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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 ...
Rising Interest Rates and Timberland Returns
... timberland investing became more accepted as an asset class. The point made here is that the current risk-adjusted return expectations for timberland investing are more inline on a risk/return basis with other asset classes (Figure 3). As timberland returns and risk have compressed in line with capi ...
... timberland investing became more accepted as an asset class. The point made here is that the current risk-adjusted return expectations for timberland investing are more inline on a risk/return basis with other asset classes (Figure 3). As timberland returns and risk have compressed in line with capi ...
tactical timing of low volatility equity strategies
... Many investors we speak to are interested in making a strategic allocation to low volatility equities to help them better meet their investment objectives. The appeal of this strategy is clear. Low volatility stocks have historically delivered higher returns with lower risk than the capitalization-w ...
... Many investors we speak to are interested in making a strategic allocation to low volatility equities to help them better meet their investment objectives. The appeal of this strategy is clear. Low volatility stocks have historically delivered higher returns with lower risk than the capitalization-w ...
Temperature, Aggregate Risk, and Expected Returns
... literature (see Fama and French (1988)). We measure the temperature beta by regressing the real return on equity for each country and portfolio on the change in temperature. Using data from capital markets in 40 countries we show that the covariance between country equity returns and global temperat ...
... literature (see Fama and French (1988)). We measure the temperature beta by regressing the real return on equity for each country and portfolio on the change in temperature. Using data from capital markets in 40 countries we show that the covariance between country equity returns and global temperat ...
Risk-Return Trade-Off for European Stock Markets Nektarios
... have an e¤ect on the risk-return relation. Initially, we do this by adding a binary indicator for recession periods to the risk-return regression. Subsequently, we let the data determine the states endogenously, namely by using a Markov switching model for the risk-return trade-o¤. This analysis is ...
... have an e¤ect on the risk-return relation. Initially, we do this by adding a binary indicator for recession periods to the risk-return regression. Subsequently, we let the data determine the states endogenously, namely by using a Markov switching model for the risk-return trade-o¤. This analysis is ...
In this paper, we develop a theory for the time varying takeover
... According to a widely held belief stocks are very likely to outperform bonds over long horizons. In addition to higher expected returns, a possible mean reversion in stock returns would further help stocks to outperform (Poterba and Summers, 1988). The historical record of stocks over bonds is indee ...
... According to a widely held belief stocks are very likely to outperform bonds over long horizons. In addition to higher expected returns, a possible mean reversion in stock returns would further help stocks to outperform (Poterba and Summers, 1988). The historical record of stocks over bonds is indee ...
Pairs Trading in the UK Equity Market Risk and Return
... Given the majority of hedge fund activity and academic research focuses on the US, what are the returns from following such strategies in the UK? Is there a difference in performance and if so, can it be explained by the different characteristics of the two markets? In this paper we attempt to addr ...
... Given the majority of hedge fund activity and academic research focuses on the US, what are the returns from following such strategies in the UK? Is there a difference in performance and if so, can it be explained by the different characteristics of the two markets? In this paper we attempt to addr ...
Asset correlations and credit portfolio risk
... internal credit risk modelling processes and banking supervision. We first find substantial time variation in asset correlations both for the market model and the sector model. This suggests that asset correlation estimates should be regularly validated. For example, the median inferred asset correlat ...
... internal credit risk modelling processes and banking supervision. We first find substantial time variation in asset correlations both for the market model and the sector model. This suggests that asset correlation estimates should be regularly validated. For example, the median inferred asset correlat ...
Inflation: The Influence of Inflation on Equity Returns
... cash flows. These can be coupon and principle payments for bonds, or earnings for stocks. Inflation reduces the purchasing power of cash and, therefore, reduces the value of such future cash flows. If investors expect inflation to be high in the future, then they require higher rates of return today ...
... cash flows. These can be coupon and principle payments for bonds, or earnings for stocks. Inflation reduces the purchasing power of cash and, therefore, reduces the value of such future cash flows. If investors expect inflation to be high in the future, then they require higher rates of return today ...
How does investor sentiment affect stock market crises
... October 1987, for instance, remains enigmatic for researchers. During the crash, stock prices dropped an average of 22.6%, a decrease much larger than what can be explained by changes in economic variables (Black, 1988; Fama, 1989; Siegel, 1992). The view about the market "personality", the market b ...
