Market Efficiency: A Theoretical Distinction and So What?
... assumes that the proceeds of a short sale can be used, without limit, to buy securities long. For example, the alternate CAPM assumes that an investor could deposit $1,000 with a broker, short $1,000,000 worth of Stock A, then use the proceeds and the original deposit to buy $1,001,000 of Stock B. T ...
... assumes that the proceeds of a short sale can be used, without limit, to buy securities long. For example, the alternate CAPM assumes that an investor could deposit $1,000 with a broker, short $1,000,000 worth of Stock A, then use the proceeds and the original deposit to buy $1,001,000 of Stock B. T ...
THREE ESSAYS ON INVESTMENTS AND CORPORATE
... securities, the second essay is a corporate finance article which empirically tests theories of what factors motivate executives to innovate, while the third essay is a corporate finance article which empirically tests theories of why returns are higher in firms with high organization capital invest ...
... securities, the second essay is a corporate finance article which empirically tests theories of what factors motivate executives to innovate, while the third essay is a corporate finance article which empirically tests theories of why returns are higher in firms with high organization capital invest ...
Analyst Recommendations, Mutual Fund Herding, and
... Mutual funds pay for sell-side analyst research through costly soft-dollar arrangements (e.g., Conrad, Johnson, and Wahal (2001)), indicating that they use this information as a major input in their investment processes. 5 While some large fund families, such as Fidelity, maintain large pools of buy ...
... Mutual funds pay for sell-side analyst research through costly soft-dollar arrangements (e.g., Conrad, Johnson, and Wahal (2001)), indicating that they use this information as a major input in their investment processes. 5 While some large fund families, such as Fidelity, maintain large pools of buy ...
Herding Behavior - Evidence from Portuguese Mutual Funds
... The growth of Portuguese mutual funds, over the last decade, has also been impressive: by the end of 2001, total assets in management by mutual funds amounted to 20 billion euros, 20% of GNP (12% of the Portuguese stock market capitalization) against less than 5% in 1990. Mutual funds are thus impor ...
... The growth of Portuguese mutual funds, over the last decade, has also been impressive: by the end of 2001, total assets in management by mutual funds amounted to 20 billion euros, 20% of GNP (12% of the Portuguese stock market capitalization) against less than 5% in 1990. Mutual funds are thus impor ...
Volatility: Implications for Value and Glamour Stocks
... and run away from markets when volatility is high. We set out to study the implications of high and low volatility regimes and their effect on value and glamour stock returns. Volatility can be considered a barometer of investor reaction. The market’s “fear gauge,” volatility reflects behavioral bia ...
... and run away from markets when volatility is high. We set out to study the implications of high and low volatility regimes and their effect on value and glamour stock returns. Volatility can be considered a barometer of investor reaction. The market’s “fear gauge,” volatility reflects behavioral bia ...
Difference of Stock Return Distributions and the Cross
... significant relation between the investors’ understanding about return distributions and the expected stock returns. To estimate investors’ difficulty in understanding distributions of stock returns, we measure the stability of a stock’s return distributions over the periods. If a distribution of st ...
... significant relation between the investors’ understanding about return distributions and the expected stock returns. To estimate investors’ difficulty in understanding distributions of stock returns, we measure the stability of a stock’s return distributions over the periods. If a distribution of st ...
Interest Rate Derivatives – Fixed Income Trading Strategies
... be systematized with respect to their maturity, issuer, terms of interest payment, credit rating and further categories. Fixed income securities feature a fixed coupon, and interest must be paid on the face value (nominal value). Depending on the terms, interest payments are usually made annually or ...
... be systematized with respect to their maturity, issuer, terms of interest payment, credit rating and further categories. Fixed income securities feature a fixed coupon, and interest must be paid on the face value (nominal value). Depending on the terms, interest payments are usually made annually or ...
ROYAL BANK OF CANADA
... Return is positive, Royal Bank of Canada will repay the principal amount at maturity plus pay a return equal to 1.5 (the “Multiplier”) times the Index Return, up to the Maximum Gain. If the Index Return is zero or negative, and the Index Ending Level is greater than or equal to the Trigger Level, Ro ...
... Return is positive, Royal Bank of Canada will repay the principal amount at maturity plus pay a return equal to 1.5 (the “Multiplier”) times the Index Return, up to the Maximum Gain. If the Index Return is zero or negative, and the Index Ending Level is greater than or equal to the Trigger Level, Ro ...
insider trading how jurisdictions regulate it report of the
... an inquiry into whether investors actually have an opportunity to make investment decisions taking such information into account. This inquiry is particularly relevant in jurisdictions that do not require issuers to follow any special procedure for making information public. In such a case, an “arti ...
