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 ...
DFS-J3-1541 rev0413(Investment Policy).
... Actively Managed Product – An investment strategy that relies on active trading strategies in an effort to out-perform the financial returns generated by a market benchmark index. Best Interests of the Participants – reasonable consideration of cost, continuity, return, risk, flexibility, and securi ...
... Actively Managed Product – An investment strategy that relies on active trading strategies in an effort to out-perform the financial returns generated by a market benchmark index. Best Interests of the Participants – reasonable consideration of cost, continuity, return, risk, flexibility, and securi ...
market value margin
... Necessary capital C for risk is quantified by the risk measure of the change of risk bearing capital over a given time horizon (e.g. 1 year) ...
... Necessary capital C for risk is quantified by the risk measure of the change of risk bearing capital over a given time horizon (e.g. 1 year) ...
Expected Returns on Major Asset Classes
... better-diversified portfolios (avoiding exclusive reliance on the equity premium as the source of beta return) and more forward-looking analysis. ■ Broadening away from equity concentration and the narrow asset class perspective Even though many investors have improved portfolio diversification by s ...
... better-diversified portfolios (avoiding exclusive reliance on the equity premium as the source of beta return) and more forward-looking analysis. ■ Broadening away from equity concentration and the narrow asset class perspective Even though many investors have improved portfolio diversification by s ...
Trading Strategies in the Current Commodity Market Environment
... 55% to 130%. See Figure 4. Low ratios usually came in the summer and high ratios in the winter. In October, a trader looks at prices 15 months out and sees that propane is trading at 60% of crude in the October/November/ December deliveries. He thinks 60% is a good entry point, especially for 4Q, an ...
... 55% to 130%. See Figure 4. Low ratios usually came in the summer and high ratios in the winter. In October, a trader looks at prices 15 months out and sees that propane is trading at 60% of crude in the October/November/ December deliveries. He thinks 60% is a good entry point, especially for 4Q, an ...
Long Term Risk - NCSU Statistics
... Because a portfolio of derivatives may contain many different types of instrument of different maturities, there may be different degrees of risk at different horizons. Write L(t) for the aggregate credit loss experienced up to time t. Clearly most questions about the magnitude of the risk can be an ...
... Because a portfolio of derivatives may contain many different types of instrument of different maturities, there may be different degrees of risk at different horizons. Write L(t) for the aggregate credit loss experienced up to time t. Clearly most questions about the magnitude of the risk can be an ...
Document
... of Energy Studies at the University of Greenwich in the UK, quoted in the book The Doomsday Machine (2012 book)|The Doomsday Machine by Martin Cohen and Andrew McKillop ]) that what is often not appreciated in debates about the economics of nuclear power is that the cost of equity, that is companies ...
... of Energy Studies at the University of Greenwich in the UK, quoted in the book The Doomsday Machine (2012 book)|The Doomsday Machine by Martin Cohen and Andrew McKillop ]) that what is often not appreciated in debates about the economics of nuclear power is that the cost of equity, that is companies ...
Political risk: what market impact
... traditional bipartisanship) and the coherence of the programmes suggest that uncertainty (EPU) could be markedly higher than during previous elections. ...
... traditional bipartisanship) and the coherence of the programmes suggest that uncertainty (EPU) could be markedly higher than during previous elections. ...
Secular Stagnation, Rational Bubbles, and Fiscal
... This paper proceeds as follows. Section 2 considers the simplest economy that exhibits our mechanism. We use a convenient production function which allows an analytical solution by ruling out complementarity between labour and capital. The young save a …xed amount, which can be stored either in capi ...
... This paper proceeds as follows. Section 2 considers the simplest economy that exhibits our mechanism. We use a convenient production function which allows an analytical solution by ruling out complementarity between labour and capital. The young save a …xed amount, which can be stored either in capi ...
working paper / xx/12 - Ministry of Social Development
... The purpose of this Act is to encourage a long-term savings habit and asset accumulation by individuals who are not in a position to enjoy standards of living in retirement similar to those in preretirement. The Act aims to increase individuals’ well-being and financial independence, particularly in ...
