August 29 - Pontiac General Employees` Retirement System
... Mr. Gustein from Oppenheimer Capital said that he feels the hype about ethanol is just hype. He felt there are a lot of supply issues. The price of oil went down after the terror scare two weeks ago. The price of oil will range from $65 to $85 per barrel and will not be looked at as inflationary. Co ...
... Mr. Gustein from Oppenheimer Capital said that he feels the hype about ethanol is just hype. He felt there are a lot of supply issues. The price of oil went down after the terror scare two weeks ago. The price of oil will range from $65 to $85 per barrel and will not be looked at as inflationary. Co ...
Systemic risk in European Economies: Deciphering Leading
... countries by means of a dynamic factor model • Conventional and nonparametric (Diks and Panchenko, 2006) Granger causality tests are conducted for the composite systemic risk measure and the EPU index in the time domain • Then, we assess lead-lag patterns between the variables in the timefrequency d ...
... countries by means of a dynamic factor model • Conventional and nonparametric (Diks and Panchenko, 2006) Granger causality tests are conducted for the composite systemic risk measure and the EPU index in the time domain • Then, we assess lead-lag patterns between the variables in the timefrequency d ...
finalterm examination
... ► There is a positive relationship between security m and n ► There is a negative relationship between security m and n ► There is no relationship between security m and n ► The given data is not sufficient to arrive at any result Ref; What if the correlation of A&B = -1 ? This is an unusual case, ...
... ► There is a positive relationship between security m and n ► There is a negative relationship between security m and n ► There is no relationship between security m and n ► The given data is not sufficient to arrive at any result Ref; What if the correlation of A&B = -1 ? This is an unusual case, ...
Back to the Future – A Round-Trip with Discounted Cash Flows
... years before the hearing date? When the valuation date is set in the past, it means that all the business’ cash flows should be discounted back to that date. For many claims there will be no certainty as to what the business’ historical (and future) cash flows would have been. Accordingly, these cas ...
... years before the hearing date? When the valuation date is set in the past, it means that all the business’ cash flows should be discounted back to that date. For many claims there will be no certainty as to what the business’ historical (and future) cash flows would have been. Accordingly, these cas ...
Our Investment Process - Horbury Financial Services
... ‘cautious’, ‘balanced’ or ‘aggressive’ can mean different things to different people. That is why we aim to make our assessment of your attitude to risk as objective as possible. The next stage of the process is a discussion about what your risk profile score means. Your resulting risk profile score ...
... ‘cautious’, ‘balanced’ or ‘aggressive’ can mean different things to different people. That is why we aim to make our assessment of your attitude to risk as objective as possible. The next stage of the process is a discussion about what your risk profile score means. Your resulting risk profile score ...
BH Chapter 9 The Cost of Capital
... kP = kRF + (kM - kRF)bP where bP is the project’s beta Note: investing in projects that have more or less beta (or market) risk than average will change the firm’s overall beta and required return. ...
... kP = kRF + (kM - kRF)bP where bP is the project’s beta Note: investing in projects that have more or less beta (or market) risk than average will change the firm’s overall beta and required return. ...
Document
... 9 As emphasized by Chambers and Zdanowicz (2014). Mean expected wealth may be the most relevant measure of expectation when considering components of a wider portfolio. For example, if the investments’ next-day returns were negatively correlated to their past-month returns, a portfolio rebalanced t ...
... 9 As emphasized by Chambers and Zdanowicz (2014). Mean expected wealth may be the most relevant measure of expectation when considering components of a wider portfolio. For example, if the investments’ next-day returns were negatively correlated to their past-month returns, a portfolio rebalanced t ...
Shaw SMA - Large Cap Portfolio
... us some nervousness around the impending reporting season. We note consensus estimates point to 12% EPS growth in 2017, but only 3.2% in 2018. Reporting season should be “good, not great” as many companies struggle to grow the top line and with the consumer still on strike. Companies which have been ...
... us some nervousness around the impending reporting season. We note consensus estimates point to 12% EPS growth in 2017, but only 3.2% in 2018. Reporting season should be “good, not great” as many companies struggle to grow the top line and with the consumer still on strike. Companies which have been ...
