Visible and Hidden Risk Factors for Banks
... We refer to Eq. (7) as the “Bank Factor” model. If these factors are relevant for banks, they should obviously have some statistical significance and increased explanatory power relative to the CAPM in Eq. (6). Moreover, if these factors control for common variation in bank returns, the cross-sectio ...
... We refer to Eq. (7) as the “Bank Factor” model. If these factors are relevant for banks, they should obviously have some statistical significance and increased explanatory power relative to the CAPM in Eq. (6). Moreover, if these factors control for common variation in bank returns, the cross-sectio ...
The Effect of the Financial Leverage on the Profitability in the
... the expected amount added to the wealth or returns during a future period of time. As long as this return is related to the future, it is uncertain, in other words it carries a number of risks that are usually measured quantitatively through contrast or standard deviation of potential returns. When ...
... the expected amount added to the wealth or returns during a future period of time. As long as this return is related to the future, it is uncertain, in other words it carries a number of risks that are usually measured quantitatively through contrast or standard deviation of potential returns. When ...
Leverage Effects In The Mauritian`s Stock Market
... volatility more than a positive surprises. Contrary to the expectations, there seem to be no leverage effects on the SEM as the coefficient is statistically positive. As such, negative news on the SEM cause volatility to increase less than positive news of the same magnitude. ...
... volatility more than a positive surprises. Contrary to the expectations, there seem to be no leverage effects on the SEM as the coefficient is statistically positive. As such, negative news on the SEM cause volatility to increase less than positive news of the same magnitude. ...
Private_Lending_Presentation_Apartments
... Tired of the ups and downs of the stock market and low returns on CDs, savings accounts, and bonds? Are you worried you can’t retire? Is there an investment secured by an income producing asset with substantially higher returns than traditional investments available? Infinite Returns, LLC ...
... Tired of the ups and downs of the stock market and low returns on CDs, savings accounts, and bonds? Are you worried you can’t retire? Is there an investment secured by an income producing asset with substantially higher returns than traditional investments available? Infinite Returns, LLC ...
CHAPTER 8 Stock Price Behavior and Market Efficiency
... 10,000 shares. At one time, such trades were taken to be indicators of buying or selling by large institutional investors. However, today such trades are routine, and it is difficult to see how this information is particularly useful. ...
... 10,000 shares. At one time, such trades were taken to be indicators of buying or selling by large institutional investors. However, today such trades are routine, and it is difficult to see how this information is particularly useful. ...
The Effect of Poison Pills on Firm Risk: An Application of Options Pricing Theory
... underlying stock, time to expiration, the rate of return on risk free securities, and the volatility of the underlying stock. Since all of these variables except volatility are known, changes in the standard deviation of the underlying security can be estimated from changes in options prices. Change ...
... underlying stock, time to expiration, the rate of return on risk free securities, and the volatility of the underlying stock. Since all of these variables except volatility are known, changes in the standard deviation of the underlying security can be estimated from changes in options prices. Change ...
Diapositive 1
... Prior to investing in a structured security each investor should fully understand the financial risks and merits and consult with its own legal, regulatory, tax, financial and accounting advisors before making his subscription. Investors should be in a position to fully understand the features of th ...
... Prior to investing in a structured security each investor should fully understand the financial risks and merits and consult with its own legal, regulatory, tax, financial and accounting advisors before making his subscription. Investors should be in a position to fully understand the features of th ...
Stochastic pension funding when the benefit and the risky asset
... Moreover, pension plans have become influential institutions in the financial markets for their high capitalization. However, in most developed countries the pension system is been subject to controversy and concern because the age pyramid is changing due to the reduction of the birth rate and a lon ...
... Moreover, pension plans have become influential institutions in the financial markets for their high capitalization. However, in most developed countries the pension system is been subject to controversy and concern because the age pyramid is changing due to the reduction of the birth rate and a lon ...
Trade Size and the Cross Section of Stock Returns
... The data for this study are from the Eastmoney Research Database and Tong Daxin Database. Eastmoney is the only publicly traded financial news and data company in China and Tong Daxin is a leading data source provider for major trading platforms in China. The sample consists of all stocks in China’s ...
