Application of CAPM in Measuring Risk and Return for Selected Markets of Iran’s Economy
... To date, various studies have been done to describe the relationship between risk and expected return of stock market in Iran and other countries. These studies mostly considered stocks of one company, the stocks combination of some companies, specific assets, or the market indexes. They mainly atte ...
... To date, various studies have been done to describe the relationship between risk and expected return of stock market in Iran and other countries. These studies mostly considered stocks of one company, the stocks combination of some companies, specific assets, or the market indexes. They mainly atte ...
Demystifying Time-Series Momentum Strategies: Volatility
... is typically the nearest-to-delivery (“front”) contract up until a few days/weeks before delivery, when the second-to-delivery (“first-back”) contract becomes the most liquid one and a rollover takes place. An important issue for the construction of continuous price series of a futures contract is t ...
... is typically the nearest-to-delivery (“front”) contract up until a few days/weeks before delivery, when the second-to-delivery (“first-back”) contract becomes the most liquid one and a rollover takes place. An important issue for the construction of continuous price series of a futures contract is t ...
The Month of the Year Effect on Dhaka Stock Exchange
... studied 40 years of daily returns for Dow-Jones and other USA indices and sustained Fields’ conclusions. French [26] continued this direction of research and was the first author to employ statistical methods in order to test for the existence of the calendar effects. Ariss et al. [27] examined the ...
... studied 40 years of daily returns for Dow-Jones and other USA indices and sustained Fields’ conclusions. French [26] continued this direction of research and was the first author to employ statistical methods in order to test for the existence of the calendar effects. Ariss et al. [27] examined the ...
Dividend Increase Announcements and Stock Market Reaction
... There are investors who prefer receiving cash dividend payments rather than capital gains for some reasons. One of these reasons is that if the investors are risk averse. They prefer cash dividends because they believe that cash dividends are less risky than capital gains. Another reason is that for ...
... There are investors who prefer receiving cash dividend payments rather than capital gains for some reasons. One of these reasons is that if the investors are risk averse. They prefer cash dividends because they believe that cash dividends are less risky than capital gains. Another reason is that for ...
An Overview of Investor Sentiment in Stock Market
... Baker and Wurgler’s (2006) sentiment index uses size, profitability, volatility, NYSE turnover, the IPO’s average first-day returns and other measures to predict stock portfolio returns. Baker and Wurgler (2007) examine companies that are particularly sensitive to investment sentiment such as young, ...
... Baker and Wurgler’s (2006) sentiment index uses size, profitability, volatility, NYSE turnover, the IPO’s average first-day returns and other measures to predict stock portfolio returns. Baker and Wurgler (2007) examine companies that are particularly sensitive to investment sentiment such as young, ...
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... created new class of stock (GME), linked to EDS profits, and less strongly linked to the auto business the NYSE considered delisting GM for having multiple classes of stock ...
... created new class of stock (GME), linked to EDS profits, and less strongly linked to the auto business the NYSE considered delisting GM for having multiple classes of stock ...
Working Paper Series Short Selling Regulation
... We begin with some general remarks that apply independent of the specific institutional or legal context. Short selling may be defined as the practice of selling a security the seller does not own at the time of the sale.3 The seller goes short with the attempt to later repurchase the security at a ...
... We begin with some general remarks that apply independent of the specific institutional or legal context. Short selling may be defined as the practice of selling a security the seller does not own at the time of the sale.3 The seller goes short with the attempt to later repurchase the security at a ...
stock market overreaction and trading volume
... than high-volume stocks. Using Malaysian stock market data, Hameed and Ting (2000) examined short-term contrarian returns and trading volume. The sample consisted of stocks listed on the Kuala Lumpur Stock Exchange from January 1977 to December 1996. For the holding period of 1 week, low volume port ...
... than high-volume stocks. Using Malaysian stock market data, Hameed and Ting (2000) examined short-term contrarian returns and trading volume. The sample consisted of stocks listed on the Kuala Lumpur Stock Exchange from January 1977 to December 1996. For the holding period of 1 week, low volume port ...
The Implications Of IEX`s 350 Microsecond Delay For Investors
... Economics, modeled the impact of a 350 microsecond speedbump on market participants The Study • Professor Jones's research sought to quantify the possible impact of selectively applying a 350 microsecond speed bump to certain order types • To do this, Jones evaluated how often the National Best Bid ...
... Economics, modeled the impact of a 350 microsecond speedbump on market participants The Study • Professor Jones's research sought to quantify the possible impact of selectively applying a 350 microsecond speed bump to certain order types • To do this, Jones evaluated how often the National Best Bid ...
Trading Is Hazardous to Your Wealth: The Common Stock
... where Pdcls and Pdclb are the reported closing prices from the Center for Research in Security Prices ~CRSP! daily stock return files on the day of a sale and purchase, respectively, and Pdss and Pdbb are the actual sale price and purchase price from our account database.5 Our estimate of the bid-as ...
... where Pdcls and Pdclb are the reported closing prices from the Center for Research in Security Prices ~CRSP! daily stock return files on the day of a sale and purchase, respectively, and Pdss and Pdbb are the actual sale price and purchase price from our account database.5 Our estimate of the bid-as ...
Pricing and Hedging Mandatory Convertible Bonds
... where St is the market price of the underlying asset at time t, qt the continuously compounded annual dividend yield at time t, σ t the volatility for the underlying asset at time t, and φ (.) is the standard normal cumulative distribution function. ...