Common Errors in DCF Models
... teens. Simple math shows today’s stock prices reflect expectations for value-creating earnings and cash flows many years in the future. To make the point more concrete, imagine you are a restaurant industry executive in charge of finding new store locations. When assessing the attractiveness of a pr ...
... teens. Simple math shows today’s stock prices reflect expectations for value-creating earnings and cash flows many years in the future. To make the point more concrete, imagine you are a restaurant industry executive in charge of finding new store locations. When assessing the attractiveness of a pr ...
Introduction to Risk and Return (Chapter 5)
... not vary too much over time, changes in the nominal interest rate will simply track changes in the inflation rate. However, this assumes that the inflation rate is easy to predict. Changes in the money supply are the primary determinant of the inflation rate and unfortunately, changes in the money ...
... not vary too much over time, changes in the nominal interest rate will simply track changes in the inflation rate. However, this assumes that the inflation rate is easy to predict. Changes in the money supply are the primary determinant of the inflation rate and unfortunately, changes in the money ...
A Different Way to Invest
... service marks, and copyrights related to the Russell Indexes. MSCI data © MSCI 2017, all rights reserved. Except as noted above, MSCI indices are net of foreign withholding taxes on dividends since January 1999. The BofA Merrill Lynch index is used with permission; ...
... service marks, and copyrights related to the Russell Indexes. MSCI data © MSCI 2017, all rights reserved. Except as noted above, MSCI indices are net of foreign withholding taxes on dividends since January 1999. The BofA Merrill Lynch index is used with permission; ...
time series properties of the cyprus stock market
... returns, especially second-moment temporal dependencies. The presence of such dependencies is tested by means of the Ljung-Box (LB) statistic calculated for ten lags and applied to returns (testing for linear or, first moment dependencies) as well as to squared returns (testing for nonlinear or, se ...
... returns, especially second-moment temporal dependencies. The presence of such dependencies is tested by means of the Ljung-Box (LB) statistic calculated for ten lags and applied to returns (testing for linear or, first moment dependencies) as well as to squared returns (testing for nonlinear or, se ...
exp06-Nagel 3988118 en
... U.S. stock market return experienced each cohort since age 20 up to the interview date. We refer to it as the life-time average stock return. Our basic finding is that there is indeed a strong positive relationship between various measures of risk-taking and the life-time average stock return of the ...
... U.S. stock market return experienced each cohort since age 20 up to the interview date. We refer to it as the life-time average stock return. Our basic finding is that there is indeed a strong positive relationship between various measures of risk-taking and the life-time average stock return of the ...
fund risks - Royal London pensions for employers and trustees
... if they become insolvent. Another is collateral risk – lenders often request that the borrower commits a specific asset to cover the loan. If the borrower was unable to re-pay the loan, ownership of this asset would transfer to the lender. This reduces the risk of stock lending, but there is still t ...
... if they become insolvent. Another is collateral risk – lenders often request that the borrower commits a specific asset to cover the loan. If the borrower was unable to re-pay the loan, ownership of this asset would transfer to the lender. This reduces the risk of stock lending, but there is still t ...
Emerging Market Debt Fund - Standard Life Investments
... in bonds issued or guaranteed by governments, financial institutions or companies in emerging markets. The majority of the fund will be invested in bonds denominated in US Dollars and who may invest a proportion of the fund's assets in other bonds, derivatives and/or money market instruments to try ...
... in bonds issued or guaranteed by governments, financial institutions or companies in emerging markets. The majority of the fund will be invested in bonds denominated in US Dollars and who may invest a proportion of the fund's assets in other bonds, derivatives and/or money market instruments to try ...
Measuring the Benefits of Option Strategies For Portfolio Management
... (1980) find less evidence in support of the three-moment model, but Lim (1989) verifies the Kraus and Litzenberger (1976) result. More recently, Harvey and Siddique (1998) find that conditional skewness is priced in the market. From a corporate risk management perspective, preference for skewness in ...
... (1980) find less evidence in support of the three-moment model, but Lim (1989) verifies the Kraus and Litzenberger (1976) result. More recently, Harvey and Siddique (1998) find that conditional skewness is priced in the market. From a corporate risk management perspective, preference for skewness in ...