... October 1987, for instance, remains enigmatic for researchers. During the crash, stock prices dropped an average of 22.6%, a decrease much larger than what can be explained by changes in economic variables (Black, 1988; Fama, 1989; Siegel, 1992). The view about the market "personality", the market b ...
Intermediary Asset Pricing
... The contribution of our paper is to work out an equilibrium model of intermediation that is dynamic, parsimonious, and can be realistically calibrated. While there is a prior body of work that studies the effect of intermediation on asset prices, the models employed have almost exclusively been stat ...
... The contribution of our paper is to work out an equilibrium model of intermediation that is dynamic, parsimonious, and can be realistically calibrated. While there is a prior body of work that studies the effect of intermediation on asset prices, the models employed have almost exclusively been stat ...
Asset Price Dynamics in Partially Segmented Markets ∗
... portfolio of long-term U.S. Treasury bonds, permanently expanding the amount of interest rate risk that investors need to bear in equilibrium. Treasury market specialists react immediately to the shock, absorbing the increased supply into their inventories. The risk premium on long-term Treasury bo ...
... portfolio of long-term U.S. Treasury bonds, permanently expanding the amount of interest rate risk that investors need to bear in equilibrium. Treasury market specialists react immediately to the shock, absorbing the increased supply into their inventories. The risk premium on long-term Treasury bo ...
Ulrich Höller`s boundless energy and wide range of interests have
... He’s very energetic and travels a lot, also privately, and enjoys getting a different perspective.’ Charls describes Höller as ‘very dynamic and very personable’. ‘When he takes something on he goes for it 200%. He’s a very reliable partner, a good thinker and a good strategist. He really makes a diff ...
... He’s very energetic and travels a lot, also privately, and enjoys getting a different perspective.’ Charls describes Höller as ‘very dynamic and very personable’. ‘When he takes something on he goes for it 200%. He’s a very reliable partner, a good thinker and a good strategist. He really makes a diff ...
rejda_rmi12_im01
... quite different. For example, if a company has a fleet of 1000 trucks, the expected number of collision losses each year may be 30. However, actual losses may vary each year from 25 to 35. In contrast, another fleet of 1000 trucks may have the same number of expected losses (30), but the annual vari ...
... quite different. For example, if a company has a fleet of 1000 trucks, the expected number of collision losses each year may be 30. However, actual losses may vary each year from 25 to 35. In contrast, another fleet of 1000 trucks may have the same number of expected losses (30), but the annual vari ...
Sequencing riSk a key challenge to creating SuStainaBle
... If market risk were not challenging enough for superannuation funds, this important and unique research finds that the sequence in which returns are realised by investors plays a critical role in determining the sustainability of retirement incomes. Samuel Taylor Coleridge once described poetry as ‘ ...
... If market risk were not challenging enough for superannuation funds, this important and unique research finds that the sequence in which returns are realised by investors plays a critical role in determining the sustainability of retirement incomes. Samuel Taylor Coleridge once described poetry as ‘ ...
Overcoming Adverse Selection: How Public Intervention Can
... tar, Thomas Mariotti, and François Salanié (2009) show that the Akerlof outcome obtains under divisibility provided that relationships be non-exclusive. Eric S. Maskin and Jean Tirole (1992) characterize equilibria of the signaling (informed principal) version of Rothschild-Stiglitz models.6 The ...
... tar, Thomas Mariotti, and François Salanié (2009) show that the Akerlof outcome obtains under divisibility provided that relationships be non-exclusive. Eric S. Maskin and Jean Tirole (1992) characterize equilibria of the signaling (informed principal) version of Rothschild-Stiglitz models.6 The ...
Xinfu Chen Mathematical Finance II - Pitt Mathematics
... (a) Suppose at the end of period, the Rock Inc. stock unit share price is $55 and Stone Inc. stock price is $105. After selling all his Rock Inc. stock holding, John obtains 300 ∗ $55 = $16500 cash. Now Jesse asks John to pay her the payment of her investment, totalling $100*$105=$10,500. after the ...
