Financial Markets and the Real Economy
... discount factor is high at t + 1 if you desperately want more wealth at t + 1—and would be willing to give up a lot of wealth in other dates or states to get it. Equation (3) thus says that the risk premium E(Rei ) is driven by the covariance of returns with the marginal value of wealth.3 Given that ...
... discount factor is high at t + 1 if you desperately want more wealth at t + 1—and would be willing to give up a lot of wealth in other dates or states to get it. Equation (3) thus says that the risk premium E(Rei ) is driven by the covariance of returns with the marginal value of wealth.3 Given that ...
A Study on the Relationship between Relative Bargaining Power
... Methods to measure synergies of mergers and acquisition activities have been proposed in many literatures. However, few literatures discuss the influencing variables or conditions on the M&A activities’ synergy from the perspective of each participant’s relative bargaining powers. Regarding synergy ...
... Methods to measure synergies of mergers and acquisition activities have been proposed in many literatures. However, few literatures discuss the influencing variables or conditions on the M&A activities’ synergy from the perspective of each participant’s relative bargaining powers. Regarding synergy ...
a. a contract that involves a long position only. b. a
... 4. The price of a financial futures contract: a. will be the same as the price of the underlying asset to be delivered when the contract is negotiated. b. will be less than the price of the underlying asset to be delivered at the expiration date. c. will be greater than the price of the underlying a ...
... 4. The price of a financial futures contract: a. will be the same as the price of the underlying asset to be delivered when the contract is negotiated. b. will be less than the price of the underlying asset to be delivered at the expiration date. c. will be greater than the price of the underlying a ...
The long term equilibrium interest rate and risk premiums under
... function must be basically linear, so that γ ≈ 0, or the annual per capita consumption growth rate g must eventually become negative. Concerning the value of γ, a typical participant in the stock market is often estimated to have a relative risk aversion around 2, or perhaps larger, and accounting ...
... function must be basically linear, so that γ ≈ 0, or the annual per capita consumption growth rate g must eventually become negative. Concerning the value of γ, a typical participant in the stock market is often estimated to have a relative risk aversion around 2, or perhaps larger, and accounting ...
Alternative Investments as Modern Financial Innovations
... promise of higher returns and can boost overall market liquidity as well. Alternative investment strategies were defined as more complex and involving higher risks for investors than mainstream UCITS funds. A working document of the European Commission from 2009 defines alternative investments as al ...
... promise of higher returns and can boost overall market liquidity as well. Alternative investment strategies were defined as more complex and involving higher risks for investors than mainstream UCITS funds. A working document of the European Commission from 2009 defines alternative investments as al ...
Comparing different regulatory measures to control stock market volatility: a general equilibrium analysis
... The dynamic, stochastic general equilibrium model we construct is of a production economy that is populated by multiple investors who have different beliefs; some of these investors may be fully rational while others may trade on sentiment. Trading between investors who differ in their beliefs leads ...
... The dynamic, stochastic general equilibrium model we construct is of a production economy that is populated by multiple investors who have different beliefs; some of these investors may be fully rational while others may trade on sentiment. Trading between investors who differ in their beliefs leads ...
Evaluating the Riskiness of Initial Public Offerings: 1980-2000
... proliferation of high-tech and Internet IPOs. The timing of these speculative offerings was perhaps fortuitous, decided by a number of economic developments and technological advances coming together in the late 1980s. During the 1990s, we witnessed an unrivaled push to deregulate most industries ( ...
... proliferation of high-tech and Internet IPOs. The timing of these speculative offerings was perhaps fortuitous, decided by a number of economic developments and technological advances coming together in the late 1980s. During the 1990s, we witnessed an unrivaled push to deregulate most industries ( ...
Distress Anomaly and Shareholder Risk: International Evidence Assaf Eisdorfer
... returns due to some specific events that occurred in the U.S., we are unlikely to observe a similar pattern in most other countries. Second, an international study allows us to relate returns to distressed stocks to various country-level characteristics (e.g. measures of shareholder protection or th ...
... returns due to some specific events that occurred in the U.S., we are unlikely to observe a similar pattern in most other countries. Second, an international study allows us to relate returns to distressed stocks to various country-level characteristics (e.g. measures of shareholder protection or th ...
