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Contagion and competitive intra-industry effects of
... how much of the information in the bankruptcy announcement is firm-specific and how much is industry-wide, nor does it tell us whether other firms in the industry benefit from the difficulties of the bankrupt firm. To address these issues, we study the effect of bankruptcy announcements on the bankr ...
... how much of the information in the bankruptcy announcement is firm-specific and how much is industry-wide, nor does it tell us whether other firms in the industry benefit from the difficulties of the bankrupt firm. To address these issues, we study the effect of bankruptcy announcements on the bankr ...
Best Practice Risk Management
... Dr. Mark has global responsibility to cover all credit, market and operating risks for all of CIBC as well as for its subsidiaries. He has been appointed to the Boards of the Fields Institute for Research in Mathematical Sciences, IBM’s Deep Computing Institute and the International Swaps and Deriva ...
... Dr. Mark has global responsibility to cover all credit, market and operating risks for all of CIBC as well as for its subsidiaries. He has been appointed to the Boards of the Fields Institute for Research in Mathematical Sciences, IBM’s Deep Computing Institute and the International Swaps and Deriva ...
The Relationship between the Equity Risk Premium
... Thus, from Figure 3, which displays both, RM and RF , versus time, it is evident that the notion of reinvestment equals growth has never held over the short run13. This also goes on to say that this simple, intuitive idea is not one of short, or even medium, term, but one of very long term. Even the ...
... Thus, from Figure 3, which displays both, RM and RF , versus time, it is evident that the notion of reinvestment equals growth has never held over the short run13. This also goes on to say that this simple, intuitive idea is not one of short, or even medium, term, but one of very long term. Even the ...
Strategic Informed Trades, Diversification, and Expected Returns*
... of informed traders is small, they trade less aggressively on their private information so as to limit the information that uninformed traders can learn from price. This lowers the average precision of information and increases the risk borne by uninformed traders, which raises cost of capital. In ...
... of informed traders is small, they trade less aggressively on their private information so as to limit the information that uninformed traders can learn from price. This lowers the average precision of information and increases the risk borne by uninformed traders, which raises cost of capital. In ...
The Performance of Norwegian Investment Grade
... The following thesis examines the performance of Norwegian investment grade bond mutual funds in the period from January 2011 to January 2016. In this study we address two important issues. Firstly, by ...
... The following thesis examines the performance of Norwegian investment grade bond mutual funds in the period from January 2011 to January 2016. In this study we address two important issues. Firstly, by ...
Threat and Risk Assessments - RTF Version
... unavailable. This could affect the availability of any number of vital components of the PKI’s operational software and hardware, including the CA database, CRLs and the X.500 directory or any other mechanism by which certificates are made available. 2.4.10 Compromise of devices used for Key Managem ...
... unavailable. This could affect the availability of any number of vital components of the PKI’s operational software and hardware, including the CA database, CRLs and the X.500 directory or any other mechanism by which certificates are made available. 2.4.10 Compromise of devices used for Key Managem ...
Investor Psychology and Security Market Under- and
... or bad news after a sell!. We assume that when an investor receives confirming public information, his confidence rises, but disconfirming information causes confidence to fall only modestly, if at all. Thus, if an individual begins with unbiased beliefs about his ability, new public signals on aver ...
... or bad news after a sell!. We assume that when an investor receives confirming public information, his confidence rises, but disconfirming information causes confidence to fall only modestly, if at all. Thus, if an individual begins with unbiased beliefs about his ability, new public signals on aver ...
Deconstructing Equity: Public Ownership, Agency Costs, and
... Our argument proceeds along the following lines. First, we review changes in the capital markets that have led to new risk management techniques and instruments, including sophisticated derivatives and insurance contracts, which enable firms and private owners to transfer risk in discrete slices as ...
... Our argument proceeds along the following lines. First, we review changes in the capital markets that have led to new risk management techniques and instruments, including sophisticated derivatives and insurance contracts, which enable firms and private owners to transfer risk in discrete slices as ...
LEVERAGE, HEDGE FUNDS AND RISK
... The level of leverage used by a hedge fund cannot be observed in isolation as an indicator of the riskiness of that fund or its underlying strategies. Understanding the details of each manager’s trading style, the return drivers of the strategies implemented, and the construction of the portfolio ar ...