Capital Structure, Hurdle Rates, and Portfolio Choice Interactions in
... hurdle rates much higher than predicted by a model like the CAPM. Entrepreneur with moderate risk aversion sets a high hurdle rate but still has substantial investment in the stock market. Provides potential explanation for findings of Graham and Harvey (1999): ...
... hurdle rates much higher than predicted by a model like the CAPM. Entrepreneur with moderate risk aversion sets a high hurdle rate but still has substantial investment in the stock market. Provides potential explanation for findings of Graham and Harvey (1999): ...
NYU-SEC5 - Wharton Finance
... A version of the model can be developed to consider the dynamic relationship between the amount of credit available to investors and asset prices. What is meant by financial risk? The amount of credit and hence interest rates are taken as random variables by investors and this uncertainty leads to u ...
... A version of the model can be developed to consider the dynamic relationship between the amount of credit available to investors and asset prices. What is meant by financial risk? The amount of credit and hence interest rates are taken as random variables by investors and this uncertainty leads to u ...
MEASURING VALUE AT RISK ON EMERGING
... the VaR financial institutions are able to determine the level of capital that provides cover losses and ensure the financial position of extreme market movement. The importance of risk management, as well as estimation and prediction of market losses has significantly increased during and after glo ...
... the VaR financial institutions are able to determine the level of capital that provides cover losses and ensure the financial position of extreme market movement. The importance of risk management, as well as estimation and prediction of market losses has significantly increased during and after glo ...
The Term Structure of the Risk-Return Tradeoff
... model (VAR).1 We show how one can easily extract the term structure of risk using this parsimonious model of return dynamics, and illustrate our approach using quarterly data from the U.S. stock, bond and T-bill markets for the postwar period. In our empirical application we use variables that have ...
... model (VAR).1 We show how one can easily extract the term structure of risk using this parsimonious model of return dynamics, and illustrate our approach using quarterly data from the U.S. stock, bond and T-bill markets for the postwar period. In our empirical application we use variables that have ...
Why Don`t the Prices of Stocks and Bonds Move Together?
... simultaneously. Yet a drop in the riskless rate would seem intuitively to be a likely consequence of increased risk as agents substitute away from risky stocks into less risky assets. The notion of such a "flight to quality" does find rigorous theoretical support. The drop in the riskless rate is a ...
... simultaneously. Yet a drop in the riskless rate would seem intuitively to be a likely consequence of increased risk as agents substitute away from risky stocks into less risky assets. The notion of such a "flight to quality" does find rigorous theoretical support. The drop in the riskless rate is a ...
Fact Sheet:SSgA Enhanced Emerging Markets Equity Fund, May2017
... This document is for informational purposes only and is not an offer to sell or the solicitation of an offer to buy an interest in any funds and is not intended for public distribution. The Fund is a recognised scheme under Section 264 of the Financial Services and Markets Act 2000. The funds are no ...
... This document is for informational purposes only and is not an offer to sell or the solicitation of an offer to buy an interest in any funds and is not intended for public distribution. The Fund is a recognised scheme under Section 264 of the Financial Services and Markets Act 2000. The funds are no ...
US Equities: Light at the End of the Tunnel
... During the past five years, bonds have had a far-above-average Sharpe ratio (1.72) while equities have had a far-below-average one (0.02) (see Exhibit 5, below left). As bond returns have outpaced stocks over the past five- and 10-year periods, investors have not needed to add the extra volatility o ...
... During the past five years, bonds have had a far-above-average Sharpe ratio (1.72) while equities have had a far-below-average one (0.02) (see Exhibit 5, below left). As bond returns have outpaced stocks over the past five- and 10-year periods, investors have not needed to add the extra volatility o ...
What Does the Equity Premium Mean? - UQ eSpace
... Public investment and privatization: The implications of risk for public and private investment was debated during the 1960s and 1970s, with Hirshleifer (1964) opposing and Arrow and Lind (1970) favoring the argument that the superior risk-bearing capacity of the public sector made the value of a ri ...
... Public investment and privatization: The implications of risk for public and private investment was debated during the 1960s and 1970s, with Hirshleifer (1964) opposing and Arrow and Lind (1970) favoring the argument that the superior risk-bearing capacity of the public sector made the value of a ri ...
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.