Regime-Switching Measure of Systemic Financial Stress
... with the notion of requiring a risk premium for increased risk during stressful periods by financial markets, the estimates of intercept term µist for the TED and CDS spreads in the high volatility regime are considerably greater than in the low volatility regime. In contrast, the point estimate of ...
... with the notion of requiring a risk premium for increased risk during stressful periods by financial markets, the estimates of intercept term µist for the TED and CDS spreads in the high volatility regime are considerably greater than in the low volatility regime. In contrast, the point estimate of ...
SPDR® Bloomberg Barclays Short Term High Yield
... Derivatives Risk: Derivative transactions can create investment leverage and may have significant volatility. It is possible that a derivative transaction will result in a much greater loss than the principal amount invested, and the Fund may not be able to close out a derivative transaction at a fa ...
... Derivatives Risk: Derivative transactions can create investment leverage and may have significant volatility. It is possible that a derivative transaction will result in a much greater loss than the principal amount invested, and the Fund may not be able to close out a derivative transaction at a fa ...
NBER WORKING PAPER SERIES HOUSEHOLD CONSUMPTION DATA
... Consumption-based asset pricing kernels derived under the complete risk sharing, representative agent (RA) assumption have a hard time explaining the observed large equity premium (see e.g. Mehra and Prescott, 1985). Models in which the sharing of idiosyncratic risk is limited have the potential to ...
... Consumption-based asset pricing kernels derived under the complete risk sharing, representative agent (RA) assumption have a hard time explaining the observed large equity premium (see e.g. Mehra and Prescott, 1985). Models in which the sharing of idiosyncratic risk is limited have the potential to ...
140225_Presentation_Intro_Update
... Sit alongside: Other vehicles accessing the same underlying asset ...
... Sit alongside: Other vehicles accessing the same underlying asset ...
AN INTERTEMPORAL ASSET PRICING MODEL WITH
... specific variable, rather than many betas measured relative to unspecified variables, may make it easier to test and to implement, given certain stationarity assumptions on the joint distributions of rates of return and ...
... specific variable, rather than many betas measured relative to unspecified variables, may make it easier to test and to implement, given certain stationarity assumptions on the joint distributions of rates of return and ...
Stock Market Speculation and Managerial Myopia
... ill-informed one distorts incentives away from profit-maximization. The question therefore arises as to how the stock market can obtain information that enhances its ability to provide managerial incentives. The purpose of this paper is to study one natural way this can happen, namely through specul ...
... ill-informed one distorts incentives away from profit-maximization. The question therefore arises as to how the stock market can obtain information that enhances its ability to provide managerial incentives. The purpose of this paper is to study one natural way this can happen, namely through specul ...
Use of Ratings in Insurance Industry
... RBC calculation linked to financial statement classification. ...
... RBC calculation linked to financial statement classification. ...
share issuance and equity returns in the istanbul stock exchange
... In regression equations (2) and (3), Ri,t+n is the return on stock i for holding periods of n months after year t; ME is the natural logarithm of market equity measured at the end of previous June; BM is the natural logarithm of the ratio of book value of equity to market value of equity measured a ...
... In regression equations (2) and (3), Ri,t+n is the return on stock i for holding periods of n months after year t; ME is the natural logarithm of market equity measured at the end of previous June; BM is the natural logarithm of the ratio of book value of equity to market value of equity measured a ...
MICROECONOMIC THEORY
... premiums are actuarially fair – they may be willing to pay more than actuarially fair premiums to avoid taking risks ...
... premiums are actuarially fair – they may be willing to pay more than actuarially fair premiums to avoid taking risks ...
mmi10 Posch 12046532 en
... In general equilibrium models, the stochastic discount factor is not only determined by the consumption-based first-order condition, but also linked to business cycle characteristics. In macroeconomics, dynamic stochastic general equilibrium models (DSGE) have been very successful in explaining co-m ...
