The Misguided Beliefs of Financial Advisors
... These behavioral patterns have been studied extensively. See, for example, Nofsinger and Sias (1999), Grinblatt and Keloharju (2001b), Barber and Odean (2008), and Kaniel, Saar, and Titman (2008) for analyses of how investors trade in response to past price movements; Odean (1999), Barber and Odean ...
... These behavioral patterns have been studied extensively. See, for example, Nofsinger and Sias (1999), Grinblatt and Keloharju (2001b), Barber and Odean (2008), and Kaniel, Saar, and Titman (2008) for analyses of how investors trade in response to past price movements; Odean (1999), Barber and Odean ...
Morningstar Guide
... Advisor: The company that takes primary responsibility for managing the fund. Subadvisor: In some cases, the advisor employs another company, called the subadvisor, to handle the fund’s day-to-day management. In these instances, the portfolio manager generally works for the fund’s subadvisor, and no ...
... Advisor: The company that takes primary responsibility for managing the fund. Subadvisor: In some cases, the advisor employs another company, called the subadvisor, to handle the fund’s day-to-day management. In these instances, the portfolio manager generally works for the fund’s subadvisor, and no ...
Earnings Quality and Stock Returns
... values. Put another way, measures of earnings quality may have predictive power for future movements in stock prices. This paper examines whether, and why, there is information in earnings quality for future stock returns. We focus on one measure, accounting accruals, which has recently gained atten ...
... values. Put another way, measures of earnings quality may have predictive power for future movements in stock prices. This paper examines whether, and why, there is information in earnings quality for future stock returns. We focus on one measure, accounting accruals, which has recently gained atten ...
The Malta Alternative Investment Funds
... • Units are, or have been, or will be issued continuously or in blocks at short intervals An AIF that is not sold to retail investors may not have the characteristic listed in paragraph (a) and shall only be deemed to be an investment fund if the AIF, in specific circumstances as established by regul ...
... • Units are, or have been, or will be issued continuously or in blocks at short intervals An AIF that is not sold to retail investors may not have the characteristic listed in paragraph (a) and shall only be deemed to be an investment fund if the AIF, in specific circumstances as established by regul ...
What types of investors drive commonality in
... and Viswanathan (2010), estimating the strength of commonality through sensitivity of changes in individual stock liquidity to changes in market liquidity. Second, following methodology by Chordia et al. (2000) we measure commonality in liquidity through the level of explanatory power when regressin ...
... and Viswanathan (2010), estimating the strength of commonality through sensitivity of changes in individual stock liquidity to changes in market liquidity. Second, following methodology by Chordia et al. (2000) we measure commonality in liquidity through the level of explanatory power when regressin ...
Testing Moral Hazard and Tax Benefit Hypotheses: Evidence from
... the PBGC can terminate a pension plan if it determines that the sponsors are not able to pay pension benefits when due or the sponsors have not made their minimum funding contributions (MFC) mandatorily required by pension laws. The MFC is primarily calculated based on pension funding levels. Genera ...
... the PBGC can terminate a pension plan if it determines that the sponsors are not able to pay pension benefits when due or the sponsors have not made their minimum funding contributions (MFC) mandatorily required by pension laws. The MFC is primarily calculated based on pension funding levels. Genera ...
Pillar 3 Report for 30 September 2016 (PDF 1MB)
... Appetite Statement and monitoring the effectiveness of risk management by the Westpac Group, including satisfying itself through appropriate reporting and oversight that appropriate internal control mechanisms are in place and are being implemented in accordance with regulatory requirements. The Boa ...
... Appetite Statement and monitoring the effectiveness of risk management by the Westpac Group, including satisfying itself through appropriate reporting and oversight that appropriate internal control mechanisms are in place and are being implemented in accordance with regulatory requirements. The Boa ...
Debt Refinancing and Equity Returns∗
... sample of approximately 1.4 million firm-month observations across more than 12, 000 different firms over the period from 1972 to 2014. Our empirical results generally provide strong support for the model predictions. First, we use portfolio double-sorts to show that the data matches the general pre ...
... sample of approximately 1.4 million firm-month observations across more than 12, 000 different firms over the period from 1972 to 2014. Our empirical results generally provide strong support for the model predictions. First, we use portfolio double-sorts to show that the data matches the general pre ...
