Lunar cycle effects in stock returns
... Kamstra, Kramer, and Levi (2001) documents that stock returns are related to the amount of daylight throughout the course of the year. Kamstra, Kramer, and Levi’s interpretation is that lack of sunlight induces depression, which increases risk-aversion, affecting the valuation of stocks. A consider ...
... Kamstra, Kramer, and Levi (2001) documents that stock returns are related to the amount of daylight throughout the course of the year. Kamstra, Kramer, and Levi’s interpretation is that lack of sunlight induces depression, which increases risk-aversion, affecting the valuation of stocks. A consider ...
Certificates of Deposit Linked to the J.P. Morgan Efficiente Plus DS 5
... volatility of returns of hypothetical portfolios as the measure of risk. This strategy is based on the assumption that the most efficient allocation of assets is one that maximizes returns per unit of risk. The strategy assigns the weights to the Basket Constituents after determining the returns and ...
... volatility of returns of hypothetical portfolios as the measure of risk. This strategy is based on the assumption that the most efficient allocation of assets is one that maximizes returns per unit of risk. The strategy assigns the weights to the Basket Constituents after determining the returns and ...
In this paper, we develop a theory for the time varying takeover
... to 10%. The most frequent job title among the respondents is financial adviser (19%). Other typical backgrounds include analyst, private banker, investments expert, broker, wealth manager, and stock specialist. Director and manager levels are also represented. In the initial sample collected in 2004 ...
... to 10%. The most frequent job title among the respondents is financial adviser (19%). Other typical backgrounds include analyst, private banker, investments expert, broker, wealth manager, and stock specialist. Director and manager levels are also represented. In the initial sample collected in 2004 ...
Pseudo Market Timing and the Long-Run Underperformance of IPOs
... IPOs earn positive excess returns each period. At time 0, IPO stock prices are $100 and one firm goes public. The IPO earns an excess return of 10 percent the following period. At time 1, with an IPO price of $110, three additional firms go public. Each of these IPOs earns an excess return of 10 per ...
... IPOs earn positive excess returns each period. At time 0, IPO stock prices are $100 and one firm goes public. The IPO earns an excess return of 10 percent the following period. At time 1, with an IPO price of $110, three additional firms go public. Each of these IPOs earns an excess return of 10 per ...
the role of international accounting standards in transitional
... largest countries. They may invest in these companies, requiring a premium rate of return, that is imposing a premium cost of capital, to compensate them for the costs of the analysis and the uncertainties they feel about the results of using an unfamiliar or deficient accounting system. In many oth ...
... largest countries. They may invest in these companies, requiring a premium rate of return, that is imposing a premium cost of capital, to compensate them for the costs of the analysis and the uncertainties they feel about the results of using an unfamiliar or deficient accounting system. In many oth ...
Timing “Smart Beta” Strategies? Of Course! Buy Low, Sell High!
... How Well Does It Work? Our first two articles explore the link between a strategy’s valuation and its performance. Predictably, many have been asking us if relative valuation can be used to tactically time alpha from smart beta strategies. The short answer is yes. The longer answer is it leads to a ...
... How Well Does It Work? Our first two articles explore the link between a strategy’s valuation and its performance. Predictably, many have been asking us if relative valuation can be used to tactically time alpha from smart beta strategies. The short answer is yes. The longer answer is it leads to a ...
Speculative Retail Trading and Asset Prices
... Speculative stocks would also attract investors who derive extra nonwealth utility from the act of realizing gains. Barberis and Xiong (2012) present a model in which investors with realization utility exhibit risk-seeking behavior. These investors may hold and trade more frequently high-volatility ...
... Speculative stocks would also attract investors who derive extra nonwealth utility from the act of realizing gains. Barberis and Xiong (2012) present a model in which investors with realization utility exhibit risk-seeking behavior. These investors may hold and trade more frequently high-volatility ...
ACCA F9 Workbook Questions 1
... 2. There are ongoing costs of listing compliance. 3. Control by the current owners will be increased. 4. Listing may well lower the cost of equity of the firm as investors will see it as a safer investment and thus accept a lower return. A. 1 and 2 B. 2 and 4 C. 3 and 4 D. 1 and 4 ...
... 2. There are ongoing costs of listing compliance. 3. Control by the current owners will be increased. 4. Listing may well lower the cost of equity of the firm as investors will see it as a safer investment and thus accept a lower return. A. 1 and 2 B. 2 and 4 C. 3 and 4 D. 1 and 4 ...
1 - University of Mauritius
... Drew and Veeraghavan (2002) present evidence of the size and value premium for the case of the Malaysia. They report that the factors identified by FF explain the variation in stock returns in Malaysia and are not sample specific. The analysis was restricted to firms with available returns data from ...
... Drew and Veeraghavan (2002) present evidence of the size and value premium for the case of the Malaysia. They report that the factors identified by FF explain the variation in stock returns in Malaysia and are not sample specific. The analysis was restricted to firms with available returns data from ...
