More Finance Questions
... a. the pain that Rob would experience if he lost $200 of his wealth would exceed the pleasure that he would experience if he added $200 to his wealth. b. the pleasure that Rob would experience if he added $200 to his wealth would exceed the pain that he would experience if he lost $200 of his wealth ...
... a. the pain that Rob would experience if he lost $200 of his wealth would exceed the pleasure that he would experience if he added $200 to his wealth. b. the pleasure that Rob would experience if he added $200 to his wealth would exceed the pain that he would experience if he lost $200 of his wealth ...
View/Open
... compared alternative estimation methods of the VaR measure. They found that when minimizing the risk of the portfolio, the correlation (dependence) measures were more important to model performance than the volatilities. The above examples focus on traditional enterprise diversification and looking ...
... compared alternative estimation methods of the VaR measure. They found that when minimizing the risk of the portfolio, the correlation (dependence) measures were more important to model performance than the volatilities. The above examples focus on traditional enterprise diversification and looking ...
Expected Returns, Yield Spreads, and Asset Pricing Tests
... documented. Its explanatory role remains significant even after we control for size, book-tomarket, and prior returns. This finding is striking given the well-publicized “weak” relation between market beta and ex-post average returns (see, e.g., Fama and French (1992)). In effect, our findings are m ...
... documented. Its explanatory role remains significant even after we control for size, book-tomarket, and prior returns. This finding is striking given the well-publicized “weak” relation between market beta and ex-post average returns (see, e.g., Fama and French (1992)). In effect, our findings are m ...
The Efficient Market Theory and Evidence
... inefficiency, or simply the inability of researchers to correctly identify and specify the risk factors relevant to the market. If the benchmark is solely a market-weighted portfolio consisting of all traded securities, then active management (defined as deviations from these market weights) may be ...
... inefficiency, or simply the inability of researchers to correctly identify and specify the risk factors relevant to the market. If the benchmark is solely a market-weighted portfolio consisting of all traded securities, then active management (defined as deviations from these market weights) may be ...
World Selection® Portfolio Growth Portfolio
... The performance data of the HSBC World Selection Portfolio service model portfolios (“Portfolios”) is provided for information purposes only. Performance information is based on the performance of our standard Portfolios and not on a composite of actual client accounts. Past performance of the Portf ...
... The performance data of the HSBC World Selection Portfolio service model portfolios (“Portfolios”) is provided for information purposes only. Performance information is based on the performance of our standard Portfolios and not on a composite of actual client accounts. Past performance of the Portf ...
This PDF is a selection from an out-of-print volume from... Bureau of Economic Research
... But what about institutional investors? Should they be concerned with real or nominal rates of return? Institutional investors are financial intermediaries between the nonfinancial business sector and the household sector of the economy. Their ultimate survival and success depend on providing househ ...
... But what about institutional investors? Should they be concerned with real or nominal rates of return? Institutional investors are financial intermediaries between the nonfinancial business sector and the household sector of the economy. Their ultimate survival and success depend on providing househ ...
BSL 4: Corporate finance
... • Because investing to earn market’s RoE is “produced” differently than investing to beat the market, we should treat them as different markets, or at least different segments of market • Competition for providing market RoE – Entry problem: anyone can make investments with same return (risk-adjuste ...
... • Because investing to earn market’s RoE is “produced” differently than investing to beat the market, we should treat them as different markets, or at least different segments of market • Competition for providing market RoE – Entry problem: anyone can make investments with same return (risk-adjuste ...
Summary prospectus - John Hancock Investments
... to this date should not be attributed to the current subadvisor. As a result of the difference in investment strategy and subadvisor, the fund’s performance shown below might have differed materially. A note on performance Class NAV shares commenced operations on October 15, 2005. Class A and Class ...
... to this date should not be attributed to the current subadvisor. As a result of the difference in investment strategy and subadvisor, the fund’s performance shown below might have differed materially. A note on performance Class NAV shares commenced operations on October 15, 2005. Class A and Class ...