... The level of leverage used by a hedge fund cannot be observed in isolation as an indicator of the riskiness of that fund or its underlying strategies. Understanding the details of each manager’s trading style, the return drivers of the strategies implemented, and the construction of the portfolio ar ...
OptionsIQ
... distribution of prices for a particular underlying asset. Implied volatility is calculated based on the option price traded in the marketplace. It is the volatility which would have to be input into a theoretical pricing model in order to yield a theoretical value equal to the market value of the op ...
... distribution of prices for a particular underlying asset. Implied volatility is calculated based on the option price traded in the marketplace. It is the volatility which would have to be input into a theoretical pricing model in order to yield a theoretical value equal to the market value of the op ...
Asymmetric Timely Loss Recognition, Earnings Smoothness and
... across a variety of settings and time periods.2 Ball & Shivakumar 2006 document that the impact of conservatism changes the correlation between accruals and cash flows from strongly negative to near zero when economic news is bad. Thus, ATLR becomes a driver of earnings variability when a firm exper ...
... across a variety of settings and time periods.2 Ball & Shivakumar 2006 document that the impact of conservatism changes the correlation between accruals and cash flows from strongly negative to near zero when economic news is bad. Thus, ATLR becomes a driver of earnings variability when a firm exper ...
pre-listing pricing efficiency and stock price reaction
... Prior studies suggest that a firm seeks exchange listing to improve liquidity/marketability for its stock, to provide an upward revision of its future performance, and to enhance pricing efficiency for its stock. Consequently, stockholders reactions to listing would depend on the prospects for these ...
... Prior studies suggest that a firm seeks exchange listing to improve liquidity/marketability for its stock, to provide an upward revision of its future performance, and to enhance pricing efficiency for its stock. Consequently, stockholders reactions to listing would depend on the prospects for these ...
annex - Financial Ombudsman
... The report drew a comparison between the poor performance over the year by investment trusts with a worse one from split capital investment trusts. This was taken as symptomatic of splits beginning to unravel. It stated that the financial engineering mechanism on which they were based started to cre ...
... The report drew a comparison between the poor performance over the year by investment trusts with a worse one from split capital investment trusts. This was taken as symptomatic of splits beginning to unravel. It stated that the financial engineering mechanism on which they were based started to cre ...
AIC guidance on the requirements of the Listing Rules August 2008
... manages its assets in accordance with its published investment policy), boards may wish to consider setting high maximum exposures. Where gearing is concerned, the company will need to take into account market volatility, and any other activities that affect the company’s gearing, such as share buy- ...
... manages its assets in accordance with its published investment policy), boards may wish to consider setting high maximum exposures. Where gearing is concerned, the company will need to take into account market volatility, and any other activities that affect the company’s gearing, such as share buy- ...
Collateral-Motivated Financial Innovation
... To understand these issues, first consider a benchmark case without collateral frictions. In this case, if an investor defaults on his promise (e.g., debt or a short position in an Arrow security), his counterparty can seize the collateral the investor has posted for the trade and the defaulting inve ...
... To understand these issues, first consider a benchmark case without collateral frictions. In this case, if an investor defaults on his promise (e.g., debt or a short position in an Arrow security), his counterparty can seize the collateral the investor has posted for the trade and the defaulting inve ...
Not All Benchmarks Are Created Equal
... reference to the terms of executed transactions should be treated as preliminary and subject to further due diligence. This presentation may not be copied, modified or provided by you , the Recipient, to any other party without Redington Limited’s prior written permission. It may also not be disclos ...
... reference to the terms of executed transactions should be treated as preliminary and subject to further due diligence. This presentation may not be copied, modified or provided by you , the Recipient, to any other party without Redington Limited’s prior written permission. It may also not be disclos ...
Pushing further in search of return: The new private equity model
... are therefore only going to sell to buyers they can trust. It’s therefore important to approach targets with a strong story for future investment and growth, as well as strong financial offers. Funds may also need to look at a broader range of opportunities, be this countries or industries that have ...
... are therefore only going to sell to buyers they can trust. It’s therefore important to approach targets with a strong story for future investment and growth, as well as strong financial offers. Funds may also need to look at a broader range of opportunities, be this countries or industries that have ...
ALLOCATING FOR IMPACT - Global social impact investment
... In Chapter 1, we describe the various features that make impact investment an attractive proposition, for both governments and investors. In Chapter 2, we clarify the various terms used in the market and position the investment choices available. This chapter aims to help investors identify the oppo ...