The Cross-Section and Time Series of Stock and Bond Returns
... to the level of the term structure accounts for the difference in excess returns on five maturity-sorted government bond portfolios, consistent with Cochrane and Piazzesi (2008). Third, exposure to the market return accounts for the aggregate equity premium. This three-factor model reduces mean abso ...
... to the level of the term structure accounts for the difference in excess returns on five maturity-sorted government bond portfolios, consistent with Cochrane and Piazzesi (2008). Third, exposure to the market return accounts for the aggregate equity premium. This three-factor model reduces mean abso ...
Joint Dynamics of Bond and Stock Returns - Wisconsin-School
... I study the joint dynamics of returns on assets with different amounts of cash-flow risk, ranging from real default-free long-term bonds to risky stocks. I primarily focus on the dynamics of cross-correlations and conditional risk premia. Return correlations between assets with different amounts of ...
... I study the joint dynamics of returns on assets with different amounts of cash-flow risk, ranging from real default-free long-term bonds to risky stocks. I primarily focus on the dynamics of cross-correlations and conditional risk premia. Return correlations between assets with different amounts of ...
I 1) Which of the following is NOT an example of a
... 7. You are the owner of a 5 million portfolio with a beta 1.0. You would like to insure your portfolio against a fall in the index of magnitude higher than 10%. Spot Nifty stands at 4000. Put options on the Nifty are available at three strike prices. Which strike will give you the insurance you wan ...
... 7. You are the owner of a 5 million portfolio with a beta 1.0. You would like to insure your portfolio against a fall in the index of magnitude higher than 10%. Spot Nifty stands at 4000. Put options on the Nifty are available at three strike prices. Which strike will give you the insurance you wan ...
Accounting Characteristics and Performance of the Thai Value and
... growth stocks (or stock with high P/E ratio), and value stocks over the long period, up to 18 years. The study period covers from the end of 1983 through November 2001. The portfolio formation period is from 1983 to 1987. For each of the five years of portfolio formation period, market value, P/E ra ...
... growth stocks (or stock with high P/E ratio), and value stocks over the long period, up to 18 years. The study period covers from the end of 1983 through November 2001. The portfolio formation period is from 1983 to 1987. For each of the five years of portfolio formation period, market value, P/E ra ...
CF Prudential Managed Defensive Fund
... the higher the number on the scale and the greater the risk that investors in that fund may have made losses as well as gains. The lowest number on the scale does not mean that a fund is risk free. During the year the indicator has changed from 4 to 3. The Fund has been classed as 3 because its vola ...
... the higher the number on the scale and the greater the risk that investors in that fund may have made losses as well as gains. The lowest number on the scale does not mean that a fund is risk free. During the year the indicator has changed from 4 to 3. The Fund has been classed as 3 because its vola ...
How to Read a Value Line Fund Advisor Report
... provides enough data for reliable measurement without overweighing data that are too old to be relevant. Standard deviation measures the variation of a fund’s returns, exclusive of any other factors. It is, therefore, a more reliable indicator of a fund’s risk than other statistics, such as beta, wh ...
... provides enough data for reliable measurement without overweighing data that are too old to be relevant. Standard deviation measures the variation of a fund’s returns, exclusive of any other factors. It is, therefore, a more reliable indicator of a fund’s risk than other statistics, such as beta, wh ...
Managing currency exposure in Australian superannuation funds
... dampen the volatility of unhedged returns when translated back to AUD, leading to the somewhat surprising result that the volatility of hedged returns can, in some cases, be higher than the volatility of unhedged ...
... dampen the volatility of unhedged returns when translated back to AUD, leading to the somewhat surprising result that the volatility of hedged returns can, in some cases, be higher than the volatility of unhedged ...
House Prices, Expectations, and Time
... update their estimates for the mean, persistence and volatility of fundamental rent growth using only recent data (i.e., the past 4 years), or if agents employ a simple moving-average forecast rule for the price-rent ratio that places a large weight on the most recent observation. These two versions ...
... update their estimates for the mean, persistence and volatility of fundamental rent growth using only recent data (i.e., the past 4 years), or if agents employ a simple moving-average forecast rule for the price-rent ratio that places a large weight on the most recent observation. These two versions ...
