Hannover Life Reassurance Company of America
... complete and up-to-date, the company does not make any representation or warranty, express or implied, as to the accuracy, completeness or updated status of such information. Some of the statements in this presentation may be forward-looking statements or statements of future expectations based on c ...
... complete and up-to-date, the company does not make any representation or warranty, express or implied, as to the accuracy, completeness or updated status of such information. Some of the statements in this presentation may be forward-looking statements or statements of future expectations based on c ...
Why is long-horizon equity less risky? A duration-based
... assets while value firms are low-duration assets. We model how investors perceive the risks of these cash f lows by specifying a stochastic discount factor for the economy, or equivalently, an intertemporal marginal rate of substitution for the representative agent. Two properties of the stochastic ...
... assets while value firms are low-duration assets. We model how investors perceive the risks of these cash f lows by specifying a stochastic discount factor for the economy, or equivalently, an intertemporal marginal rate of substitution for the representative agent. Two properties of the stochastic ...
The equity premium
... The operative concept here is "incremental loss or gain in well-being because of consumption," and the concept should be differentiated from incremental consumption itself. The same amount of consumption may result in different degrees of well-being at different times. (For example, a fivecourse din ...
... The operative concept here is "incremental loss or gain in well-being because of consumption," and the concept should be differentiated from incremental consumption itself. The same amount of consumption may result in different degrees of well-being at different times. (For example, a fivecourse din ...
Assessing the risk-return trade-off in loans
... loans returns from interest rates and historical loan default rates. Since this information is generally available for banks and supervisors, my model can be readily applied either as a risk management or as an off-site supervisory tool. I consider a general structure in which defaults are driven by ...
... loans returns from interest rates and historical loan default rates. Since this information is generally available for banks and supervisors, my model can be readily applied either as a risk management or as an off-site supervisory tool. I consider a general structure in which defaults are driven by ...
21_EFM06-HoChienwei-Determinants of Direct Stock Holding
... financial information, fundamental analyses of economy and firms, and portfolio management. In general, individual investors are reluctant to undertake such tasks either because they do not have relevant expertise or they are just too lazy to deal with investing. Previous studies on limited stock ma ...
... financial information, fundamental analyses of economy and firms, and portfolio management. In general, individual investors are reluctant to undertake such tasks either because they do not have relevant expertise or they are just too lazy to deal with investing. Previous studies on limited stock ma ...
Heterogeneous Risk Preferences in Financial Markets
... aversion. Additionally, I take their work to the limit as N → ∞. This formulation results in very similar results in terms of economic intuition, but simulation is more robust and one can explicitly model the distribution of preferences. Models of a continuum of agents are not necessarily new, but t ...
... aversion. Additionally, I take their work to the limit as N → ∞. This formulation results in very similar results in terms of economic intuition, but simulation is more robust and one can explicitly model the distribution of preferences. Models of a continuum of agents are not necessarily new, but t ...
The Best of Times and the Worst of Times for Institutional Investors
... decisions for institutional investors. In fact, equity returns show very little correlation with economic growth, in the near and medium term. Furthermore, valuation gaps in accessible equity markets have effectively closed, and some markets are at risk of overheating. In this context, a simple pass ...
... decisions for institutional investors. In fact, equity returns show very little correlation with economic growth, in the near and medium term. Furthermore, valuation gaps in accessible equity markets have effectively closed, and some markets are at risk of overheating. In this context, a simple pass ...
Fin432_gj_ch6
... 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 ...
Share Valuation and Evaluation of the Effect of the Use of Defense
... ForFarmers, a former cooperative, is Europe's leading animal nutrition company with operations in the Netherlands, Germany, Belgium and the United Kingdom. Core activities of ForFarmers are the production and sales of compound feed as well as the sales of agricultural commodities. Besides the sales ...
