V. The Culture of Risk and Regulation
... handle the large volume of trading and the mathematical complexity of instruments. But the real commodification of risk really started with the explosion of derivative markets. Derivatives can be used to transform the underlying economic risk or exposure of a security, for example by allowing invest ...
... handle the large volume of trading and the mathematical complexity of instruments. But the real commodification of risk really started with the explosion of derivative markets. Derivatives can be used to transform the underlying economic risk or exposure of a security, for example by allowing invest ...
Financial Intermediation Chains in a Search Market
... First, when the search cost is lower than a certain threshold, there is an equilibrium with an endogenous intermediary sector. Investors with intermediate valuations of the asset choose to become dealers and stay in the market all the time, while others with high or low valuations choose to be custo ...
... First, when the search cost is lower than a certain threshold, there is an equilibrium with an endogenous intermediary sector. Investors with intermediate valuations of the asset choose to become dealers and stay in the market all the time, while others with high or low valuations choose to be custo ...
USING DAILY STOCK RETURNS
... studentized range of the 250 day 0 mean performance measures ranges from 5.59 to 5.81, and similar average values apply when the properties of the mean excess returns in the estimation period for each sample are studied. However, while values of the studentized range in panel B are consistent with n ...
... studentized range of the 250 day 0 mean performance measures ranges from 5.59 to 5.81, and similar average values apply when the properties of the mean excess returns in the estimation period for each sample are studied. However, while values of the studentized range in panel B are consistent with n ...
WP SES
... trading advisors (CTA), as discussed by Fung and Hsieh (2001). As these funds are known to use leverage, investigating these strategies is relevant from a practical point of view. Second, even if strategies have good predictive power, they cannot produce a significant abnormal return in a market env ...
... trading advisors (CTA), as discussed by Fung and Hsieh (2001). As these funds are known to use leverage, investigating these strategies is relevant from a practical point of view. Second, even if strategies have good predictive power, they cannot produce a significant abnormal return in a market env ...
Macroeconomic Risk and Debt Overhang PRELIMINARY AND INCOMPLETE ∗ Hui Chen
... growth options. This result can explain why a highly levered firm (or bank) might not have incentives to diversify its investments or hedge its market risk exposure, but would instead load on more systematic risk. This result can also be applied to asset sales.1 To provide quantitative assessment of ...
... growth options. This result can explain why a highly levered firm (or bank) might not have incentives to diversify its investments or hedge its market risk exposure, but would instead load on more systematic risk. This result can also be applied to asset sales.1 To provide quantitative assessment of ...
Download attachment
... For establishing a MCo., a party applies to the CLA for registration. For granting registration, the CLA evaluates the application in the framework of the above-mentioned law. When a MCo., registered with the CLA, it submits another application for initiating operations - floatation of Modarabas. Th ...
... For establishing a MCo., a party applies to the CLA for registration. For granting registration, the CLA evaluates the application in the framework of the above-mentioned law. When a MCo., registered with the CLA, it submits another application for initiating operations - floatation of Modarabas. Th ...
Testing Volatility Restrictions on Intertemporal Marginal Rates of
... Harvey (1992) all compare the lower volatility bound, computed from stock and bond returns data, with estimates of the mean and standard deviation of the IMRS implied by various utility functions, computed using data on aggregate U.S. consumption. In addition, Snow (1991) examines higher order momen ...
... Harvey (1992) all compare the lower volatility bound, computed from stock and bond returns data, with estimates of the mean and standard deviation of the IMRS implied by various utility functions, computed using data on aggregate U.S. consumption. In addition, Snow (1991) examines higher order momen ...
Lecture 08: Multi-period Model period Model
... • If per capita endowment is the same in event 1 and 2, state 1 and 3, and in state 2 and 4, respectively, and if the probability of reaching state 1 after event 1 is the same as the h probability b bili off reaching ...
... • If per capita endowment is the same in event 1 and 2, state 1 and 3, and in state 2 and 4, respectively, and if the probability of reaching state 1 after event 1 is the same as the h probability b bili off reaching ...
Commodity Dependence and Aggregate Risk
... the developed world’s economy already sliding into recession. This commodity-specific inflation – which occurred despite record output of many primary products – raised very real concerns about the sustainability of growth in the face of limited material resources. These concerns were reflected at t ...
... the developed world’s economy already sliding into recession. This commodity-specific inflation – which occurred despite record output of many primary products – raised very real concerns about the sustainability of growth in the face of limited material resources. These concerns were reflected at t ...
MACRO HEDGING OF INTEREST RATE RISK INTRODUCTION
... assets and liabilities that share the same risk to be hedged. Although systems differ, there is general agreement that the hedging process involves identification of notional amounts and repricing dates. As the economic risks of some financial instruments differ from their contractual terms, they ha ...
... assets and liabilities that share the same risk to be hedged. Although systems differ, there is general agreement that the hedging process involves identification of notional amounts and repricing dates. As the economic risks of some financial instruments differ from their contractual terms, they ha ...
Section 9.3 Buying and Selling Stocks
... activities that produce higher earnings and sales revenues, such as: Building new facilities Introducing new, high-quality products Conducting recognized research and ...
... activities that produce higher earnings and sales revenues, such as: Building new facilities Introducing new, high-quality products Conducting recognized research and ...
View the Entire Research Piece as a PDF here.
... It seems bizarre that volatility in general – and gold volatility in particular – is so low despite heightened economic, political, and monetary uncertainty, and we believe it isn’t a coincidence that realized and implied volatility are depressed across most asset classes and currencies. It is our v ...