Corporate Catastrophes, Stock Returns, and Trading Volume
... in their market value, hence the inclusion of IMPACT. If, however, the ®rm is compensated ®nancially for the direct loss by the commercial insurance market, it is possible that the market will adopt a more lenient stance, hence INSURANCE as a variable. The class of loss may play a role also in the m ...
... in their market value, hence the inclusion of IMPACT. If, however, the ®rm is compensated ®nancially for the direct loss by the commercial insurance market, it is possible that the market will adopt a more lenient stance, hence INSURANCE as a variable. The class of loss may play a role also in the m ...
British Investment Overseas 1870-1913
... Victorian investors allocated a larger proportion of their portfolio to domestic issues. To explain why investment abroad was so large if it was beneficial to invest at home some scholars laid the blame on the City of London with its perceived propensity to channel capital abroad. The proponents of ...
... Victorian investors allocated a larger proportion of their portfolio to domestic issues. To explain why investment abroad was so large if it was beneficial to invest at home some scholars laid the blame on the City of London with its perceived propensity to channel capital abroad. The proponents of ...
ch03 - U of L Class Index
... the discount narrows or widens over time Trade at premiums and discounts across time, and variance is great ...
... the discount narrows or widens over time Trade at premiums and discounts across time, and variance is great ...
JOIM - CSInvesting
... For example the overall …rm average of leverage is 44% while …rms that are about to fail have an average leverage of 73.7%. This higher level is 1.05 standard deviations higher than the overall mean. When interpreting the statistics, it is important to remember a few things about the sample and the ...
... For example the overall …rm average of leverage is 44% while …rms that are about to fail have an average leverage of 73.7%. This higher level is 1.05 standard deviations higher than the overall mean. When interpreting the statistics, it is important to remember a few things about the sample and the ...
Do Firms` Intrinsically Determined Enterprise Values Corroborate
... 1. Rationale for the Study A significant postulate surrounding the financial literature pertains to the potential investment opportunities arising from the divergence of a security’s intrinsic value from its purported market value. An observation of the above phenomenon would propel a fundamental an ...
... 1. Rationale for the Study A significant postulate surrounding the financial literature pertains to the potential investment opportunities arising from the divergence of a security’s intrinsic value from its purported market value. An observation of the above phenomenon would propel a fundamental an ...
2016 Stock Market Outlook-us
... bullish. The realization modestly higher short-term rates are an economic non-event, particularly with the yield curve steep, should dispel this myth. Meanwhile, the Fed likely does ever less as the election approaches. While the Fed portrays itself as apolitical, in reality, it’s anything but. Vola ...
... bullish. The realization modestly higher short-term rates are an economic non-event, particularly with the yield curve steep, should dispel this myth. Meanwhile, the Fed likely does ever less as the election approaches. While the Fed portrays itself as apolitical, in reality, it’s anything but. Vola ...
NBER WORKING PAPER SERIES FINANCIAL INNOVATION, MARKET PARTICIPATION AND ASSET PRICES Laurent Calvet
... premium is high and matches the historical average under reasonable levels of risk aversion. Heaton and Lucas (1999) extend the analysis by considering heterogeneous incomes with a common nonmarketable factor. In contrast to this earlier work, we consider multiple assets and factors, and endogenize ...
... premium is high and matches the historical average under reasonable levels of risk aversion. Heaton and Lucas (1999) extend the analysis by considering heterogeneous incomes with a common nonmarketable factor. In contrast to this earlier work, we consider multiple assets and factors, and endogenize ...
Finding Smart Beta in the Factor Zoo_pdf
... number of factors suggests that it’s better to have more factors than less, but how can investors determine how to use factors in their equity portfolios? The options are endless, particularly given the smart beta movement under way today. We believe one cannot make intelligent choices regarding sma ...
... number of factors suggests that it’s better to have more factors than less, but how can investors determine how to use factors in their equity portfolios? The options are endless, particularly given the smart beta movement under way today. We believe one cannot make intelligent choices regarding sma ...
KIID LU1335425580 en LU
... positioned in terms of its possible risk and reward. The higher the Fund's position on this scale, the greater the possible reward, but also the greater risk of losing money. 5 This risk indicator is calculated using historical data, which cannot be used as a prediction for the future. Therefore the ...
