently attract a lot of public attention due to extensive marketing and broad media coverage. In particular, IPOs often serve as a “gateway drug” to the stock market for private investors. For example, large IPOs like those of Deutsche Telekom AG and Deutsche Post ...
... Initial Public Offerings (IPOs) frequently attract a lot of public attention due to extensive marketing and broad media coverage. In particular, IPOs often serve as a “gateway drug” to the stock market for private investors. For example, large IPOs like those of Deutsche Telekom AG and Deutsche Post ...
Systemic Risk and Hedge Funds
... Leverage has the effect of a magnifying glass, expanding small profit opportunities into larger ones, but also expanding small losses into larger losses. And when adverse changes in market prices reduces the market value of collateral, credit is withdrawn quickly and the subsequent forced liquidati ...
... Leverage has the effect of a magnifying glass, expanding small profit opportunities into larger ones, but also expanding small losses into larger losses. And when adverse changes in market prices reduces the market value of collateral, credit is withdrawn quickly and the subsequent forced liquidati ...
Beta (finance)
In finance, the beta (β) of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. The market portfolio of all investable assets has a beta of exactly 1. A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly correlated with the market. An example of the first is a treasury bill: the price does not go up or down a lot, so it has a low beta. An example of the second is gold. The price of gold does go up and down a lot, but not in the same direction or at the same time as the market.A beta greater than one generally means that the asset both is volatile and tends to move up and down with the market. An example is a stock in a big technology company. Negative betas are possible for investments that tend to go down when the market goes up, and vice versa. There are few fundamental investments with consistent and significant negative betas, but some derivatives like equity put options can have large negative betas.Beta is important because it measures the risk of an investment that cannot be reduced by diversification. It does not measure the risk of an investment held on a stand-alone basis, but the amount of risk the investment adds to an already-diversified portfolio. In the capital asset pricing model, beta risk is the only kind of risk for which investors should receive an expected return higher than the risk-free rate of interest.The definition above covers only theoretical beta. The term is used in many related ways in finance. For example, the betas commonly quoted in mutual fund analyses generally measure the risk of the fund arising from exposure to a benchmark for the fund, rather than from exposure to the entire market portfolio. Thus they measure the amount of risk the fund adds to a diversified portfolio of funds of the same type, rather than to a portfolio diversified among all fund types.Beta decay refers to the tendency for a company with a high beta coefficient (β > 1) to have its beta coefficient decline to the market beta. It is an example of regression toward the mean.