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Market Discipline and Internal Governance in the Mutual Fund Industry
... accordance with the predictions from our model. Several theoretical models have been advanced to explain subsets of the phenomena mentioned above. Berk and Green (2004) present an interesting discrete-time learning model to explain one seemingly puzzling phenomenon: Given that the evidence on the pr ...
... accordance with the predictions from our model. Several theoretical models have been advanced to explain subsets of the phenomena mentioned above. Berk and Green (2004) present an interesting discrete-time learning model to explain one seemingly puzzling phenomenon: Given that the evidence on the pr ...
Historical cost measurement and the use of DuPont analysis by
... The usefulness of financial statements for investors varies with how well disclosed current period data aids in the task of forecasting future economic outcomes. For example, equity investors are interested in using current period data to predict future outcomes that enable them to assess the value ...
... The usefulness of financial statements for investors varies with how well disclosed current period data aids in the task of forecasting future economic outcomes. For example, equity investors are interested in using current period data to predict future outcomes that enable them to assess the value ...
Ashmore Emerging Markets Liquid Investment Portfolio Ashmore
... of appreciation following intervention by the People's Bank of China (PBoC). The economy responded positively to targeted monetary easing as the Q2 2014 GDP accelerated from 7.4% to 7.5%. The PBoC announced a further CNY 1trn in collateralised credit lines for priority sectors, to be supplied via th ...
... of appreciation following intervention by the People's Bank of China (PBoC). The economy responded positively to targeted monetary easing as the Q2 2014 GDP accelerated from 7.4% to 7.5%. The PBoC announced a further CNY 1trn in collateralised credit lines for priority sectors, to be supplied via th ...
XPP-PDF Support Utility
... Designation of Liquidity Program Administrator. The Liquidity Rule requires a fund’s board to approve the designation of the fund’s investment adviser, officer, or officers (which may not be solely portfolio managers of the fund) responsible for administering the fund’s Liquidity Program (the Progra ...
... Designation of Liquidity Program Administrator. The Liquidity Rule requires a fund’s board to approve the designation of the fund’s investment adviser, officer, or officers (which may not be solely portfolio managers of the fund) responsible for administering the fund’s Liquidity Program (the Progra ...
Measuring Swedish Investor Sentiment Stock Market Response to
... profit, but may undertake an identical investment if it is offered in terms of the risk of the possible losses. Investors may also segregate investment decisions by way of mental accounting. For example, an investor may take on a lot of risk in one investment account, while taking a very risk-averse ...
... profit, but may undertake an identical investment if it is offered in terms of the risk of the possible losses. Investors may also segregate investment decisions by way of mental accounting. For example, an investor may take on a lot of risk in one investment account, while taking a very risk-averse ...
Financial Optimization Problems in Life and Pension Insurance
... general and fundamental question along these lines is: How should life and pension insurance policies be designed, and how should they be managed? Let us interpose the remark that some of these questions are very much of current interest in the practical world of life and pension insurance. Classica ...
... general and fundamental question along these lines is: How should life and pension insurance policies be designed, and how should they be managed? Let us interpose the remark that some of these questions are very much of current interest in the practical world of life and pension insurance. Classica ...
Estimating the required return on equity
... a) The ERA’s criteria are not part of the Rules. The Rules do not state that the Fama-French model must be considered if it satisfies the ERA’s criteria, the Rules state that the FamaFrench model must be considered if it is relevant. That is, the question is not whether the Fama-French model is the ...
... a) The ERA’s criteria are not part of the Rules. The Rules do not state that the Fama-French model must be considered if it satisfies the ERA’s criteria, the Rules state that the FamaFrench model must be considered if it is relevant. That is, the question is not whether the Fama-French model is the ...
Modeling Sustainable Earnings and P/E Ratios Using Financial
... Freeman, Ohlson and Penman (1982) show that by adding just one line item – book value – to current earnings, future earnings changes are probabilistically predictable; if earnings are high relative to book value, earnings are likely to be temporarily high, and if earnings are low relative to book va ...
... Freeman, Ohlson and Penman (1982) show that by adding just one line item – book value – to current earnings, future earnings changes are probabilistically predictable; if earnings are high relative to book value, earnings are likely to be temporarily high, and if earnings are low relative to book va ...