... In general equilibrium models, the stochastic discount factor is not only determined by the consumption-based first-order condition, but also linked to business cycle characteristics. In macroeconomics, dynamic stochastic general equilibrium models (DSGE) have been very successful in explaining co-m ...
Racial/Ethnic Disparities in Risky Asset Ownership
... The racial gap in this respect can be divided into two parts: one part of explained difference (expressed as the first term in the equation) due to the differences in household characteristics we include in the model, and another part of unexplained difference due to the inability to include unmeas ...
... The racial gap in this respect can be divided into two parts: one part of explained difference (expressed as the first term in the equation) due to the differences in household characteristics we include in the model, and another part of unexplained difference due to the inability to include unmeas ...
stock market overreaction and trading volume
... Wang, Burton and Power (2004) corroborated the evidence by documenting significant returns for only the first week after portfolio formation. Returns for weeks 2 to 20 were insignificant. In contrast to situation in the Chinese market, Chou, Wei and Chung (2007) documented highly profitable contrari ...
... Wang, Burton and Power (2004) corroborated the evidence by documenting significant returns for only the first week after portfolio formation. Returns for weeks 2 to 20 were insignificant. In contrast to situation in the Chinese market, Chou, Wei and Chung (2007) documented highly profitable contrari ...
Incentive Compensation – The White Swan in Risk Management
... through the example of traders with large position limits who can expose the enterprise to material credit or financial risk. ...
... through the example of traders with large position limits who can expose the enterprise to material credit or financial risk. ...
TRADING VOLUME TREND AS THE INVESTOR`S SENTIMENT
... it is equivalent to saying that investor sentiment reflects the valuation difference between the two groups of investors (Zweig (1973), Lee, Shleifer and Thaler (1991), Baker and Stein (2004), and Brown and Cliff (2005)). Miller (1977) argues that stock prices reflect only the most optimistic opinio ...
... it is equivalent to saying that investor sentiment reflects the valuation difference between the two groups of investors (Zweig (1973), Lee, Shleifer and Thaler (1991), Baker and Stein (2004), and Brown and Cliff (2005)). Miller (1977) argues that stock prices reflect only the most optimistic opinio ...
Haksoz Kadam-Suppy Portfolio Risk
... Kambil and Mahidhar (2005) mentioned earlier emphasizes the importance of the high-impact–low-probability losses and increasing interdependencies in supply chain disruptions. CreditRisk+ can be effectively used to model dependencies in loss types and analytically characterize the tail of the loss di ...
... Kambil and Mahidhar (2005) mentioned earlier emphasizes the importance of the high-impact–low-probability losses and increasing interdependencies in supply chain disruptions. CreditRisk+ can be effectively used to model dependencies in loss types and analytically characterize the tail of the loss di ...
Fixed Assets - RMIT University
... Fixed assets must be kept with due regard for safety and security, and maintained in good working order. ...
... Fixed assets must be kept with due regard for safety and security, and maintained in good working order. ...
Market Forces at Work in the Banking Industry: Evidence from the
... (Modigliani and Miller [1958]), theory implies an optimal leverage due to corporate taxation, bankruptcy costs, and various agency problems. Firms seek to maximize their market value by jointly selecting operating (portfolio) risk and financial (leverage) risk. If conditions change (e.g., through a ...
... (Modigliani and Miller [1958]), theory implies an optimal leverage due to corporate taxation, bankruptcy costs, and various agency problems. Firms seek to maximize their market value by jointly selecting operating (portfolio) risk and financial (leverage) risk. If conditions change (e.g., through a ...
valuing growth stocks: revisiting the nifty fifty
... Nifty Fifty, with a price-earnings ratio of 41.9, had an earnings yield of 2.4%, about three percentage points lower than the S&P 500. But the deficit in the earnings yield was almost exactly made up by the higher growth rate of future earnings, so their total return matched that of the S&P 500. The ...
... Nifty Fifty, with a price-earnings ratio of 41.9, had an earnings yield of 2.4%, about three percentage points lower than the S&P 500. But the deficit in the earnings yield was almost exactly made up by the higher growth rate of future earnings, so their total return matched that of the S&P 500. The ...