... where St is the market price of the underlying asset at time t, qt the continuously compounded annual dividend yield at time t, σ t the volatility for the underlying asset at time t, and φ (.) is the standard normal cumulative distribution function. ...
Time-Varying Arrival Rates of Informed and Uninformed Trades
... can infer new information regarding the value of the asset from the composition and existence of trades. Thus, market parameters such as volume, volatility, market depth, and liquidity are all linked in the sense that each is influenced by the underlying order arrival processes. In this paper, we pro ...
... can infer new information regarding the value of the asset from the composition and existence of trades. Thus, market parameters such as volume, volatility, market depth, and liquidity are all linked in the sense that each is influenced by the underlying order arrival processes. In this paper, we pro ...
Interacting Limit Order Demand and Supply Curves
... product markets, demand elasticity depends on factors such as consumer preferences; while supply elasticity depends on factors such as production technologies and market power. In contrast, at least in the short-run, stock markets resemble a pure exchange economy: buyers become sellers and vice-vers ...
... product markets, demand elasticity depends on factors such as consumer preferences; while supply elasticity depends on factors such as production technologies and market power. In contrast, at least in the short-run, stock markets resemble a pure exchange economy: buyers become sellers and vice-vers ...
Visual Quantitative Finance: A New Look at
... of new funds have grown rapidly, with much of the activity focused on structured securities. Structured securities, ranging from simple covered call strategies to complex institutional hedges, are proving to be more effective than traditional securities at tailoring risk-reward profiles and generati ...
... of new funds have grown rapidly, with much of the activity focused on structured securities. Structured securities, ranging from simple covered call strategies to complex institutional hedges, are proving to be more effective than traditional securities at tailoring risk-reward profiles and generati ...
Bloomberg Briefs - Parallax Financial Research
... 1) Bollinger Band readings focus on price relative to one and two standard deviations from the mean. 2) RSI readings use a traditional 14period look back and a faster nine-period input. 3) Stochastics readings include both the % D and % DS lines. As the Canadian dollar weakened against the U.S ...
... 1) Bollinger Band readings focus on price relative to one and two standard deviations from the mean. 2) RSI readings use a traditional 14period look back and a faster nine-period input. 3) Stochastics readings include both the % D and % DS lines. As the Canadian dollar weakened against the U.S ...
Portfolio rebalancing is the process of bringing the different asset
... downward from the target value of 1 by 10%. So the first action point will be either at 1.10 or at 0.90. The adjustment is made so the two portfolios should be equal. ...
... downward from the target value of 1 by 10%. So the first action point will be either at 1.10 or at 0.90. The adjustment is made so the two portfolios should be equal. ...
10 things everyone should know about smart beta strategies
... Our research has shown that there is a great deal of variability within the strategic beta universe. Equal-weight is very different from low volatility, which in turn is very different from Fundamental Index strategies. Because there are significant differences in the weighting and construction meth ...
... Our research has shown that there is a great deal of variability within the strategic beta universe. Equal-weight is very different from low volatility, which in turn is very different from Fundamental Index strategies. Because there are significant differences in the weighting and construction meth ...
Market liquidity and volume around earnings
... be thought of as market experts who follow a firm closely (e.g., large shareholders, financial analysts, managers at competing firms). Through their activities, price impounds opinions of a firm’s performance. In the absence of announcements there are no opportunities for traders capable of informed ...
... be thought of as market experts who follow a firm closely (e.g., large shareholders, financial analysts, managers at competing firms). Through their activities, price impounds opinions of a firm’s performance. In the absence of announcements there are no opportunities for traders capable of informed ...
An Overview of Return-Based and Asset
... factors are significant. This is not the case for the trend-following ABS factors. The stability of the coefficients (i.e., the betas) is tested “by running the regression backwards starting in December 2002, adding observations one month at a time.” This allows September 1998 and March 2000 to be i ...
... factors are significant. This is not the case for the trend-following ABS factors. The stability of the coefficients (i.e., the betas) is tested “by running the regression backwards starting in December 2002, adding observations one month at a time.” This allows September 1998 and March 2000 to be i ...
Economic Value of Stock Return Forecasts: An
... that enables capital to flow into and out of other countries, emerging markets have attracted both investors and academics. With the evidence of low correlations between emerging countries’ stock returns and developed countries’ stock returns, one can expect that participation in both markets would ...
... that enables capital to flow into and out of other countries, emerging markets have attracted both investors and academics. With the evidence of low correlations between emerging countries’ stock returns and developed countries’ stock returns, one can expect that participation in both markets would ...
pre-listing pricing efficiency and stock price reaction
... listing offers certain benefits to the firm. A firm seeks listing to improve liquidity for its stocks, to provide positive information about its future prospects and to enhance pricing efficiency for its stocks. Stock exchanges provide superior liquidity in that the cost of immediately trading liste ...
... listing offers certain benefits to the firm. A firm seeks listing to improve liquidity for its stocks, to provide positive information about its future prospects and to enhance pricing efficiency for its stocks. Stock exchanges provide superior liquidity in that the cost of immediately trading liste ...
Morning Briefing Global Economic Trading Calendar
... the highest levels seen since April 4, when the DJIA and S&P 500 posted life-time highs of 16,631.63 and 1897.28. The Nasdaq Composite closed up 21 pts at 4,148.338. ...
... the highest levels seen since April 4, when the DJIA and S&P 500 posted life-time highs of 16,631.63 and 1897.28. The Nasdaq Composite closed up 21 pts at 4,148.338. ...