Housing and Portfolio Choice: A Life Cycle Simulation Model
... that households can acquire either by renting from the owner or by buying their own housing stock from which housing services can then be derived. At the same time, households may follow an investment incentive in that they consider real estate as an attractive long-term investment that is not subje ...
... that households can acquire either by renting from the owner or by buying their own housing stock from which housing services can then be derived. At the same time, households may follow an investment incentive in that they consider real estate as an attractive long-term investment that is not subje ...
bcbs239 – the $8 billion game changer for financial institutions
... state of a bank at the point in time of reporting – usually at the end of the month when journals have been passed, often creating a host of problems with risk back testing. Risk management, in contrast, focuses on risks that may materialize in the future. This substantial difference is a key elemen ...
... state of a bank at the point in time of reporting – usually at the end of the month when journals have been passed, often creating a host of problems with risk back testing. Risk management, in contrast, focuses on risks that may materialize in the future. This substantial difference is a key elemen ...
Why do foreign firms have less idiosyncratic risk than U.S.... Söhnke M. Bartram, Gregory Brown, and René M. Stulz*
... partly in response to characteristics of the country in which they are located. Firms in foreign countries seem to systematically make choices that are associated with lower idiosyncratic volatility. In particular, firms in foreign countries have more fixed assets and less R&D than U.S. firms. Earli ...
... partly in response to characteristics of the country in which they are located. Firms in foreign countries seem to systematically make choices that are associated with lower idiosyncratic volatility. In particular, firms in foreign countries have more fixed assets and less R&D than U.S. firms. Earli ...
When uncertainty blows in the orchard comovement and equilibrium
... Prices of index and individual stock options differ in a number of important empirical dimensions. These differences and their time-series and cross-sectional properties presents an important challenge to modern asset pricing modelling. First, the absolute size of the typical volatility risk premium o ...
... Prices of index and individual stock options differ in a number of important empirical dimensions. These differences and their time-series and cross-sectional properties presents an important challenge to modern asset pricing modelling. First, the absolute size of the typical volatility risk premium o ...
Product Innovations, Advertising and Stock Returns
... We start with the established financial benchmark, i.e. the four-factor model by Fama and French (1992; 1993), because this model produces a better estimate of expected stock returns than does ...
... We start with the established financial benchmark, i.e. the four-factor model by Fama and French (1992; 1993), because this model produces a better estimate of expected stock returns than does ...
Reexamining the Financial Value of Information Technology Decisions
... Event studies are an important part of the literature in management and economics. Their usefulness primarily stems from the assumption that the magnitude of abnormal returns following an organizational event provides an estimate of the impact of the event on shareholder value creation, which, acco ...
... Event studies are an important part of the literature in management and economics. Their usefulness primarily stems from the assumption that the magnitude of abnormal returns following an organizational event provides an estimate of the impact of the event on shareholder value creation, which, acco ...
Foundation Investment Policy
... shall decide whether to allocate this into the investments immediately, or choose to invest over a designated time period, not to exceed 12 months (dollar cost averaging). Should said funds be earmarked for a special project that will require those funds to be spent within 1 year, said funds are to ...
... shall decide whether to allocate this into the investments immediately, or choose to invest over a designated time period, not to exceed 12 months (dollar cost averaging). Should said funds be earmarked for a special project that will require those funds to be spent within 1 year, said funds are to ...
1 - University of Mauritius
... Others argue that it is premature to reject rational models and suggest that the profitability of momentum strategies may simply be a compensation for risk. They investigate whether the excess returns generated by the momentum strategies can be due to a positive CAPM beta in the zero-investment mome ...
... Others argue that it is premature to reject rational models and suggest that the profitability of momentum strategies may simply be a compensation for risk. They investigate whether the excess returns generated by the momentum strategies can be due to a positive CAPM beta in the zero-investment mome ...
Paper - Statistical Modeling, Causal Inference, and Social Science
... assumed to have identical statistical properties, which neither time nor sampling significantly alter. In physics, this assumption is so grounded in experience, and so consistent with generations of tests, that it is treated as a fundamental property of matter. While the uncertainty principle is bou ...
... assumed to have identical statistical properties, which neither time nor sampling significantly alter. In physics, this assumption is so grounded in experience, and so consistent with generations of tests, that it is treated as a fundamental property of matter. While the uncertainty principle is bou ...
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.