... The purpose of this Act is to encourage a long-term savings habit and asset accumulation by individuals who are not in a position to enjoy standards of living in retirement similar to those in preretirement. The Act aims to increase individuals’ well-being and financial independence, particularly in ...
Oversight Policy for Deferred Compensation
... Actively Managed Product – An investment strategy that relies on active trading strategies in an effort to out-perform the financial returns generated by a market benchmark index. Best Interests of the Participants – reasonable consideration of cost, continuity, return, risk, flexibility, and securi ...
... Actively Managed Product – An investment strategy that relies on active trading strategies in an effort to out-perform the financial returns generated by a market benchmark index. Best Interests of the Participants – reasonable consideration of cost, continuity, return, risk, flexibility, and securi ...
Funding Liquidity, Market Liquidity and the Cross-Section
... measurement of the latent funding risk factor. Estimates of F L are based on apparent deviations from arbitrage in a panel of U.S. Treasury bonds. This instance of limits to arbitrage arises because of frictions in the repo market: arbitraging between nearby bonds requires two transactions on the re ...
... measurement of the latent funding risk factor. Estimates of F L are based on apparent deviations from arbitrage in a panel of U.S. Treasury bonds. This instance of limits to arbitrage arises because of frictions in the repo market: arbitraging between nearby bonds requires two transactions on the re ...
Expected Returns on Major Asset Classes
... one could calculate such a premium by subtracting the bond yield from the DDM-based expected return on stocks. According to this way of thinking, the equity risk premium is an artifact, a derived quantity that depends on the time and place for which it is being estimated. Other premia, or difference ...
... one could calculate such a premium by subtracting the bond yield from the DDM-based expected return on stocks. According to this way of thinking, the equity risk premium is an artifact, a derived quantity that depends on the time and place for which it is being estimated. Other premia, or difference ...
Understanding Counterparty Risk on Total Return
... that physically buys and sell the securities that constitute the index it is tracking. All of our TRI ETFs track the total return version of their respective indices. This means that 100% of the index constituents’ distributions (dividends and interest income) are automatically reflected in the Net ...
... that physically buys and sell the securities that constitute the index it is tracking. All of our TRI ETFs track the total return version of their respective indices. This means that 100% of the index constituents’ distributions (dividends and interest income) are automatically reflected in the Net ...
Can Financing Constraints Explain the Asset Pricing Puzzles in Production Economies? ∗
... Occasionally binding financing constraints restrict investment in an asymmetric manner. The constraints have a higher probability of binding when firms are expecting a positive productivity shock next period but their capital stock is currently low, which typically occurs when the economy switches f ...
... Occasionally binding financing constraints restrict investment in an asymmetric manner. The constraints have a higher probability of binding when firms are expecting a positive productivity shock next period but their capital stock is currently low, which typically occurs when the economy switches f ...
NBIM DIscussIoN NoTE Momentum in Futures Market
... We start by asking why long-term investors should care about trend-following strategies. Kroencke, Schindler and Schrimpf (2013) quantify the diversification benefits (increase in Sharpe ratio) from adding foreign exchange investment styles (value, momentum and carry) to portfolios consisting of glo ...
... We start by asking why long-term investors should care about trend-following strategies. Kroencke, Schindler and Schrimpf (2013) quantify the diversification benefits (increase in Sharpe ratio) from adding foreign exchange investment styles (value, momentum and carry) to portfolios consisting of glo ...
Investor Behaviour and Lottery Stocks
... relatively simple trading rules, showing that trading activity is affected following monthly high or low records. Furthermore, Barber and Odean (2008) show that stocks that are considered “attention-grabbing” by exhibiting extreme daily returns are attractive to individual investors. In this study, ...
... relatively simple trading rules, showing that trading activity is affected following monthly high or low records. Furthermore, Barber and Odean (2008) show that stocks that are considered “attention-grabbing” by exhibiting extreme daily returns are attractive to individual investors. In this study, ...