Towards Efficient Benchmarks for Infrastructure Equity Investments
... increasing returns to scale. Thus, assets owners are expected to benefit from the low elasticity of demand creating pricing power and an inflation hedge, as well as low return covariance with other investments, allowing attractive risk-adjusted returns. Investors may decide to invest in infrastructu ...
... increasing returns to scale. Thus, assets owners are expected to benefit from the low elasticity of demand creating pricing power and an inflation hedge, as well as low return covariance with other investments, allowing attractive risk-adjusted returns. Investors may decide to invest in infrastructu ...
Earnings Seasonality and Stock Returns
... premium (Frazzini and Lamont (2006)), another way of interpreting this finding is that the earnings announcement premium is larger in months when earnings are expected to be higher. The nature of the earnings seasonality measure makes it unlikely that these returns are driven by seasonal firms havin ...
... premium (Frazzini and Lamont (2006)), another way of interpreting this finding is that the earnings announcement premium is larger in months when earnings are expected to be higher. The nature of the earnings seasonality measure makes it unlikely that these returns are driven by seasonal firms havin ...
Herding Behavior - Evidence from Portuguese Mutual Funds
... Institutional investors may have incentives to buy and sell the same stocks at the same time. This convergence in trading strategies is commonly known as herding. Herding may affect market prices by driving prices away or close from fundamental values. There are several ways to define herding. Broad ...
... Institutional investors may have incentives to buy and sell the same stocks at the same time. This convergence in trading strategies is commonly known as herding. Herding may affect market prices by driving prices away or close from fundamental values. There are several ways to define herding. Broad ...
Market Sentiment and Paradigm Shifts in Equity Premium
... to classify the time periods into two sentiment regimes, one with relatively high market sentiment while the other with relatively low market sentiment. In contrast, an ad hoc way of classifying sentiment regime is usually adopted in the existing studies. For example, one popular way is to split at ...
... to classify the time periods into two sentiment regimes, one with relatively high market sentiment while the other with relatively low market sentiment. In contrast, an ad hoc way of classifying sentiment regime is usually adopted in the existing studies. For example, one popular way is to split at ...
Financial reporting developments: Asset Retirement Obligations
... at the time the obligation is incurred (provided that a reasonable estimate of fair value can be made). For example, certain obligations, such as nuclear decommissioning costs, generally are incurred as the asset is operated. Other obligations, like the obligation to remove an offshore drilling plat ...
... at the time the obligation is incurred (provided that a reasonable estimate of fair value can be made). For example, certain obligations, such as nuclear decommissioning costs, generally are incurred as the asset is operated. Other obligations, like the obligation to remove an offshore drilling plat ...
MSCI ID Sign In
... criteria which reflect the risks of these two entities. In our analysis we treat Europe as a single bloc given its integrated economy. While there remains a risk to the continuation of the Euro zone, at least in its current form, for this analysis we assume that the countries that make up Europe wil ...
... criteria which reflect the risks of these two entities. In our analysis we treat Europe as a single bloc given its integrated economy. While there remains a risk to the continuation of the Euro zone, at least in its current form, for this analysis we assume that the countries that make up Europe wil ...
Audit Reports and Stock Markets
... indebted to several individuals for their comments, suggestions and support that have benefited this dissertation. First and foremost, I want to express my deepest appreciation to Professor Sami Vähämaa not only for his invaluable guidance and for sharing his expertise on countless occasions, but al ...
... indebted to several individuals for their comments, suggestions and support that have benefited this dissertation. First and foremost, I want to express my deepest appreciation to Professor Sami Vähämaa not only for his invaluable guidance and for sharing his expertise on countless occasions, but al ...
On the Design of Collateralized Debt Obligation
... the bank’s cost of required equity capital, other regulatory costs and funding costs. Moreover, the transfer of default risks in a securitization gives the bank the option to take other risks. The purpose of this paper is to add to the understanding of the design of securitization transactions by an ...
... the bank’s cost of required equity capital, other regulatory costs and funding costs. Moreover, the transfer of default risks in a securitization gives the bank the option to take other risks. The purpose of this paper is to add to the understanding of the design of securitization transactions by an ...
Analysts` Forecast Dispersion, Analysts` Forecast Bias and Stock
... divergence of opinion among investors likely indicates more volatile, less predictable future earnings and investors demand a higher return to compensate for the idiosyncratic risk of the stocks they hold. Thus the greater the disagreement among investors about the value of a stock, the higher its f ...
