THE IMPACT OF MINIMUM INVESTMENT BARRIERS ON SHORT END OF PERFORMANCE?
... acceptable choices. Four, retail investors, observing the excess returns and alternative risk profiles attained by many institutions are likely to feel more secure about investing in hedge funds. The hedge fund industry itself due to its rapid growth may be providing an impetus for new prospective r ...
... acceptable choices. Four, retail investors, observing the excess returns and alternative risk profiles attained by many institutions are likely to feel more secure about investing in hedge funds. The hedge fund industry itself due to its rapid growth may be providing an impetus for new prospective r ...
Forecasting Volatility in Financial Markets: A Review
... Poon and Granger: Forecasting Volatility in Financial Markets set aside reserve capital of at least three times that of value-at-risk (VaR), which is defined as the minimum expected loss with a 1-percent confidence level for a given time horizon (usually one or ten days). Sometimes, a 5-percent crit ...
... Poon and Granger: Forecasting Volatility in Financial Markets set aside reserve capital of at least three times that of value-at-risk (VaR), which is defined as the minimum expected loss with a 1-percent confidence level for a given time horizon (usually one or ten days). Sometimes, a 5-percent crit ...
Geographic Dispersion and Stock Returns
... securities. Stocks with lower investor recognition have higher expected returns to compensate investors that hold the stock for insufficient diversification. It is reasonable to expect that stocks of local firms will have a smaller investor base, and hence lower investor recognition, than stocks of ...
... securities. Stocks with lower investor recognition have higher expected returns to compensate investors that hold the stock for insufficient diversification. It is reasonable to expect that stocks of local firms will have a smaller investor base, and hence lower investor recognition, than stocks of ...
Asset Prices and Unit Trusts
... the more familiar problems of size, power and other data issues in applied work – this should be of interest to economists generally and not just specialists in the mutual fund area. The second key issue is whether abnormal fund performance can be identified ex-ante and for how long it persists in t ...
... the more familiar problems of size, power and other data issues in applied work – this should be of interest to economists generally and not just specialists in the mutual fund area. The second key issue is whether abnormal fund performance can be identified ex-ante and for how long it persists in t ...
SP170: Did NASDAQ market makers successfully collude to
... observations that includes all stocks that moved during the same time period, both daily-volume weighted and unweighted (for comparison).11 There are but small differences among the percentage and dollar quoted half-spreads and effective half-spreads among the three samples. [The table is included i ...
... observations that includes all stocks that moved during the same time period, both daily-volume weighted and unweighted (for comparison).11 There are but small differences among the percentage and dollar quoted half-spreads and effective half-spreads among the three samples. [The table is included i ...
pdf - The University of Texas at Dallas
... in period t, and (3) present value of period t–based changes in future discount rate expectations (DRt ). It follows that the covariance between earnings (Xt ) and market returns can be decomposed as4 cov(RMKT t ,Xt ) = cov(ERMKT t ,Xt ) + cov(CF t ,Xt ) + cov(DR t ,Xt ). (1) This equation makes cle ...
... in period t, and (3) present value of period t–based changes in future discount rate expectations (DRt ). It follows that the covariance between earnings (Xt ) and market returns can be decomposed as4 cov(RMKT t ,Xt ) = cov(ERMKT t ,Xt ) + cov(CF t ,Xt ) + cov(DR t ,Xt ). (1) This equation makes cle ...
(2007), Paul Wilmott Introduces Quantitative
... 23.3 Risky bonds 23.4 Modeling the risk of default 23.5 The Poisson process and the instantaneous risk of default 23.5.1 A note on hedging 23.6 Time-dependent intensity and the term structure of default 23.7 Stochastic risk of default ...
... 23.3 Risky bonds 23.4 Modeling the risk of default 23.5 The Poisson process and the instantaneous risk of default 23.5.1 A note on hedging 23.6 Time-dependent intensity and the term structure of default 23.7 Stochastic risk of default ...
Large Price Changes and Subsequent Returns
... • So far, the literature identifies early announcers when the firms actually report earnings earlier than expected, and late announcers when the firms miss the expected earnings announcement dates. • To be able to trade on the timing of earnings announcements we need a good source of expected earnin ...