... It seems bizarre that volatility in general – and gold volatility in particular – is so low despite heightened economic, political, and monetary uncertainty, and we believe it isn’t a coincidence that realized and implied volatility are depressed across most asset classes and currencies. It is our v ...
A Stochastic Discount Factor Approach to Asset
... In this paper, we derive a novel consistent estimator of the stochastic discount factor (or pricing kernel) that takes seriously the consequences of the Pricing Equation established by Harrison and Kreps (1979), Hansen and Richard (1987), and Hansen and Jagannathan (1991), where asset prices today a ...
... In this paper, we derive a novel consistent estimator of the stochastic discount factor (or pricing kernel) that takes seriously the consequences of the Pricing Equation established by Harrison and Kreps (1979), Hansen and Richard (1987), and Hansen and Jagannathan (1991), where asset prices today a ...
Hedging and Vertical Integration in Electricity Markets
... costs that a stop in deliveries would entail (Teece, 1976). More generally, uncertainty in demand, lack of market flexibility and risk aversion constitute rationale for vertical integration. 2 Increasingly, managers have also benefited from financial hedging instruments that have developed tremendou ...
... costs that a stop in deliveries would entail (Teece, 1976). More generally, uncertainty in demand, lack of market flexibility and risk aversion constitute rationale for vertical integration. 2 Increasingly, managers have also benefited from financial hedging instruments that have developed tremendou ...
Managing the Man Overboard Moment
... corporate fundamentals and stock market measures. All companies receive a score for each factor. The scores are relative to a company’s peers in the same sector. You can find a detailed definition of the factors in Appendix A, but here’s a quick summary: Momentum predominately considers two drivers, ...
... corporate fundamentals and stock market measures. All companies receive a score for each factor. The scores are relative to a company’s peers in the same sector. You can find a detailed definition of the factors in Appendix A, but here’s a quick summary: Momentum predominately considers two drivers, ...
Morningstar Asset Allocation Optimization Methodology
... random variables with finite variance tend toward a normal distribution, regardless of the underlying distribution. This has an important implication for forecasting long-term returns. A long-term return relative (one plus the return in decimal form; e.g., 1.05 for 5%) is the product of short-term r ...
... random variables with finite variance tend toward a normal distribution, regardless of the underlying distribution. This has an important implication for forecasting long-term returns. A long-term return relative (one plus the return in decimal form; e.g., 1.05 for 5%) is the product of short-term r ...
Portfolio Adjustment Costs and Asset Price Volatility with
... a model in which investors are margin constrained and they argue that there exists a strong linkage between funding liquidity, i.e. the ease with which investors can get funds, and market liquidity. Additionally, bond markets are also subject to considerable transaction costs, for example in the fo ...
... a model in which investors are margin constrained and they argue that there exists a strong linkage between funding liquidity, i.e. the ease with which investors can get funds, and market liquidity. Additionally, bond markets are also subject to considerable transaction costs, for example in the fo ...
NBER WORKING PAPER SERIES OF BELIEFS. Pierre Collin-Dufresne
... source of credit risk-premium, namely, a contagion risk premium, which is due to a marketwide adverse reaction to a given firm’s default. An implication of this argument is that models which ignore contagion risk may not be well-specified, in turn leading to a JTD risk premium that is biased upward. I ...
... source of credit risk-premium, namely, a contagion risk premium, which is due to a marketwide adverse reaction to a given firm’s default. An implication of this argument is that models which ignore contagion risk may not be well-specified, in turn leading to a JTD risk premium that is biased upward. I ...
Market conditions, default risk and credit spreads
... GFI. Both data sources were previously used in the literature (e.g., GFI data in Hull et al. (2004), and CreditTrade data in Blanco et al. (2005)). It is a rare instance to combine these two data sources. Our CreditTrade dataset spans from June 1997 to March 2006, and our GFI dataset covers the peri ...
... GFI. Both data sources were previously used in the literature (e.g., GFI data in Hull et al. (2004), and CreditTrade data in Blanco et al. (2005)). It is a rare instance to combine these two data sources. Our CreditTrade dataset spans from June 1997 to March 2006, and our GFI dataset covers the peri ...
Investor Sentiment and Chinese A
... have fundamental knowledge about investments in stocks and they are trading as noise traders who purely speculate in the stock market, yet Chinese investors, markets and regulations seem to be lagging behind (Allen, Qian & Qian, 2005). For instance, according to Chen, Kim, Nofsinger and Rui (2003), ...
... have fundamental knowledge about investments in stocks and they are trading as noise traders who purely speculate in the stock market, yet Chinese investors, markets and regulations seem to be lagging behind (Allen, Qian & Qian, 2005). For instance, according to Chen, Kim, Nofsinger and Rui (2003), ...
FIN 331 in a Nutshell
... The discount rate (YTM) is: The opportunity cost of capital The rate that could be earned on alternative investments of equal risk ...
... The discount rate (YTM) is: The opportunity cost of capital The rate that could be earned on alternative investments of equal risk ...
Credit Ratings and The Cross
... stocks can be explained by the size, value, and momentum effects in the cross-section of stock returns. Following Daniel, Grinblatt, Titman, and Wermers (1997), we adjust individual stock returns for size, book-to-market ratio, and past returns. In particular, we form 5 × 5 × 5 size, book-to-market, ...
... stocks can be explained by the size, value, and momentum effects in the cross-section of stock returns. Following Daniel, Grinblatt, Titman, and Wermers (1997), we adjust individual stock returns for size, book-to-market ratio, and past returns. In particular, we form 5 × 5 × 5 size, book-to-market, ...
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.