... ForFarmers, a former cooperative, is Europe's leading animal nutrition company with operations in the Netherlands, Germany, Belgium and the United Kingdom. Core activities of ForFarmers are the production and sales of compound feed as well as the sales of agricultural commodities. Besides the sales ...
www.catleylakeman.co.uk
... − Fed: $85bn expansion in 2013 vs. $40bn in 2012 − BoJ on track to double its balance sheet by 2014 − ECB under political pressure to do more How Equity volatility is affected: − Excess liquidity supports equity market valuations and lowers Equity Risk Premium − Implicit Put on Equity reduces the ne ...
... − Fed: $85bn expansion in 2013 vs. $40bn in 2012 − BoJ on track to double its balance sheet by 2014 − ECB under political pressure to do more How Equity volatility is affected: − Excess liquidity supports equity market valuations and lowers Equity Risk Premium − Implicit Put on Equity reduces the ne ...
Selecting Project Portfolios by Optimizing Simulations
... Captured projects are those projects that the company has determined will be capable of providing a revenue stream, or from which it is already realizing revenue. Cash flows for these projects consist only of projected revenues and expenses, including any initial investment necessary to obtain a rev ...
... Captured projects are those projects that the company has determined will be capable of providing a revenue stream, or from which it is already realizing revenue. Cash flows for these projects consist only of projected revenues and expenses, including any initial investment necessary to obtain a rev ...
Time and Risk Diversification in Real Estate Investments: the Ex
... by a Bayesian investor falls from 43% for a 1-month horizon to 33% for a five-year horizon, while the optimal average allocation to deposits and T-Bills grows from 21% to 50% because their return is precisely anticipated by several predictors. The optimal average allocation to bonds drops from over ...
... by a Bayesian investor falls from 43% for a 1-month horizon to 33% for a five-year horizon, while the optimal average allocation to deposits and T-Bills grows from 21% to 50% because their return is precisely anticipated by several predictors. The optimal average allocation to bonds drops from over ...
Consumption Based Asset Pricing After 25 Years
... As we teach our students and in practice, it is both more correct and more intuitive to measure cash flow risks in terms of sensitivity to fluctuations in aggregate real consumption, rather than in terms of their relationship to stock market fluctuations. ...
... As we teach our students and in practice, it is both more correct and more intuitive to measure cash flow risks in terms of sensitivity to fluctuations in aggregate real consumption, rather than in terms of their relationship to stock market fluctuations. ...
the dynamic stock returns volatility and macroeconomic factors in
... and identified that these variables have a significant relationship towards stock returns volatility in the Nigerian Stock Exchange. This is supported by Ouma and Muriu (2014) who also found similar results on the Kenyan stock market. By using the OLS method, they recognized the strong connection wi ...
... and identified that these variables have a significant relationship towards stock returns volatility in the Nigerian Stock Exchange. This is supported by Ouma and Muriu (2014) who also found similar results on the Kenyan stock market. By using the OLS method, they recognized the strong connection wi ...
Evaluating Asset Management firms by using the Divi- Ha Bui
... The methodology consists of two stages, the first one being the selection of stocks and the second one being the valuation process. In the selection stage, fours stocks that have the highest dividend yield within the Asset Management industry are selected: Norvestia, Panostaja, CapMan and eQ. In the ...
... The methodology consists of two stages, the first one being the selection of stocks and the second one being the valuation process. In the selection stage, fours stocks that have the highest dividend yield within the Asset Management industry are selected: Norvestia, Panostaja, CapMan and eQ. In the ...
not fdic insured | may lose value | no bank
... of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract. Many of these derivative contracts will be privately negotiated in the overthe-counter market. These contracts also in ...
... of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract. Many of these derivative contracts will be privately negotiated in the overthe-counter market. These contracts also in ...
Are the GMO Predictions of Asset Style Returns Accurate
... Exhibit 2 is the same graph except the 8 asset classes are obtained by sorting the stock and bond funds together. Here the correlation falls to 0.677. In 5 cases the predictions are too pessimistic and in 3 they are two optimistic. It is not surprising that when all the assets are lumped together th ...
... Exhibit 2 is the same graph except the 8 asset classes are obtained by sorting the stock and bond funds together. Here the correlation falls to 0.677. In 5 cases the predictions are too pessimistic and in 3 they are two optimistic. It is not surprising that when all the assets are lumped together th ...
