Timing the Treasury Bond Market
... This master thesis is being written on behalf of a financial asset management company in Gothenburg. The company has a model, based on a number of indicators, for allocating between stocks and bonds. This model has been developed over the past ten years and is a tool that supports investors in creat ...
... This master thesis is being written on behalf of a financial asset management company in Gothenburg. The company has a model, based on a number of indicators, for allocating between stocks and bonds. This model has been developed over the past ten years and is a tool that supports investors in creat ...
Stronger Risk Controls, Lower Risk: Evidence from US Bank Holding
... internal risk controls. If strong internal risk controls cause the BHC to forgo profitable but risky activities like asset management or derivatives trading, then it is possible that the stock market penalizes BHCs with high RMI. On the other hand, if strong risk controls can help a BHC avoid taking ...
... internal risk controls. If strong internal risk controls cause the BHC to forgo profitable but risky activities like asset management or derivatives trading, then it is possible that the stock market penalizes BHCs with high RMI. On the other hand, if strong risk controls can help a BHC avoid taking ...
NBER WORKING PAPER SERIES RISK SHIFTING VERSUS RISK MANAGEMENT:
... respect to the management of cash flow risks. On the one hand, shocks to cash flows for financially constrained firms can lead to bankruptcy (Smith and Stulz (1985)) or to the inability to take profitable investment projects in the future (Mayers and Smith (1987), Froot, Scharfstein, and Stein (1993 ...
... respect to the management of cash flow risks. On the one hand, shocks to cash flows for financially constrained firms can lead to bankruptcy (Smith and Stulz (1985)) or to the inability to take profitable investment projects in the future (Mayers and Smith (1987), Froot, Scharfstein, and Stein (1993 ...
Debt Refinancing and Equity Returns
... controlling for the immediacy of debt refinancing. In the model, the firm optimizes its capital structure by jointly choosing the amount of debt as well as the maturity structure of debt. The firm has to refinance debt according to its maturity structure and shareholders commit to cover potential sh ...
... controlling for the immediacy of debt refinancing. In the model, the firm optimizes its capital structure by jointly choosing the amount of debt as well as the maturity structure of debt. The firm has to refinance debt according to its maturity structure and shareholders commit to cover potential sh ...
performance of actively managed exchange traded funds in the usa
... time the topic is not as excessively investigated as the performance of stock mutual funds. The authors use two different samples – the first one is comprised of monthly returns of 46 nonmunicipal bond funds from 1979 to 1988, and the second one is comprised of all bond funds existing in the end of ...
... time the topic is not as excessively investigated as the performance of stock mutual funds. The authors use two different samples – the first one is comprised of monthly returns of 46 nonmunicipal bond funds from 1979 to 1988, and the second one is comprised of all bond funds existing in the end of ...
Thu-150-Michael Cooke
... RA. As part of the FTSE’s range of non-market capitalization weighted indices, the FTSE RAFI Index Series weights index constituents based on the following four fundamental measures of company size: dividends, cash flow, sales and book value. The FTSE RAFI Canada Index is comprised of the Canadian s ...
... RA. As part of the FTSE’s range of non-market capitalization weighted indices, the FTSE RAFI Index Series weights index constituents based on the following four fundamental measures of company size: dividends, cash flow, sales and book value. The FTSE RAFI Canada Index is comprised of the Canadian s ...
The Transition in Private / Public Ownership:
... With the value added measures for each acquirer and its matching non-acquirer in hand, I examine whether, at the time of the M&A deal announcement, investors and the market differentiate acquirers with high levels of shareholder value creation from those with low value creation. I also test whether ...
... With the value added measures for each acquirer and its matching non-acquirer in hand, I examine whether, at the time of the M&A deal announcement, investors and the market differentiate acquirers with high levels of shareholder value creation from those with low value creation. I also test whether ...
Guidelines to Emerging Market Regulators
... towards a much more comprehensive approach designed to ensure proper management of all the risks associated with complex institutions. This evolving market scenario combined with the need for better allocation of limited supervisory resources, prompted regulators to find improved methods of identify ...
... towards a much more comprehensive approach designed to ensure proper management of all the risks associated with complex institutions. This evolving market scenario combined with the need for better allocation of limited supervisory resources, prompted regulators to find improved methods of identify ...
Managerial risk preference and its influencing factors: analysis of
... different education levels. Wang and Zhou (2013) used a sample of listed companies in Shanghai and Shenzhen stock exchanges from 2003 to 2012, and determined that the correlation between education level and risk preference of top decision makers was significant and negative. Corporations managed by ...