JIA 105 (1978) 15-26 - Institute and Faculty of Actuaries
... sinking fund stocks, varable interest stocks, any other ‘unusual’ stocks, and also stocks under one year to maturity are omitted. A S-year yield will not be quoted unless there is at least one stock in the coupon band with a term of less than 5 years. 3.4. No corresponding prices are calculated from ...
... sinking fund stocks, varable interest stocks, any other ‘unusual’ stocks, and also stocks under one year to maturity are omitted. A S-year yield will not be quoted unless there is at least one stock in the coupon band with a term of less than 5 years. 3.4. No corresponding prices are calculated from ...
Market structures and systemic risks of exchange
... exchange-traded funds (ETFs), have existed since the early 1990s as a cost- and taxefficient alternative to mutual funds. The structuring of these funds initially shared common characteristics with that of mutual funds. In particular, the underlying index exposure that the ETF replicated was gained ...
... exchange-traded funds (ETFs), have existed since the early 1990s as a cost- and taxefficient alternative to mutual funds. The structuring of these funds initially shared common characteristics with that of mutual funds. In particular, the underlying index exposure that the ETF replicated was gained ...
Deflation Risk
... In this paper, we focus on the most widely-used type of inflation swap which is designated a zero-coupon swap. This swap is executed between two counterparties at time zero and has only one cash flow which occurs at the maturity date of the swap. For example, imagine that at time zero, the ten-year ze ...
... In this paper, we focus on the most widely-used type of inflation swap which is designated a zero-coupon swap. This swap is executed between two counterparties at time zero and has only one cash flow which occurs at the maturity date of the swap. For example, imagine that at time zero, the ten-year ze ...
“You can`t build a wall around a village. The sun and the wind will
... Emerging market equities, as measured by the MSCI “low and slow” in the global economy and interest rates. Index, gained 0.7% for the second quarter in U.S. dollar In fact the trend toward low (or lower) interest rates may terms, bringing the year to date gain to 6.4%. Similar to intensify since the ...
... Emerging market equities, as measured by the MSCI “low and slow” in the global economy and interest rates. Index, gained 0.7% for the second quarter in U.S. dollar In fact the trend toward low (or lower) interest rates may terms, bringing the year to date gain to 6.4%. Similar to intensify since the ...
Trading Is Hazardous to Your Wealth: The Common Stock
... study from a retail brokerage firm. Barber et al. ~1998! and Womack ~1996! present evidence that the recommendations of brokerage-house analysts have investment value. Second, the analysis in Schlarbaum et al. ~1978b! focuses on the returns from round-trip trades. There is now evidence that investor ...
... study from a retail brokerage firm. Barber et al. ~1998! and Womack ~1996! present evidence that the recommendations of brokerage-house analysts have investment value. Second, the analysis in Schlarbaum et al. ~1978b! focuses on the returns from round-trip trades. There is now evidence that investor ...
Stocks, Bonds, and Pension Wealth
... bears the responsibility of determining the assets in which the funds are invested and bears any uncertainty about the rate of return that will be realized on those assets. In choosing between stocks and bonds for their pension accumulation vehicle, most people probably know that bonds have a lower ...
... bears the responsibility of determining the assets in which the funds are invested and bears any uncertainty about the rate of return that will be realized on those assets. In choosing between stocks and bonds for their pension accumulation vehicle, most people probably know that bonds have a lower ...
Bubbles and Crises - University of Pennsylvania
... estate and other assets also increased signi®cantly. At some point the bubble bursts and the stock and real estate markets collapse. In many cases banks and other intermediaries were overexposed to the equity and real estate markets and about a year later on average a banking crisis ensues. This is ...
... estate and other assets also increased signi®cantly. At some point the bubble bursts and the stock and real estate markets collapse. In many cases banks and other intermediaries were overexposed to the equity and real estate markets and about a year later on average a banking crisis ensues. This is ...
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.