Real Options, Volatility, and Stock Returns∗
... relation between returns and contemporaneous measures of volatility (and changes in them). We propose three remedies to this potential spurious relation. First, similar to Duffee (1995), we estimate volatilities using natural logarithm of stock returns. Using logarithmic returns eliminates the afore ...
... relation between returns and contemporaneous measures of volatility (and changes in them). We propose three remedies to this potential spurious relation. First, similar to Duffee (1995), we estimate volatilities using natural logarithm of stock returns. Using logarithmic returns eliminates the afore ...
Investor Preferences and Demand for Active Management
... the coexistence of the demands for both downside protection and upside seeking and can differentiate the demand for investments with payoffs in specific parts of the distribution. Therefore, it is not clear whether investor sentiment can indeed serve as a substitute for tail preferences. Nonetheless ...
... the coexistence of the demands for both downside protection and upside seeking and can differentiate the demand for investments with payoffs in specific parts of the distribution. Therefore, it is not clear whether investor sentiment can indeed serve as a substitute for tail preferences. Nonetheless ...
IOSR Journal Of Humanities And Social Science (IOSR-JHSS)
... risk actions relate to the decisions that an institution can take in terms of accepting, mitigating, insuring, transferring, and hedging a risk. It also reveals that operational risk management, interest rate risk management, foreign exchange rate risk management, liquidity risk management, risk man ...
... risk actions relate to the decisions that an institution can take in terms of accepting, mitigating, insuring, transferring, and hedging a risk. It also reveals that operational risk management, interest rate risk management, foreign exchange rate risk management, liquidity risk management, risk man ...
1 INVESTMENT: UNIT - 1 Investment involves making of a sacrifice
... have variable dividend and hence belong to the high risk high return category; preference shares and debentures have fixed returns with lower risk. The classification of corporate securities that can be chosen as investment avenues can be depicted as shown below. Equity Shares-: By investing in shar ...
... have variable dividend and hence belong to the high risk high return category; preference shares and debentures have fixed returns with lower risk. The classification of corporate securities that can be chosen as investment avenues can be depicted as shown below. Equity Shares-: By investing in shar ...
ABSTRACT ESSAYS IN INTERNATIONAL FINANCE Christian Daude, Doctor of Philosophy, 2008
... Chapter 2 addresses the determinants of the composition of cross-border investment positions. Using a novel database of bilateral capital stocks for all types of investment - FDI, portfolio equity securities, debt securities as well as loans - for a broad set of 77 countries, we show the importance ...
... Chapter 2 addresses the determinants of the composition of cross-border investment positions. Using a novel database of bilateral capital stocks for all types of investment - FDI, portfolio equity securities, debt securities as well as loans - for a broad set of 77 countries, we show the importance ...
Investment consultants` recommendations of fund managers
... find that average returns of recommended products are actually around 1% lower than those of other products. This result is confirmed using one-, three- and four-factor pricing models, and the differences using returns against benchmark and factor models are in every case statistically significant. ...
... find that average returns of recommended products are actually around 1% lower than those of other products. This result is confirmed using one-, three- and four-factor pricing models, and the differences using returns against benchmark and factor models are in every case statistically significant. ...
Corporate Bond Portfolios - European Financial Management
... layer of intractability. Finally, it is not clear that mean-variance is the right utility framework, given that the distribution of corporate bond returns is non-normal. We propose an approach for choosing a portfolio of corporate bonds based of bond-specific characteristics and macroeconomic regime ...
... layer of intractability. Finally, it is not clear that mean-variance is the right utility framework, given that the distribution of corporate bond returns is non-normal. We propose an approach for choosing a portfolio of corporate bonds based of bond-specific characteristics and macroeconomic regime ...
Homeownership 2.0 - Chicago Unbound
... an advanced degree). To the extent that local housing prices are correlated with the performance of the ...
... an advanced degree). To the extent that local housing prices are correlated with the performance of the ...
Top 10 Stock Screening Strategies That Make
... In other words, does your screen generally find stocks that go up once they’ve been identified, or does your screen generally find stocks that get buried once they’ve been identified? ...
... In other words, does your screen generally find stocks that go up once they’ve been identified, or does your screen generally find stocks that get buried once they’ve been identified? ...