... different education levels. Wang and Zhou (2013) used a sample of listed companies in Shanghai and Shenzhen stock exchanges from 2003 to 2012, and determined that the correlation between education level and risk preference of top decision makers was significant and negative. Corporations managed by ...
Predicting Market Returns Using Aggregate Implied Cost of Capital
... the present value of its expected future free cash flows where, empirically, the free cash flows are estimated using a combination of short-term analyst earnings forecasts, long-term growth rates projected from the short-term forecasts, and historical payout ratios.2 If markets are efficient, the IC ...
... the present value of its expected future free cash flows where, empirically, the free cash flows are estimated using a combination of short-term analyst earnings forecasts, long-term growth rates projected from the short-term forecasts, and historical payout ratios.2 If markets are efficient, the IC ...
Explaining the Magnitude of Liquidity Premia
... a lower bound on the difference between the cost rate for low and high liquidity portfolios formed by bifurcating on the basis of liquidity. We rely on recent empirical work by Lesmond, Ogden and Trzcinka (1999) who quantify the transaction costs associated with trading individual stocks and find a ...
... a lower bound on the difference between the cost rate for low and high liquidity portfolios formed by bifurcating on the basis of liquidity. We rely on recent empirical work by Lesmond, Ogden and Trzcinka (1999) who quantify the transaction costs associated with trading individual stocks and find a ...
An Examination of Primary and Secondary Market Returns in Equity
... property type at the time of issue, potentially due to fewer information asymmetry problems, leading to lower price uncertainty for the REIT IPO. Overall, these findings are consistent with the theories based on compensation to primary market participants for information production and risk taking d ...
... property type at the time of issue, potentially due to fewer information asymmetry problems, leading to lower price uncertainty for the REIT IPO. Overall, these findings are consistent with the theories based on compensation to primary market participants for information production and risk taking d ...
Review of the method for estimating the Weighted Average Cost of
... regime. The Productivity Commission notes that:4 These principles have the status of guidelines in the CCA (s. 44DA), and state that an effective access regime should, among other things: ...
... regime. The Productivity Commission notes that:4 These principles have the status of guidelines in the CCA (s. 44DA), and state that an effective access regime should, among other things: ...
UCITS Application Form Section 10 Sub
... b) The basis upon which the UCITS will select its investments c) The place or places in which the UCITS will invest, indicating countries or regions in which such investments will be made; and d) Whether it is intended to seek exposure to a country or region through investment in companies or instru ...
... b) The basis upon which the UCITS will select its investments c) The place or places in which the UCITS will invest, indicating countries or regions in which such investments will be made; and d) Whether it is intended to seek exposure to a country or region through investment in companies or instru ...
"Sophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements"
... contract increases up to 7.8 basis points {decreases up to 3.1 basis points}, and the 10-Year U.S. Treasury Note futures contract decreases up to 2.8 basis points {increases up to 3.8 basis points}. This pre-announcement conditional drift is sizable relative to the announcement return: up to 57% an ...
... contract increases up to 7.8 basis points {decreases up to 3.1 basis points}, and the 10-Year U.S. Treasury Note futures contract decreases up to 2.8 basis points {increases up to 3.8 basis points}. This pre-announcement conditional drift is sizable relative to the announcement return: up to 57% an ...
Do Retail Trades Move Markets? - Faculty Directory | Berkeley-Haas
... the Trade and Quotes (TAQ) and Institute for the Study of Security Markets (ISSM) transaction data over the period 1983–2001. We document four results: (1) Order imbalance based on buyer- and seller-initiated small trades from the TAQ/ISSM data correlate well with the order imbalance based on trades ...
... the Trade and Quotes (TAQ) and Institute for the Study of Security Markets (ISSM) transaction data over the period 1983–2001. We document four results: (1) Order imbalance based on buyer- and seller-initiated small trades from the TAQ/ISSM data correlate well with the order imbalance based on trades ...
optimal capital structure
... patterns. Our research will also deal with leverage ratios but in an entirely new way. Our problem concerns the practical matter of deciding an appropriate capital structure and the possibility of improvements, which are formulated below. • How do the case companies decide their capital structure? • ...
... patterns. Our research will also deal with leverage ratios but in an entirely new way. Our problem concerns the practical matter of deciding an appropriate capital structure and the possibility of improvements, which are formulated below. • How do the case companies decide their capital structure? • ...