EVA VERSUS TRADITIONAL ACCOUNTING MEASURES OF
... projected capital projects. The MVA is calculated at a given moment, but, in order to assess performance over time, the difference or change in MVA from one date to another can be determined to see whether value has been created or destroyed. Company creates value when MVA >0, that is when the marke ...
... projected capital projects. The MVA is calculated at a given moment, but, in order to assess performance over time, the difference or change in MVA from one date to another can be determined to see whether value has been created or destroyed. Company creates value when MVA >0, that is when the marke ...
Capital Flow Waves - National Bureau of Economic Research
... ignored and changes in net inflows could be interpreted as being driven by changes in foreign flows. More recently, however, as the size and volatility of gross flows have increased while net capital flows have been more stable, the differentiation between gross inflows and gross outflows has become ...
... ignored and changes in net inflows could be interpreted as being driven by changes in foreign flows. More recently, however, as the size and volatility of gross flows have increased while net capital flows have been more stable, the differentiation between gross inflows and gross outflows has become ...
Dividend Policy, Strategy and Analysis
... many of them insist on buying businesses that are inferior to what they already own and know, buying good ones at excessive prices, or buying ones outside the area of their experience and expertise.3 Far better to have paid dividends. How much should companies pay out as dividends, as against what t ...
... many of them insist on buying businesses that are inferior to what they already own and know, buying good ones at excessive prices, or buying ones outside the area of their experience and expertise.3 Far better to have paid dividends. How much should companies pay out as dividends, as against what t ...
Client Investing Guide
... For BPS clients, we can offer an execution-only service as a separate facility. This involves opening a separate account that can be used to buy or sell investments based solely on the client’s instructions, thereby ensuring that investments over which we hold no discretion remain distinct from inve ...
... For BPS clients, we can offer an execution-only service as a separate facility. This involves opening a separate account that can be used to buy or sell investments based solely on the client’s instructions, thereby ensuring that investments over which we hold no discretion remain distinct from inve ...
WP SES
... Lim and Brooks (2011)). In addition, even if a short-term trend is discovered, benefitting from it might be difficult. Indeed, the trend might already be over once it has been identified. A second disadvantage is that these trading strategies induce heavy trading activities. Thus, transaction costs ...
... Lim and Brooks (2011)). In addition, even if a short-term trend is discovered, benefitting from it might be difficult. Indeed, the trend might already be over once it has been identified. A second disadvantage is that these trading strategies induce heavy trading activities. Thus, transaction costs ...
The Base Rate Book - research-and-analytics.csfb.com.
... price and the results that will ultimately be revealed. A useful analogy is pari-mutuel betting in horse racing. The odds provide the probability that a horse will win (implied performance) and the running of the race determines the outcome (actual performance). The goal is not to pick the winner of ...
... price and the results that will ultimately be revealed. A useful analogy is pari-mutuel betting in horse racing. The odds provide the probability that a horse will win (implied performance) and the running of the race determines the outcome (actual performance). The goal is not to pick the winner of ...
LEVERAGE, HEDGE FUNDS AND RISK
... Using the notional value of the derivative can be misleading and may not fully capture the risk of the derivative, particularly when selling an option (as opposed to buying one), because the worst case loss on such a trade can be large and the payoff profile asymmetric. For example, if one sells cre ...
... Using the notional value of the derivative can be misleading and may not fully capture the risk of the derivative, particularly when selling an option (as opposed to buying one), because the worst case loss on such a trade can be large and the payoff profile asymmetric. For example, if one sells cre ...
Investment Portfolio Review - Christian Brothers Investment Services
... Global equities extended the year-end Trump rally with fresh support coming from hints of improving European economic conditions, apparent stability in China and a general sense the global economy has shrugged off the deflation threat that spooked markets last year. Analysts also viewed March’s Dutc ...
... Global equities extended the year-end Trump rally with fresh support coming from hints of improving European economic conditions, apparent stability in China and a general sense the global economy has shrugged off the deflation threat that spooked markets last year. Analysts also viewed March’s Dutc ...
Comovement and Predictability Relationships Between
... linked to some stocks than others. They involve cash flows, risk-based required returns, and flights to quality or investor sentiment. These have all been suggested and studied before but not in the cross-sectional context, which provides some additional power to assess their relevance. We believe t ...
... linked to some stocks than others. They involve cash flows, risk-based required returns, and flights to quality or investor sentiment. These have all been suggested and studied before but not in the cross-sectional context, which provides some additional power to assess their relevance. We believe t ...
QUESTIONS
... (retained earnings) and a credit to one or more other shareholders’ equity accounts (common stock dividend distributable and paid-in capital in excess of par) for the fair value of the stock. Consequently, the declaration has no effect on total shareholders’ equity because the entry merely entails a ...
... (retained earnings) and a credit to one or more other shareholders’ equity accounts (common stock dividend distributable and paid-in capital in excess of par) for the fair value of the stock. Consequently, the declaration has no effect on total shareholders’ equity because the entry merely entails a ...