... The data for this study are from the Eastmoney Research Database and Tong Daxin Database. Eastmoney is the only publicly traded financial news and data company in China and Tong Daxin is a leading data source provider for major trading platforms in China. The sample consists of all stocks in China’s ...
Investment Options - PFM Asset Management
... This material is based on information obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC (PFMAM) cannot guarantee its accuracy, completeness, or suitability. This material is for general information purposes only and is not intended ...
... This material is based on information obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC (PFMAM) cannot guarantee its accuracy, completeness, or suitability. This material is for general information purposes only and is not intended ...
The Pull of Active Management - Market Strategies International
... perhaps a reflection of the reliance on liabilitydriven investment (LDI) strategies among this cohort of the pension market. Finally, the proportion of pensions using other asset classes that cannot be accurately categorized as either active or passive and has remained relatively consistent year ove ...
... perhaps a reflection of the reliance on liabilitydriven investment (LDI) strategies among this cohort of the pension market. Finally, the proportion of pensions using other asset classes that cannot be accurately categorized as either active or passive and has remained relatively consistent year ove ...
Does Company Culture Pay Off? - research
... also high-performing companies. That is, do companies with more positive employee reviews on Glassdoor outperform the overall stock market? Are intangible company assets such as employee satisfaction reflected in company valuations in the broader stock market? A handful of previous studies have exam ...
... also high-performing companies. That is, do companies with more positive employee reviews on Glassdoor outperform the overall stock market? Are intangible company assets such as employee satisfaction reflected in company valuations in the broader stock market? A handful of previous studies have exam ...
Investor Relations Communications Plan
... In Nasdaq Online, there are 13 possible styles, defined below, by which institutional investors are classified by the source of the data, the Carson Group. The Carson Group employs quantitative techniques based on key financial fundamentals of an investor's portfolio: primarily, the portions of the ...
... In Nasdaq Online, there are 13 possible styles, defined below, by which institutional investors are classified by the source of the data, the Carson Group. The Carson Group employs quantitative techniques based on key financial fundamentals of an investor's portfolio: primarily, the portions of the ...
Measuring and marking counterparty risk
... usually modeled as lognormal diffusions. This practice is in contrast with the modeling of emerging market foreign exchange rates, where significant jumps can occur. Jump-diffusion processes are generally employed to characterize the movements of the prices of emerging market or pegged currencies. T ...
... usually modeled as lognormal diffusions. This practice is in contrast with the modeling of emerging market foreign exchange rates, where significant jumps can occur. Jump-diffusion processes are generally employed to characterize the movements of the prices of emerging market or pegged currencies. T ...
Monetary policy and asset prices
... stores of value in our model. They also compete with currency as a medium of exchange. We show that money is essential (i.e. monetary equilibria Pareto dominate non-monetary equilibria) if and only if real assets are scarce, in the precise sense that their supply is not sufficient to satisfy the dem ...
... stores of value in our model. They also compete with currency as a medium of exchange. We show that money is essential (i.e. monetary equilibria Pareto dominate non-monetary equilibria) if and only if real assets are scarce, in the precise sense that their supply is not sufficient to satisfy the dem ...
Accounting Quality and Catastrophic Market Events.
... associated with a reduction by 10% of the average drop (this is approximately equivalent to 450 billions dollars). I also find that the effect of accounting quality is stronger during the worst crashes. To further ensure that accounting quality is not simply a proxy for a greater sensitivity to mark ...
... associated with a reduction by 10% of the average drop (this is approximately equivalent to 450 billions dollars). I also find that the effect of accounting quality is stronger during the worst crashes. To further ensure that accounting quality is not simply a proxy for a greater sensitivity to mark ...
Chapter 1
... The risk-free rate represents compensation for just waiting. So, it is often called the time value of money. If we are willing to bear risk, then we can expect to earn a risk premium, at least on average. Further, the more risk we are willing to bear, the greater is that risk premium. McGraw H ...
... The risk-free rate represents compensation for just waiting. So, it is often called the time value of money. If we are willing to bear risk, then we can expect to earn a risk premium, at least on average. Further, the more risk we are willing to bear, the greater is that risk premium. McGraw H ...