On Path–dependency of Constant Proportion Portfolio
... expectation, he would still like to guarantee some percentage of the initial investment at maturity (in case his expectations do not realize). We assume nothing else about our investor. Similarly to most of the literature, we consider a BS model for the underlying risky asset, i.e. we assume it foll ...
... expectation, he would still like to guarantee some percentage of the initial investment at maturity (in case his expectations do not realize). We assume nothing else about our investor. Similarly to most of the literature, we consider a BS model for the underlying risky asset, i.e. we assume it foll ...
CreditMetrics™ — Technical Document
... lacking. Most prior work has been on the estimation of the relative likelihoods of default for individual firms; Moody’s and S&P have long done this and many others have started to do so. We have designed CreditMetrics to accept as an input any assessment of default ...
... lacking. Most prior work has been on the estimation of the relative likelihoods of default for individual firms; Moody’s and S&P have long done this and many others have started to do so. We have designed CreditMetrics to accept as an input any assessment of default ...
hussman strategic dividend value fund
... share price of the Fund may fluctuate or deviate from overall market returns to a greater degree than other funds that do not employ this strategy. This is known as “tracking risk.” For example, if the Fund has taken a defensive investment posture by hedging all or a portion of the exposure of its p ...
... share price of the Fund may fluctuate or deviate from overall market returns to a greater degree than other funds that do not employ this strategy. This is known as “tracking risk.” For example, if the Fund has taken a defensive investment posture by hedging all or a portion of the exposure of its p ...
Macroeconomic Effects of Secondary Market
... and eventual bust.1 Yet, the underlying mechanisms are not fully understood. This paper offers a theory in which the endogenous growth of secondary markets generates a macroeconomic credit cycle. I use the theory to understand why secondary market credit booms arise, why they eventually lead to fina ...
... and eventual bust.1 Yet, the underlying mechanisms are not fully understood. This paper offers a theory in which the endogenous growth of secondary markets generates a macroeconomic credit cycle. I use the theory to understand why secondary market credit booms arise, why they eventually lead to fina ...
NBER WORKING PAPER SERIES Jesús Fernández-Villaverde
... enough to cover the 2000-2001 equity price correction in the U.S. and the Argentinean crisis of 2001-2002. The EMBI data coverage is as follows: Argentina 1997.12-2008.02; Ecuador 1997.12-2008.02; Brazil 1994.04-2008.02; and Venezuela 1997.12-2008.02. We plot our data in …gure 1. We use annualized r ...
... enough to cover the 2000-2001 equity price correction in the U.S. and the Argentinean crisis of 2001-2002. The EMBI data coverage is as follows: Argentina 1997.12-2008.02; Ecuador 1997.12-2008.02; Brazil 1994.04-2008.02; and Venezuela 1997.12-2008.02. We plot our data in …gure 1. We use annualized r ...
The information content of share repurchases
... firms with limited investment opportunities improve their operating efficiency by redeploying assets and returning proceeds of asset sales via share repurchases. Performance improvement from asset re-deployment is more in the spirit of the free cash flow hypothesis than the information-signaling hyp ...
... firms with limited investment opportunities improve their operating efficiency by redeploying assets and returning proceeds of asset sales via share repurchases. Performance improvement from asset re-deployment is more in the spirit of the free cash flow hypothesis than the information-signaling hyp ...
Direct Investing in Private Equity
... skill—as their gross returns were higher than public equity benchmarks—the lack of superior return for the LPs implied that “rents” were earned by private equity managers. Recently, using more comprehensive data, Harris, et al. (2013), Robinson and Sensoy (2013), and Axelson, et al. (2013a) show tha ...
... skill—as their gross returns were higher than public equity benchmarks—the lack of superior return for the LPs implied that “rents” were earned by private equity managers. Recently, using more comprehensive data, Harris, et al. (2013), Robinson and Sensoy (2013), and Axelson, et al. (2013a) show tha ...
DOCX - World bank documents
... pension income when they retire. Whilst traditional defined benefit (DB) pension plans set out what that pension income will be in advance and then strive to deliver it, the growing number of defined contribution (DC) plans accumulate a sum of assets which can then be turned into a pension income on ...
... pension income when they retire. Whilst traditional defined benefit (DB) pension plans set out what that pension income will be in advance and then strive to deliver it, the growing number of defined contribution (DC) plans accumulate a sum of assets which can then be turned into a pension income on ...
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.