Reservation bid and ask prices for options and covered
... bid and ask prices for covered warrants are strictly greater than the BlackScholes value and to draw other specific implications for covered warrant and structured product prices. Finally, we compare the implications of the model with the findings of prior empirical studies on covered warrants and b ...
... bid and ask prices for covered warrants are strictly greater than the BlackScholes value and to draw other specific implications for covered warrant and structured product prices. Finally, we compare the implications of the model with the findings of prior empirical studies on covered warrants and b ...
The Financial Intermediation Premium in the Cross Section of Stock
... on differences in firm balance sheets, such as size, book-to-market, investment, or operating profits factors. In fact, firm fundamentals suggest that firms with high-leverage lenders are less risky than firms with safer, lower-leveraged intermediaries. I investigate the determinants of the risk pr ...
... on differences in firm balance sheets, such as size, book-to-market, investment, or operating profits factors. In fact, firm fundamentals suggest that firms with high-leverage lenders are less risky than firms with safer, lower-leveraged intermediaries. I investigate the determinants of the risk pr ...
Download paper (PDF)
... analytically tractable. In particular, regimes introduced into linear asset pricing models can often be solved in closed form because conditional on the underlying regime, normality (or log-normality) is recovered. This makes incorporating regime dynamics in affine models straight forward. The notio ...
... analytically tractable. In particular, regimes introduced into linear asset pricing models can often be solved in closed form because conditional on the underlying regime, normality (or log-normality) is recovered. This makes incorporating regime dynamics in affine models straight forward. The notio ...
Demystifying Responsible Investment Performance
... assets. Nor should we forget the fundamental importance of these assets that intimately support our financial institutions, economies, capital markets and, ultimately, all life on Earth. For these reasons, the report by the UNEP FI Asset Management Working Group, “Demystifying Responsible Investme ...
... assets. Nor should we forget the fundamental importance of these assets that intimately support our financial institutions, economies, capital markets and, ultimately, all life on Earth. For these reasons, the report by the UNEP FI Asset Management Working Group, “Demystifying Responsible Investme ...
Credit Suisse Global Investment Returns Yearbook 2013
... 108 (overlapping) 5-year periods, so that we have 2,160 (108 x 20) observations. These are ranked from lowest to highest real interest rates and allocated to bands, with the 5% lowest and highest at the extremes and 15% bands in between. The line plot in Figure 5 shows the boundaries between bands. ...
... 108 (overlapping) 5-year periods, so that we have 2,160 (108 x 20) observations. These are ranked from lowest to highest real interest rates and allocated to bands, with the 5% lowest and highest at the extremes and 15% bands in between. The line plot in Figure 5 shows the boundaries between bands. ...
Tick Size and Institutional Trading Costs: Evidence from Mutual Funds
... method of owning equities is through mutual funds.2 Therefore, to measure the impact of reducing the tick size on retail investors, one must examine mutual fund trading costs. We measure changes in mutual fund trading costs over the two recent tick size reductions in U.S. equity markets: the switch ...
... method of owning equities is through mutual funds.2 Therefore, to measure the impact of reducing the tick size on retail investors, one must examine mutual fund trading costs. We measure changes in mutual fund trading costs over the two recent tick size reductions in U.S. equity markets: the switch ...
Oxera (2011) “Discount rates for low
... While the capital asset pricing model (CAPM) is the most commonly used method for estimating the cost of equity, in many instances it may not provide an accurate estimate of firms’ or investors’ required returns (‘hurdle rates’), for a number of reasons: its underlying assumptions may not be appropr ...
... While the capital asset pricing model (CAPM) is the most commonly used method for estimating the cost of equity, in many instances it may not provide an accurate estimate of firms’ or investors’ required returns (‘hurdle rates’), for a number of reasons: its underlying assumptions may not be appropr ...
International Diversification Versus Domestic Diversification: Mean
... Despite greater integration of international capital markets, investors continue to hold portfolios largely dominated by domestic assets. International investors’ preference for domestic stocks remains a subject of controversy, since many studies indicate that greater profits can be made by diversif ...
... Despite greater integration of international capital markets, investors continue to hold portfolios largely dominated by domestic assets. International investors’ preference for domestic stocks remains a subject of controversy, since many studies indicate that greater profits can be made by diversif ...
Beta (finance)
![](https://en.wikipedia.org/wiki/Special:FilePath/SecMktLine.png?width=300)
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.