... • So far, the literature identifies early announcers when the firms actually report earnings earlier than expected, and late announcers when the firms miss the expected earnings announcement dates. • To be able to trade on the timing of earnings announcements we need a good source of expected earnin ...
Essays on information asymmetry and the firm
... and recognizing that undervalued (but not overvalued) firms will conduct OMRs renders the empirical prediction that the shareholder wealth effect to OMR announcements should increase in the degree of a firm’s information asymmetry. We explore how measures of asymmetric information combine with open ...
... and recognizing that undervalued (but not overvalued) firms will conduct OMRs renders the empirical prediction that the shareholder wealth effect to OMR announcements should increase in the degree of a firm’s information asymmetry. We explore how measures of asymmetric information combine with open ...
A Theory of Repurchase Agreements, Collateral Re-use
... Gorton and Metrick (2012) argue that the financial panic of 2007-08 started with a run on the market for repurchase agreements (repos). Lenders stopped lending altogether or drastically increased the haircut requested for some types of collateral. This view was very influential in shaping our unders ...
... Gorton and Metrick (2012) argue that the financial panic of 2007-08 started with a run on the market for repurchase agreements (repos). Lenders stopped lending altogether or drastically increased the haircut requested for some types of collateral. This view was very influential in shaping our unders ...
How Deep is the Annuity Market Participation Puzzle
... their income and assets. If a couple treats their income and assets separately it will consist of two …nancial units. Financial units are to be distinguished from bene…t units, which are either single persons or couples irrespectively of their agreement with respect to the sharing of …nancial means. ...
... their income and assets. If a couple treats their income and assets separately it will consist of two …nancial units. Financial units are to be distinguished from bene…t units, which are either single persons or couples irrespectively of their agreement with respect to the sharing of …nancial means. ...
simulating portfolios by using models of social networks
... collective behavior associated with non-linear dynamics, which can only be explanied with an interaction-based approach. In the first part of the simulation games (Chapter 5), I demonstrate how returns and risk affect portfolio selection in a very simple two-asset game. Games are simulated under two ...
... collective behavior associated with non-linear dynamics, which can only be explanied with an interaction-based approach. In the first part of the simulation games (Chapter 5), I demonstrate how returns and risk affect portfolio selection in a very simple two-asset game. Games are simulated under two ...
QIS4 Technical Specifications
... Study (QIS4), which the European Commission has asked CEIOPS to run between April and July 2008 in the frame of the development of potential future level 2 implementing measures for the Solvency II Directive Proposal. The reporting date to be used by all participants should be end December 2007. Whe ...
... Study (QIS4), which the European Commission has asked CEIOPS to run between April and July 2008 in the frame of the development of potential future level 2 implementing measures for the Solvency II Directive Proposal. The reporting date to be used by all participants should be end December 2007. Whe ...
879_Paula Lopez Paper
... which separates income and assets would enter our dataset with two observations while a couple with joint income and assets contributes one observation. Financial information for the household (like wealth, income) apart from annuities is collected on the household level. Since age is truncated at 9 ...
... which separates income and assets would enter our dataset with two observations while a couple with joint income and assets contributes one observation. Financial information for the household (like wealth, income) apart from annuities is collected on the household level. Since age is truncated at 9 ...
Measuring Securities Litigation Risk
... Our paper contributes to the literature in several ways. First, we provide comprehensive evidence on the usefulness of the FPS industry variables as a measure and predictor of litigation risk, an important task given the ubiquity of this measure in the extant literature. Second, we provide evidence ...
... Our paper contributes to the literature in several ways. First, we provide comprehensive evidence on the usefulness of the FPS industry variables as a measure and predictor of litigation risk, an important task given the ubiquity of this measure in the extant literature. Second, we provide evidence ...
the effect of dividend announcement on stock returns for companies
... Modigliani (196 1) who introduced the information content of dividend hypothesis. They explicitly suggest that managers used cash dividend announcements to signal changes in their expectation about the fbture prospect of a company when the markets are imperfect. Thrs is supported by the cash flow si ...
... Modigliani (196 1) who introduced the information content of dividend hypothesis. They explicitly suggest that managers used cash dividend announcements to signal changes in their expectation about the fbture prospect of a company when the markets are imperfect. Thrs is supported by the cash flow si ...
