Stanley Fischer Robert C. Merton Working Paper No. 1291
... money and debt markets. This focus, especially with respect to policy, is underscored by the current discussions of the effects of fiscal and monetary policy on investment that are dominated by the high levels of real interest rates in the bond market. The balance of the paper is organized around fo ...
... money and debt markets. This focus, especially with respect to policy, is underscored by the current discussions of the effects of fiscal and monetary policy on investment that are dominated by the high levels of real interest rates in the bond market. The balance of the paper is organized around fo ...
chapter 26 valuing real estate
... If real estate developers and private investors insist on higher expected returns, because they are not diversified, real estate investments will increasingly be held by real estate investment trusts, limited partnerships and corporations, which attract more diversified investors with lower required ...
... If real estate developers and private investors insist on higher expected returns, because they are not diversified, real estate investments will increasingly be held by real estate investment trusts, limited partnerships and corporations, which attract more diversified investors with lower required ...
Vantage Point - Voya Investment Management
... First the good news: The price of oil has plummeted, a potential boon to consumers and to countries less reliant on oil revenues. Now the bad news: The price of oil has plummeted, putting downward pressure on energy and related sectors while painfully squeezing any number of oil-exporting countries. ...
... First the good news: The price of oil has plummeted, a potential boon to consumers and to countries less reliant on oil revenues. Now the bad news: The price of oil has plummeted, putting downward pressure on energy and related sectors while painfully squeezing any number of oil-exporting countries. ...
Fear of the Unknown: Familiarity and Economic Decisions
... (sales) under a probability distribution that is adverse to buying (selling) (i.e., one in which the expected utility from the good or security is low (high)). This gives rise to the difference between the willingness to pay and the willingness to accept (e.g., Thaler, 1980). In a capital budgeting ...
... (sales) under a probability distribution that is adverse to buying (selling) (i.e., one in which the expected utility from the good or security is low (high)). This gives rise to the difference between the willingness to pay and the willingness to accept (e.g., Thaler, 1980). In a capital budgeting ...
Public and Private Capital Markets are Not Substitutes
... Small company markets theory does not yet exist in the literature. Elements of this emerging theory are extant, such as valuation standards for appraising small business interests, capital raising constructs such as the use of the Small Business Administration's programs, and various articles and wr ...
... Small company markets theory does not yet exist in the literature. Elements of this emerging theory are extant, such as valuation standards for appraising small business interests, capital raising constructs such as the use of the Small Business Administration's programs, and various articles and wr ...
1. Introduction to risk
... In order to manage effectively a portfolio of exposures, a means of measuring diversification and concentration has to be developed. An approach that incorporates size, maturity, credit quality and systematic risk into a single portfolio measure is required. 2.7. A key decision that has to be made w ...
... In order to manage effectively a portfolio of exposures, a means of measuring diversification and concentration has to be developed. An approach that incorporates size, maturity, credit quality and systematic risk into a single portfolio measure is required. 2.7. A key decision that has to be made w ...
Global Small Cap Fund - Mawer Investment Management
... these expenses at any time without notice. (3) The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio adviser manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in ...
... these expenses at any time without notice. (3) The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio adviser manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in ...
The Risk-free Rate and the Market Risk Premium
... In the interests of transparency and to promote informed discussion, the Authority would prefer submissions to be made publicly available wherever this is reasonable. However, if a person making a submission does not want that submission to be public, that person should claim confidentiality in resp ...
... In the interests of transparency and to promote informed discussion, the Authority would prefer submissions to be made publicly available wherever this is reasonable. However, if a person making a submission does not want that submission to be public, that person should claim confidentiality in resp ...
EMValWells
... The market value solution: When the subsidiaries are publicly traded, you could use their traded market capitalizations to estimate the values of the cross holdings. You do risk carrying into your valuation any mistakes that the market may be making in valuation. The relative value solution: When th ...
... The market value solution: When the subsidiaries are publicly traded, you could use their traded market capitalizations to estimate the values of the cross holdings. You do risk carrying into your valuation any mistakes that the market may be making in valuation. The relative value solution: When th ...