... (a) Suppose at the end of period, the Rock Inc. stock unit share price is $55 and Stone Inc. stock price is $105. After selling all his Rock Inc. stock holding, John obtains 300 ∗ $55 = $16500 cash. Now Jesse asks John to pay her the payment of her investment, totalling $100*$105=$10,500. after the ...
RP 2011-45 - Department of Economics and Business Economics
... other and to the market factor. Therefore, when used as regressors in a factor model, they lead to more precise loading estimates than would an alternative set of highly correlated factors. While having orthogonal factors is clearly bene…cial, our main contribution is to show that focusing solely o ...
... other and to the market factor. Therefore, when used as regressors in a factor model, they lead to more precise loading estimates than would an alternative set of highly correlated factors. While having orthogonal factors is clearly bene…cial, our main contribution is to show that focusing solely o ...
Liquidity article - Zebra Capital Management
... is more than 35 basis points. According to Boudoukh and Whitelaw (1991), the yield spread is more than 50 basis points between the designated benchmark government bond and similar but less liquid government bonds in Japan. For stocks in China, Chen and Xiong (2001) find that the average discount for ...
... is more than 35 basis points. According to Boudoukh and Whitelaw (1991), the yield spread is more than 50 basis points between the designated benchmark government bond and similar but less liquid government bonds in Japan. For stocks in China, Chen and Xiong (2001) find that the average discount for ...
Optimal research in financial markets with heterogeneous private
... private information. The model investigates the optimal research e¤ort and its implications on asset prices. In particular, it illustrates the dependence of the research e¤ort on the maturity of assets and the impact of alternative returns. The view among investors seems to be that they would not ne ...
... private information. The model investigates the optimal research e¤ort and its implications on asset prices. In particular, it illustrates the dependence of the research e¤ort on the maturity of assets and the impact of alternative returns. The view among investors seems to be that they would not ne ...
Technology Industry on Financial Ratios and Stock Returns
... Price to earnings ratio (P/E) measures how much investors are willing to pay per dollar of reported profit (Brigham & Houston, 2010). Fairfield (1994) found that P/E is positively correlate with stock returns because the earnings are expected to increase in the future will have high P/E ratios. Shen ...
... Price to earnings ratio (P/E) measures how much investors are willing to pay per dollar of reported profit (Brigham & Houston, 2010). Fairfield (1994) found that P/E is positively correlate with stock returns because the earnings are expected to increase in the future will have high P/E ratios. Shen ...
Low volatility anomaly and mutual fund allocations - Aalto
... stocks deliver higher absolute returns than the CAPM predicts. In other words, this means that the security market line which describes the relationship between risk and expected return was too flat relative to the CAPM. There are several explanations for the anomaly – many of them relating to biase ...
... stocks deliver higher absolute returns than the CAPM predicts. In other words, this means that the security market line which describes the relationship between risk and expected return was too flat relative to the CAPM. There are several explanations for the anomaly – many of them relating to biase ...
Risk appetite – How hungry are you?
... Stakeholder views will differ on the desired safety margin and it is crucial to understand this in setting and understanding appetite. It is also necessary to assess other factors such as the potential impact of a risk incident, as well as the ability of the organisation to control the activity and ...
... Stakeholder views will differ on the desired safety margin and it is crucial to understand this in setting and understanding appetite. It is also necessary to assess other factors such as the potential impact of a risk incident, as well as the ability of the organisation to control the activity and ...
Investment Strategy Statement
... selection, non-selection, retention and realisation of investments The Fund is committed to being a long term steward of the assets in which it invests and expects this approach to protect and enhance the value of the Fund in the long term. In making investment decisions, the Fund seeks and receives ...
... selection, non-selection, retention and realisation of investments The Fund is committed to being a long term steward of the assets in which it invests and expects this approach to protect and enhance the value of the Fund in the long term. In making investment decisions, the Fund seeks and receives ...
Research on Evaluation of Regional Innovation System Environmental Risk
... 3.3 Financial risk The financial risk means the indetermination which the factor of finance or capital market brings to RIS development. At present, most technology innovation, especially that of high-tech industry, demand a great deal of funds devotion, although the innovation cooperator can share ...
... 3.3 Financial risk The financial risk means the indetermination which the factor of finance or capital market brings to RIS development. At present, most technology innovation, especially that of high-tech industry, demand a great deal of funds devotion, although the innovation cooperator can share ...
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.