RFP NO. NM INV-001-FY16 - Public Employees Retirement
... Professional Service Agreement. The contract shall incorporate a fee schedule in the form prescribed by Appendix “E”, Fee Proposal Form. The contract also shall incorporate the warranties that appear at Appendix “D”. Copies of PERA’s current Investment Policy and Investment Statutes, and Investment ...
... Professional Service Agreement. The contract shall incorporate a fee schedule in the form prescribed by Appendix “E”, Fee Proposal Form. The contract also shall incorporate the warranties that appear at Appendix “D”. Copies of PERA’s current Investment Policy and Investment Statutes, and Investment ...
A New Approach for Managing Operational Risk: Addressing the
... Operational failure has played a role in virtually every catastrophic loss that has taken place during the past 20 years. In fact, the 2008 global financial crisis was largely caused by a series of massive operational failures. The American Insurance Group (AIG) event, which was an example of princi ...
... Operational failure has played a role in virtually every catastrophic loss that has taken place during the past 20 years. In fact, the 2008 global financial crisis was largely caused by a series of massive operational failures. The American Insurance Group (AIG) event, which was an example of princi ...
Product Disclosure Statement
... While the Fund does not engage in short selling, the Underlying Fund may do so. Unlike “long only” investments, which have just one source of return; that is buying securities that are expected to rise in value, long/short strategies have two sources of potential return. A fund that employs a long/s ...
... While the Fund does not engage in short selling, the Underlying Fund may do so. Unlike “long only” investments, which have just one source of return; that is buying securities that are expected to rise in value, long/short strategies have two sources of potential return. A fund that employs a long/s ...
IMPACT OF TIME VARYING DISTRIBUTIONAL PARAMETERS ON
... similar results. Rolling EWMA efficient portfolio suggests how the portfolio weights should be amended over time. This is the most important at the times of the turbulences in the financial markets as it may help to protect the portfolio from the big losses. However, it is not straightforward how of ...
... similar results. Rolling EWMA efficient portfolio suggests how the portfolio weights should be amended over time. This is the most important at the times of the turbulences in the financial markets as it may help to protect the portfolio from the big losses. However, it is not straightforward how of ...
risk management five years after the crisis
... Remaking financial services: risk management five years after the crisis is the fourth annual study of risk management in banking and insurance conducted by EY in conjunction with the Institute of International Finance since the 2007-08 financial crisis. Seventy-six firms across 36 countries partici ...
... Remaking financial services: risk management five years after the crisis is the fourth annual study of risk management in banking and insurance conducted by EY in conjunction with the Institute of International Finance since the 2007-08 financial crisis. Seventy-six firms across 36 countries partici ...
2017 prospectus
... obsolescence, claims for environmental damage or product liability and general economic conditions, among other factors. ...
... obsolescence, claims for environmental damage or product liability and general economic conditions, among other factors. ...
Essentials of Financial Risk Management
... variability of its returns. In contrast, modern portfolio theory considers not only an asset’s riskiness, but also its contribution to the overall riskiness of the portfolio to which it is added. Organizations may have an opportunity to reduce risk as a result of risk diversification. In portfolio m ...
... variability of its returns. In contrast, modern portfolio theory considers not only an asset’s riskiness, but also its contribution to the overall riskiness of the portfolio to which it is added. Organizations may have an opportunity to reduce risk as a result of risk diversification. In portfolio m ...
Deutsche AM Flagship Fund Reporting
... When the custodian sets the price on the last trading day of the month there can be a difference of up to ten hours between the times at which the fund price and the benchmark are calculated. In the event of strong market movements during this period, this may result in the over- or understatement o ...
... When the custodian sets the price on the last trading day of the month there can be a difference of up to ten hours between the times at which the fund price and the benchmark are calculated. In the event of strong market movements during this period, this may result in the over- or understatement o ...
TRANSMISSION OF INFORMATION ACROSS INTERNATIONAL
... interpreted in the light of economic theory. The obtained results provide evidence that liquidity-based price movements, which are normally related to high trading volume, can also be transmitted across borders and have a global impact on market performance in other countries. Last but not least, th ...
... interpreted in the light of economic theory. The obtained results provide evidence that liquidity-based price movements, which are normally related to high trading volume, can also be transmitted across borders and have a global impact on market performance in other countries. Last but not least, th ...
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.