Seasons Series Trust - Allocation Moderate Growth
... risks of investing in the Portfolio by showing changes in the Portfolio’s performance from calendar year to calendar year and comparing the Portfolio’s average annual returns to those of the Russell 3000® Index, the MSCI EAFE Index (net), the Bloomberg Barclays U.S. Aggregate Bond Index and a blende ...
... risks of investing in the Portfolio by showing changes in the Portfolio’s performance from calendar year to calendar year and comparing the Portfolio’s average annual returns to those of the Russell 3000® Index, the MSCI EAFE Index (net), the Bloomberg Barclays U.S. Aggregate Bond Index and a blende ...
10-year capital market return assumptions
... Capital market assumptions are a critical component of portfolio construction for most investors. Many corporate defined benefit pension plans are concerned about meeting or exceeding their liability growth rates. Public pension plans have well-established return targets usually in the range of 7-8% ...
... Capital market assumptions are a critical component of portfolio construction for most investors. Many corporate defined benefit pension plans are concerned about meeting or exceeding their liability growth rates. Public pension plans have well-established return targets usually in the range of 7-8% ...
Model Uncertainty, Limited Market Participation, and Asset Prices
... and are heterogeneous in their levels of uncertainty.6 The crucial feature of our framework is that for each uncertainty averse investor, there is a region of prices over which the investor holds neither long nor short position of a stock. Investors who are more uncertain about the mean payoff of th ...
... and are heterogeneous in their levels of uncertainty.6 The crucial feature of our framework is that for each uncertainty averse investor, there is a region of prices over which the investor holds neither long nor short position of a stock. Investors who are more uncertain about the mean payoff of th ...
Investment Style and Process - Qualified Financial Services
... • Canadian equities posted positive returns in comparison to sharp declines in the benchmark index − Security selection and higher than benchmark exposure to the Telecommunications Services sector led to positive contribution − Security selection in Industrials (Bird Construction, Russel Metals) add ...
... • Canadian equities posted positive returns in comparison to sharp declines in the benchmark index − Security selection and higher than benchmark exposure to the Telecommunications Services sector led to positive contribution − Security selection in Industrials (Bird Construction, Russel Metals) add ...
Investing in Common Stocks
... of Common Stock (cont’d) • Stock Split: when a company increases the number of shares outstanding by exchanging a specified number of new shares of stock for each outstanding share – Usually done to lower the stock price to make it more attractive to investors – Stockholders end up with more shares ...
... of Common Stock (cont’d) • Stock Split: when a company increases the number of shares outstanding by exchanging a specified number of new shares of stock for each outstanding share – Usually done to lower the stock price to make it more attractive to investors – Stockholders end up with more shares ...
Managing A Stock Portfolio Using Schwab Equity
... stocks—20 large-cap and 20 small-cap, with your dollar investment in each category weighted to match your asset allocation plan2 and with each of the economy's 10 sectors represented in proportion to its benchmark weight.3 There’s an additional reason to hold a larger number of stocks as well. Schwa ...
... stocks—20 large-cap and 20 small-cap, with your dollar investment in each category weighted to match your asset allocation plan2 and with each of the economy's 10 sectors represented in proportion to its benchmark weight.3 There’s an additional reason to hold a larger number of stocks as well. Schwa ...
The Risky Capital of Emerging Markets – A Long-Run
... a breach of a no arbitrage condition in international capital markets? The answer to this question is affirmative only in the absence of investment risk. In the presence of uncertainty, international investors may face different levels of risk from investing in different locations. We put forward ne ...
... a breach of a no arbitrage condition in international capital markets? The answer to this question is affirmative only in the absence of investment risk. In the presence of uncertainty, international investors may face different levels of risk from investing in different locations. We put forward ne ...
Vanguard Materials ETF Summary Prospectus
... greater percentage of its assets in the securities of a small number of issuers as compared with other mutual funds. Because the Fund tends to invest a relatively high percentage of its assets in its ten largest holdings, fluctuations in the market value of a single Fund holding could cause signific ...
... greater percentage of its assets in the securities of a small number of issuers as compared with other mutual funds. Because the Fund tends to invest a relatively high percentage of its assets in its ten largest holdings, fluctuations in the market value of a single Fund holding could cause signific ...