... positioned in terms of its possible risk and reward. The higher the Fund's position on this scale, the greater the possible reward, but also the greater risk of losing money. 5 This risk indicator is calculated using historical data, which cannot be used as a prediction for the future. Therefore the ...
Schroders seven year asset class forecast returns - 2015 update
... We model equity returns by assuming that real earnings per share (EPS) returns to its long-run trend level by the end of the seven-year period, whilst the valuation metric (price/earnings) returns to a long-run fair value. Four years ago, we considered the effect of a world in which growth is struct ...
... We model equity returns by assuming that real earnings per share (EPS) returns to its long-run trend level by the end of the seven-year period, whilst the valuation metric (price/earnings) returns to a long-run fair value. Four years ago, we considered the effect of a world in which growth is struct ...
Amortization of Intangible Assets
... 1. Amortization is the systematic allocation of the amortizable amount of an Intangible Asset over its useful life. Amortization expenses the cost of the asset in equal installments (Straight line method of amortization) over the life of the asset, rather than when the asset is paid. 2. Amortization ...
... 1. Amortization is the systematic allocation of the amortizable amount of an Intangible Asset over its useful life. Amortization expenses the cost of the asset in equal installments (Straight line method of amortization) over the life of the asset, rather than when the asset is paid. 2. Amortization ...
the suitability of gold as a high quality liquid asset
... The Market-Related Characteristics of HQLA The market-related characteristics of HQLA are threefold. To be considered HQLA, an asset should first have an active and sizable market, second it should be subject to low volatility and third it should have a ‘flight to quality’7 feature. According to the ...
... The Market-Related Characteristics of HQLA The market-related characteristics of HQLA are threefold. To be considered HQLA, an asset should first have an active and sizable market, second it should be subject to low volatility and third it should have a ‘flight to quality’7 feature. According to the ...
Size Premia in the Canadian Equity Market
... ignore unsystematic risk and demands extra return for accepting it. The results illustrate that R-square consistently decreases with decreasing firm size. This indicates that smaller firms tend to have higher unsystematic risk components and beta has low explanatory power to predict returns for smal ...
... ignore unsystematic risk and demands extra return for accepting it. The results illustrate that R-square consistently decreases with decreasing firm size. This indicates that smaller firms tend to have higher unsystematic risk components and beta has low explanatory power to predict returns for smal ...
harvard, yale, and alternative investments: a post
... *Li, Zhang and Xhao, “Investing in Talents,” Journal of Financial and Quantitative Analysis, 2011 ...
... *Li, Zhang and Xhao, “Investing in Talents,” Journal of Financial and Quantitative Analysis, 2011 ...
Pollution as News - Kellogg School of Management
... environmental and financial performance have neglected to take the issue of contemporaneous correlation into account, thus may misestimate the effect on stock returns. This paper aims to correct that omission and to begin to explore how, in more subtle ways, pollution is news to the market and affec ...
... environmental and financial performance have neglected to take the issue of contemporaneous correlation into account, thus may misestimate the effect on stock returns. This paper aims to correct that omission and to begin to explore how, in more subtle ways, pollution is news to the market and affec ...
Collateralized Debt Obligations – an overview
... the CDO. Investors can assess the various tranches of the CDO with full knowledge of what the collateral will be (or variation thereof). The primary risk they face is credit risk. On the other hand, with a managed CDO, a portfolio manager is appointed to “actively” manage the underlying collateral ...
... the CDO. Investors can assess the various tranches of the CDO with full knowledge of what the collateral will be (or variation thereof). The primary risk they face is credit risk. On the other hand, with a managed CDO, a portfolio manager is appointed to “actively” manage the underlying collateral ...
Is the International Diversification Potential
... same effect. In this paper, I use the data on equity returns across countries to ask whether the pricing relationships have changed over time. For this purpose, I follow three steps. First, I test for breaks in the relationship between local equity market returns and the world market. Second, for eq ...
... same effect. In this paper, I use the data on equity returns across countries to ask whether the pricing relationships have changed over time. For this purpose, I follow three steps. First, I test for breaks in the relationship between local equity market returns and the world market. Second, for eq ...
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.