... In Chapter 1, we describe the various features that make impact investment an attractive proposition, for both governments and investors. In Chapter 2, we clarify the various terms used in the market and position the investment choices available. This chapter aims to help investors identify the oppo ...
Inflation Risk and Real Return
... commodities and TIPS have had a statistically strong relationship with inflation. As evidenced in the earlier historical discussion, many inflationary shocks in the last several decades have arisen from events affecting energy supply, benefiting commodities. Over the period 1976-1982, representing a ...
... commodities and TIPS have had a statistically strong relationship with inflation. As evidenced in the earlier historical discussion, many inflationary shocks in the last several decades have arisen from events affecting energy supply, benefiting commodities. Over the period 1976-1982, representing a ...
Pseudo Market Timing and the Long-Run Underperformance of IPOs
... IPOs earn positive excess returns each period. At time 0, IPO stock prices are $100 and one firm goes public. The IPO earns an excess return of 10 percent the following period. At time 1, with an IPO price of $110, three additional firms go public. Each of these IPOs earns an excess return of 10 per ...
... IPOs earn positive excess returns each period. At time 0, IPO stock prices are $100 and one firm goes public. The IPO earns an excess return of 10 percent the following period. At time 1, with an IPO price of $110, three additional firms go public. Each of these IPOs earns an excess return of 10 per ...
ethical investment: empirical evidence from ftse islamic index
... comparison with benchmarks such as FTSE somewhat misleading. Mallin et al. examined the performance of 29 ethical funds by comparing each ethical fund to a non-ethical one having the same formation date and fund size. They found that beta is lower for the ethical funds. This implies that the non-eth ...
... comparison with benchmarks such as FTSE somewhat misleading. Mallin et al. examined the performance of 29 ethical funds by comparing each ethical fund to a non-ethical one having the same formation date and fund size. They found that beta is lower for the ethical funds. This implies that the non-eth ...
Does Gender and Age Affect Investor Performance and the
... exp(Xβ + Ztγ + εt) allows for both fi xed and time-varying covariates. Cox proportional hazard model assumes that covariates can multiply hazard, while the baseline hazard may vary. The hazard rate and coefficients for the covariates is obtained by maximum likelihood from the following equation: h(t ...
... exp(Xβ + Ztγ + εt) allows for both fi xed and time-varying covariates. Cox proportional hazard model assumes that covariates can multiply hazard, while the baseline hazard may vary. The hazard rate and coefficients for the covariates is obtained by maximum likelihood from the following equation: h(t ...
Does Academic Research Destroy Stock Return Predictability?*
... words such as “cross-section.” Some studies are located from reference lists in books or other papers. Lastly, in the process of writing this paper, we contacted other finance professors and inquired about cross-sectional relations that we may have missed. Most studies that we identify either demons ...
... words such as “cross-section.” Some studies are located from reference lists in books or other papers. Lastly, in the process of writing this paper, we contacted other finance professors and inquired about cross-sectional relations that we may have missed. Most studies that we identify either demons ...
Risk analysis of the proxy life-cycle investments in the second pillar
... For the purpose of optimizing the cost of the system on the one hand and efforts to approximate the true life-cycle investment model with the proxy model, as far as possible, in practice there are only three to five pension funds of various risk categories. Depending on the number of funds, for a me ...
... For the purpose of optimizing the cost of the system on the one hand and efforts to approximate the true life-cycle investment model with the proxy model, as far as possible, in practice there are only three to five pension funds of various risk categories. Depending on the number of funds, for a me ...
What rate of return can we expect over the next decade?
... “fundamental” can be any variable that stock prices are expected to mean-revert towards, such as earnings, dividends, GDP, or similar. The stock-price multiple is the ratio of stock prices to the fundamental, such as the stock price-earnings multiple, stock price-dividend multiple, etc. Recognizing ...
... “fundamental” can be any variable that stock prices are expected to mean-revert towards, such as earnings, dividends, GDP, or similar. The stock-price multiple is the ratio of stock prices to the fundamental, such as the stock price-earnings multiple, stock price-dividend multiple, etc. Recognizing ...
Beta (finance)
![](https://en.wikipedia.org/wiki/Special:FilePath/SecMktLine.png?width=300)
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.