Long-Term Analysis Conquers Wrong Turn Paralysis
... important to note that not all performance is attributable to a ‘single factor’. Just as French and Fama have since found that there are at least five factors that influence performance (size, value, market risk, profitability, investment, and possibly a sixth as Cliff Asness - Fama’s student - want ...
... important to note that not all performance is attributable to a ‘single factor’. Just as French and Fama have since found that there are at least five factors that influence performance (size, value, market risk, profitability, investment, and possibly a sixth as Cliff Asness - Fama’s student - want ...
Fair Value: Fact or Opinion
... If life were simple, the value of an asset would be analyzed by looking at how an exactly identical asset - in terms of risk, growth and cash flows - is priced. Identical assets can be found with real assets or even with fixed income assets, but difficult to find with risky assets or businesses. In ...
... If life were simple, the value of an asset would be analyzed by looking at how an exactly identical asset - in terms of risk, growth and cash flows - is priced. Identical assets can be found with real assets or even with fixed income assets, but difficult to find with risky assets or businesses. In ...
Fixed income for defined benefit plan investing
... Whether DB investors achieve their plan’s investment goals depends upon a lot—starting with determining the most effective strategy, then selecting the most efficient investments to implement it all along the path to full funding. At Vanguard, these investors can depend on our investment-strategy pr ...
... Whether DB investors achieve their plan’s investment goals depends upon a lot—starting with determining the most effective strategy, then selecting the most efficient investments to implement it all along the path to full funding. At Vanguard, these investors can depend on our investment-strategy pr ...
PSG Global Equity Feeder Fund Class A
... Emerging markets also ended two years of underperformance and returned 18.55% year to date. (All returns quoted in US dollars.) This does not necessarily mean that all markets and all market sectors had an easy year. Value stocks, which outperformed last year on the back of higher growth, inflation ...
... Emerging markets also ended two years of underperformance and returned 18.55% year to date. (All returns quoted in US dollars.) This does not necessarily mean that all markets and all market sectors had an easy year. Value stocks, which outperformed last year on the back of higher growth, inflation ...
risk appetite renaissance - RBC Global Asset Management
... index (Exhibit 7). Each has improved substantially from its worst reading. Three of the six are now above their historical average and three remain below it. Within the context of our qualitative classification scheme, two of the six measures are in risk-seeking mode, one is in risk-neutral mode and ...
... index (Exhibit 7). Each has improved substantially from its worst reading. Three of the six are now above their historical average and three remain below it. Within the context of our qualitative classification scheme, two of the six measures are in risk-seeking mode, one is in risk-neutral mode and ...
The Relationship Between Individual Stock Trading And Returns
... quintiles presented. We find that the time-series mean of NIT during the years 2010 to 2012 is negative which indicates that stocks sold by individual investors are larger than stocks bought. Panel B shows the time-series standard deviation of each stock’s NIT during research sample period and cross ...
... quintiles presented. We find that the time-series mean of NIT during the years 2010 to 2012 is negative which indicates that stocks sold by individual investors are larger than stocks bought. Panel B shows the time-series standard deviation of each stock’s NIT during research sample period and cross ...
large cap growth review - North Carolina State Treasurer
... manager. The beta of a portfolio is also indicative of its upside downside performance, with a lower beta (less than 1.0) indicating better expected down market performance. In terms of style exposure, we can measure the strength of the portfolio bias toward growth by looking at portfolio holdings o ...
... manager. The beta of a portfolio is also indicative of its upside downside performance, with a lower beta (less than 1.0) indicating better expected down market performance. In terms of style exposure, we can measure the strength of the portfolio bias toward growth by looking at portfolio holdings o ...
Distribution Risk and Equity Returns
... hours (employment) engaged by the firm, kt is period t capital stock (with depreciation rate Ω) and it its period t investment. Dividends, dt , are output less the aggregate wage bill (nt wt ), the net interest payment (b − bqtb ) and the level of investment. Equation (9) is the standard equation of ...
... hours (employment) engaged by the firm, kt is period t capital stock (with depreciation rate Ω) and it its period t investment. Dividends, dt , are output less the aggregate wage bill (nt wt ), the net interest payment (b − bqtb ) and the level of investment. Equation (9) is the standard equation of ...
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.