Islamic FMR- April 2015_(Complete)
... may be accompanied by bouts of volatility spikes driven by external developments such as exit from an accommodative monetary in the US, evolving geo-politcial situation in the Middle-East and large movements in commodity prices. As per our estimates, currently the market is trading at around 8.8 tim ...
... may be accompanied by bouts of volatility spikes driven by external developments such as exit from an accommodative monetary in the US, evolving geo-politcial situation in the Middle-East and large movements in commodity prices. As per our estimates, currently the market is trading at around 8.8 tim ...
Structural Models of Credit Risk are Useful: Evidence
... theory. The failure of such models to explain satisfactorily actual corporate debt prices and spreads is therefore surprising. The poor performance of these models in this area has been recognized for many years but their failure continues to surprise. This paper makes two simple but important point ...
... theory. The failure of such models to explain satisfactorily actual corporate debt prices and spreads is therefore surprising. The poor performance of these models in this area has been recognized for many years but their failure continues to surprise. This paper makes two simple but important point ...
1305501187_526858
... • Cash flow sensitivity to exchange rate risk – Firms can experience positive and negative fluctuations in cash flows and profits due to currency movements that strengthen or weaken the value of their products in overseas markets. – One channel for currency movements to impact MNC cash flows is ...
... • Cash flow sensitivity to exchange rate risk – Firms can experience positive and negative fluctuations in cash flows and profits due to currency movements that strengthen or weaken the value of their products in overseas markets. – One channel for currency movements to impact MNC cash flows is ...
Research Insight - Risk and Return of Factor Portfolios
... Table 2: Time-series (return) correlation of the four families of factor portfolios, USE4 Model, July 1995 to September 2012. ...
... Table 2: Time-series (return) correlation of the four families of factor portfolios, USE4 Model, July 1995 to September 2012. ...
February 2016 | No. 105 SYSTEMIC RISK IN DANISH BANKS
... We implement the systemic risk measure SRISK from Brownlees and Engle (2015) in a Danish context. SRISK combines information from market and accounting data and is used to measure the systemic risk in individual financial institutions and the financial sector as a whole.1 Our notion of the systemic ...
... We implement the systemic risk measure SRISK from Brownlees and Engle (2015) in a Danish context. SRISK combines information from market and accounting data and is used to measure the systemic risk in individual financial institutions and the financial sector as a whole.1 Our notion of the systemic ...
1 - Member and Committee Information
... Over the past 10 years the average fund has increased allocation to bonds and alternatives considerably at the expense of equities. In contrast, the Teesside Fund has shifted its allocation in the opposite direction, increasing the allocation in equities by 14% over the past 10 years at the expense ...
... Over the past 10 years the average fund has increased allocation to bonds and alternatives considerably at the expense of equities. In contrast, the Teesside Fund has shifted its allocation in the opposite direction, increasing the allocation in equities by 14% over the past 10 years at the expense ...
1 VALUING PRIVATE FIRMS So far in this book, we
... The total beta will be higher than the market beta, and will depend upon the correlation between the firm and the market – the lower the correlation, the higher the total beta. You might wonder how a total beta can be estimated for a private firm, where the absence of market prices seems to rule out ...
... The total beta will be higher than the market beta, and will depend upon the correlation between the firm and the market – the lower the correlation, the higher the total beta. You might wonder how a total beta can be estimated for a private firm, where the absence of market prices seems to rule out ...
Cross-Sectional Dispersion and Expected Returns
... without the need to assume any particular asset pricing model. We propose that, as a proxy for aggregate idiosyncratic risk, cross-sectional dispersion represents a state variable that should be priced in the cross-section of stock returns. Furthermore, we expect this state variable to be negatively ...
... without the need to assume any particular asset pricing model. We propose that, as a proxy for aggregate idiosyncratic risk, cross-sectional dispersion represents a state variable that should be priced in the cross-section of stock returns. Furthermore, we expect this state variable to be negatively ...
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.