Actuarial Methods for Valuing Illiquid Assets
... investments are typically long-term investments intended to be held for a long period of time, for which a market (bid-offer prices) is not typically available. Alternatively, there may be a market in a comparable product, although the extent of comparability is debatable. For example, real estate, ...
... investments are typically long-term investments intended to be held for a long period of time, for which a market (bid-offer prices) is not typically available. Alternatively, there may be a market in a comparable product, although the extent of comparability is debatable. For example, real estate, ...
Do Corporate Managers Time Stock Repurchases Effectively?
... shareholders, which may include repurchasing company shares when they are considered to be undervalued, and issuing shares when values are deemed to be high. Managers who make timing mistakes risk repurchasing shares when valuations are high. They instead could be using the cash to make positive net ...
... shareholders, which may include repurchasing company shares when they are considered to be undervalued, and issuing shares when values are deemed to be high. Managers who make timing mistakes risk repurchasing shares when valuations are high. They instead could be using the cash to make positive net ...
Implied PDF terminology and concepts
... contracts would be expected to show a decline. To get around this, the Bank of England also estimates implied PDFs for a hypothetical option contract with a constant maturity.9 So, for example, a threemonth constant maturity implied PDF always looks three months ahead each day. Movements in summary ...
... contracts would be expected to show a decline. To get around this, the Bank of England also estimates implied PDFs for a hypothetical option contract with a constant maturity.9 So, for example, a threemonth constant maturity implied PDF always looks three months ahead each day. Movements in summary ...
risks associated with financial instruments (glossary)
... Non-systematic risk refers to risks that can be mitigated through diversification. It is also called unique, diversifiable, firm-specific, or industryspecific risk. Investors can mitigate this type of risk by constructing portfolios in an intelligent way. The two examples below illustrate simple div ...
... Non-systematic risk refers to risks that can be mitigated through diversification. It is also called unique, diversifiable, firm-specific, or industryspecific risk. Investors can mitigate this type of risk by constructing portfolios in an intelligent way. The two examples below illustrate simple div ...
Comovement and Predictability Relationships Between
... or drifts away from quality in which investors reallocate without a sophisticated eye toward risks and expected returns. There is evidence that both of these mechanisms play a role. The risk-based required returns channel explains the stylized facts as the result of bonds and bond-like stocks (relat ...
... or drifts away from quality in which investors reallocate without a sophisticated eye toward risks and expected returns. There is evidence that both of these mechanisms play a role. The risk-based required returns channel explains the stylized facts as the result of bonds and bond-like stocks (relat ...
PDP-Working Paper
... investors set up their investment policies in ways that avoid purely individualistic procyclical behavior which undermines financial stability. The paper advocates an approach that is based mainly on prevention (i.e., minimizing ex ante the likelihood that an investor may behave procyclically ex pos ...
... investors set up their investment policies in ways that avoid purely individualistic procyclical behavior which undermines financial stability. The paper advocates an approach that is based mainly on prevention (i.e., minimizing ex ante the likelihood that an investor may behave procyclically ex pos ...
REIT Stocks: An Underutilized Portfolio Diversifier
... The stocks of real estate investment trusts (REITs) can provide diversification benefits to a portfolio, yet many investors have remained underexposed to this asset class despite its low correlation and commendable track record of performance relative to other assets (see Exhibit 10, page 10). [Plea ...
... The stocks of real estate investment trusts (REITs) can provide diversification benefits to a portfolio, yet many investors have remained underexposed to this asset class despite its low correlation and commendable track record of performance relative to other assets (see Exhibit 10, page 10). [Plea ...
Is Default Risk Priced in Equity Returns?
... This choice of the proxy for financial distress is also consistent with Ozdagli’s (2010) theoretical argument that the positive value premium and the negative distress premium result from using the risk-neutral and real default probability, respectively. His model also predicts that firms with highe ...
... This choice of the proxy for financial distress is also consistent with Ozdagli’s (2010) theoretical argument that the positive value premium and the negative distress premium result from using the risk-neutral and real default probability, respectively. His model also predicts that firms with highe ...
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.