Speculative Trading and Stock Prices
... is robust even after controlling for many other factors such as liquidity, discount rate and risk premium. This paper is also related to recent literature analyzing the effects of short-sales constraints on stock returns. Jones and Lamont (2002) use U.S. data from the 1920s, when rebate rates, one o ...
... is robust even after controlling for many other factors such as liquidity, discount rate and risk premium. This paper is also related to recent literature analyzing the effects of short-sales constraints on stock returns. Jones and Lamont (2002) use U.S. data from the 1920s, when rebate rates, one o ...
Asset Management Fees and the Growth of Finance
... that holds the securities that are owned. The same annual report and similar filings to the Securities and Exchange Commission are required whether the investment fund has $100 million in assets or $500 million. The due diligence required for the investment manager is no different for a large mutual ...
... that holds the securities that are owned. The same annual report and similar filings to the Securities and Exchange Commission are required whether the investment fund has $100 million in assets or $500 million. The due diligence required for the investment manager is no different for a large mutual ...
The PRS Group
... Year’s sum of interest and principal repayments on external public and publicly guaranteed debt as a percentage of XGS. A measure of, not just whether there are free and fair elections, but how responsive government is to its people. The less responsive it is, the more likely it will fall. Even demo ...
... Year’s sum of interest and principal repayments on external public and publicly guaranteed debt as a percentage of XGS. A measure of, not just whether there are free and fair elections, but how responsive government is to its people. The less responsive it is, the more likely it will fall. Even demo ...
investment banking and securities issuance
... devoted to the mechanisms for selling IPOs, where considerable variation exists in global practices. Theories and evidence regarding the first-day returns on IPOs are also covered. Most of this chapter is devoted to equity issues, even though fixed-income securities swamp equities in terms of the doll ...
... devoted to the mechanisms for selling IPOs, where considerable variation exists in global practices. Theories and evidence regarding the first-day returns on IPOs are also covered. Most of this chapter is devoted to equity issues, even though fixed-income securities swamp equities in terms of the doll ...
13: Asset Valuation: Equity Investments
... Baker Computer Company, currently retains 55 percents of its earnings, which this past year totaled $6.00 per share. The company earns a return of equity (ROE) of approximately 20 percent. Assuming a required rate of return is 15 percent, how much would an investor pay the Baker Computer on the basi ...
... Baker Computer Company, currently retains 55 percents of its earnings, which this past year totaled $6.00 per share. The company earns a return of equity (ROE) of approximately 20 percent. Assuming a required rate of return is 15 percent, how much would an investor pay the Baker Computer on the basi ...
stock price reactions to securities fraud class actions
... while motions to dismiss are pending, thereby depriving plaintiffs of access to the sources most likely to provide the facts necessary to plead fraud with particularity. The goal of the Reform Act is to provide a more rigorous screen for sorting meritorious from non-meritorious cases through the mec ...
... while motions to dismiss are pending, thereby depriving plaintiffs of access to the sources most likely to provide the facts necessary to plead fraud with particularity. The goal of the Reform Act is to provide a more rigorous screen for sorting meritorious from non-meritorious cases through the mec ...
Fourth Quarter and Full Year 2015
... Performance data quoted represents past performance and is no guarantee of future results. Investment results will fluctuate so that an investor’s shares, if repurchased in a tender offer, may be worth more or less than original cost. Current performance may be higher or lower than performance data ...
... Performance data quoted represents past performance and is no guarantee of future results. Investment results will fluctuate so that an investor’s shares, if repurchased in a tender offer, may be worth more or less than original cost. Current performance may be higher or lower than performance data ...
NBER WORKING PAPER SERIES STOCK AND BOND RETURNS WITH MOODY INVESTORS
... so that the covariance is most negative when λ = −1, a restriction of perfectly counter-cyclical risk aversion under which our model most closely approaches that of Campbell and Cochrane (1999). Another issue that arises in modeling consumption and stochastic risk aversion dynamics is whether the mo ...
... so that the covariance is most negative when λ = −1, a restriction of perfectly counter-cyclical risk aversion under which our model most closely approaches that of Campbell and Cochrane (1999). Another issue that arises in modeling consumption and stochastic risk aversion dynamics is whether the mo ...
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.