... divergence of opinion among investors likely indicates more volatile, less predictable future earnings and investors demand a higher return to compensate for the idiosyncratic risk of the stocks they hold. Thus the greater the disagreement among investors about the value of a stock, the higher its f ...
Expiration Day Effects of the EURO STOXX 50 Index Futures and
... empirical studies have reported significant volume, price and volatility effects around the expiration of index futures and options. The most common explanations include the unwinding of delta positions as well as index arbitrage, which is executed by arbitrageurs with sophisticated computer algorit ...
... empirical studies have reported significant volume, price and volatility effects around the expiration of index futures and options. The most common explanations include the unwinding of delta positions as well as index arbitrage, which is executed by arbitrageurs with sophisticated computer algorit ...
PRINCIPLES OF FINANCIAL ENGINEERING
... This book is an introduction. It deals with a broad array of topics that fit together through a certain logic that we generally call Financial Engineering. The book is intended for beginning graduate students and practitioners in financial markets. The approach uses a combination of simple graphs, ele ...
... This book is an introduction. It deals with a broad array of topics that fit together through a certain logic that we generally call Financial Engineering. The book is intended for beginning graduate students and practitioners in financial markets. The approach uses a combination of simple graphs, ele ...
Understanding and Communicating Risk Appetite
... must know how much risk is acceptable as they consider ways of accomplishing objectives, both for their organization and for their individual operations (division, department, etc.). For example, one CEO recently reported that his organization needed to increase its risk appetite amid expectations t ...
... must know how much risk is acceptable as they consider ways of accomplishing objectives, both for their organization and for their individual operations (division, department, etc.). For example, one CEO recently reported that his organization needed to increase its risk appetite amid expectations t ...
Are Dividend Changes a Sign of Firm Maturity?
... of managers, Lintner reports that managers increase dividends only when they are confident that they will not have to reverse that decision in the near future. In accordance with this result, we find that payout ratios of dividend increasing firms increase permanently suggesting that these firms are ...
... of managers, Lintner reports that managers increase dividends only when they are confident that they will not have to reverse that decision in the near future. In accordance with this result, we find that payout ratios of dividend increasing firms increase permanently suggesting that these firms are ...
The performance of hedge funds and mutual funds in
... hedge funds is that use of short selling and derivatives was relatively limited in the previous two decades because such instruments were not as readily available as they are in developed capital markets.1 These limitations raise questions about the value added provided by these funds, for example, ...
... hedge funds is that use of short selling and derivatives was relatively limited in the previous two decades because such instruments were not as readily available as they are in developed capital markets.1 These limitations raise questions about the value added provided by these funds, for example, ...
NBER WORKING PAPER SERIES AMBIGUITY AVERSION AND HOUSEHOLD PORTFOLIO CHOICE: EMPIRICAL EVIDENCE
... an extension of the multiple prior model, the α-MaxMin model of Ghirardato, Maccheroni, and Marinacci (2004), which distinguishes between preferences towards ambiguity and beliefs about the level of ambiguity. In this paper, we do not take a stand on the “correct” underlying model of ambiguity, and ...
... an extension of the multiple prior model, the α-MaxMin model of Ghirardato, Maccheroni, and Marinacci (2004), which distinguishes between preferences towards ambiguity and beliefs about the level of ambiguity. In this paper, we do not take a stand on the “correct” underlying model of ambiguity, and ...
How Do Mergers Create Value? A Comparison of Taxes, Market
... Finally, if the merger gains arise from scale or scope economies, they would lead to operating synergies due to revenue increases/cost savings or cutbacks in investments. We address these issues by analyzing a broad sample of 264 large mergers of unregulated industrial firms during 1980–2004. We find ...
... Finally, if the merger gains arise from scale or scope economies, they would lead to operating synergies due to revenue increases/cost savings or cutbacks in investments. We address these issues by analyzing a broad sample of 264 large mergers of unregulated industrial firms during 1980–2004. We find ...
Bright Directions 529 College Savings Program
... Corporation, or any other entity. The Program and its associated persons make no representations regarding the suitability of the Program’s investment portfolios for any particular investor. Other types of investments and other types of college savings vehicles may be more appropriate depending on y ...
... Corporation, or any other entity. The Program and its associated persons make no representations regarding the suitability of the Program’s investment portfolios for any particular investor. Other types of investments and other types of college savings vehicles may be more appropriate depending on y ...
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.