... an inquiry into whether investors actually have an opportunity to make investment decisions taking such information into account. This inquiry is particularly relevant in jurisdictions that do not require issuers to follow any special procedure for making information public. In such a case, an “arti ...
volatility as an asset class
... The three main concepts of investing into volatility that we discussed are 1. To take a directional view on volatility in the short to medium term; 2. Volatility arbitrage to profit from the risk premium between implied and realised volatilities and 3. A portfolio mix of volatility and other asset c ...
... The three main concepts of investing into volatility that we discussed are 1. To take a directional view on volatility in the short to medium term; 2. Volatility arbitrage to profit from the risk premium between implied and realised volatilities and 3. A portfolio mix of volatility and other asset c ...
Commodity-Derivatives
... As the delivered price of physicals depends greatly upon the cost of transport, there is a demand to hedge freight rates. The Baltic Exchange in London a centre for arranging bulk shipping, produces indexes of bulk maritime shipping rates, but Euronext ceased trading a futures contract on the Baltic ...
... As the delivered price of physicals depends greatly upon the cost of transport, there is a demand to hedge freight rates. The Baltic Exchange in London a centre for arranging bulk shipping, produces indexes of bulk maritime shipping rates, but Euronext ceased trading a futures contract on the Baltic ...
- Columbia Business School
... each month, I extract the difference in investors’ aggregate response to the mutual funds based on their most recent quarterly equity share change. When the flows to the funds with equity share increases are greater than the flows to the funds with equity share decreases, the market return is expect ...
... each month, I extract the difference in investors’ aggregate response to the mutual funds based on their most recent quarterly equity share change. When the flows to the funds with equity share increases are greater than the flows to the funds with equity share decreases, the market return is expect ...
Competition and Cooperation among Exchanges
... such as Israel, India, and China have listed not only on the NYSE, but on various other American and European exchanges such as the NASDAQ and the London Stock Exchange (LSE). In addition to public companies seeking “dual listings,” some firms are choosing to go public for the first time on an overs ...
... such as Israel, India, and China have listed not only on the NYSE, but on various other American and European exchanges such as the NASDAQ and the London Stock Exchange (LSE). In addition to public companies seeking “dual listings,” some firms are choosing to go public for the first time on an overs ...
Do Retail Trades Move Markets? - Faculty Directory | Berkeley-Haas
... money into or out of the market at the same times as each other. Kumar and Lee find that the buy-sell imbalance of individual investors aggregated for all stocks is related to contemporaneous stock returns, especially for stocks potentially difficult to arbitrage. Our paper differs from these papers i ...
... money into or out of the market at the same times as each other. Kumar and Lee find that the buy-sell imbalance of individual investors aggregated for all stocks is related to contemporaneous stock returns, especially for stocks potentially difficult to arbitrage. Our paper differs from these papers i ...
Frequently Asked Questions about Exchange
... income securities, futures or any combination of two or more of these reference assets. Who issues ETNs? ETNs are issued by companies registered with the Securities and Exchange Commission (the “SEC”) that are bank holding companies or banks. What is the difference between a listed debt security ...
... income securities, futures or any combination of two or more of these reference assets. Who issues ETNs? ETNs are issued by companies registered with the Securities and Exchange Commission (the “SEC”) that are bank holding companies or banks. What is the difference between a listed debt security ...
Global Style Portfolios Based on Country Indices
... based on individual stocks could be used to study the performance of investment strategies based on country or industry indices. The evidence reported in Richards (1997), Asness, Liew and Stevens (1997), Moskowitz and Giblatt (1999), Bhorjaj and Swaminathan (2006), Balvers and Wu (2006), Blitz and v ...
... based on individual stocks could be used to study the performance of investment strategies based on country or industry indices. The evidence reported in Richards (1997), Asness, Liew and Stevens (1997), Moskowitz and Giblatt (1999), Bhorjaj and Swaminathan (2006), Balvers and Wu (2006), Blitz and v ...
Do Noise Traders Move Markets?
... be net buyers or net sellers of the same stocks; if, instead, noise traders buy and sell randomly, their trades tend to cancel, rather than reinforce, each other. Third, there must be limits to the ability of rational, well-informed investors to correct mispricing through arbitrage. If these conditi ...
... be net buyers or net sellers of the same stocks; if, instead, noise traders buy and sell randomly, their trades tend to cancel, rather than reinforce, each other. Third, there must be limits to the ability of rational, well-informed investors to correct mispricing through arbitrage. If these conditi ...
When Does Information Asymmetry Affect the Cost of
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
... In this paper we explore further this possibility by introducing a proxy for the level of competition in a firm’s shares. While financial market competition is a well accepted economic concept, it has no natural proxy in market data. This problem notwithstanding, we use the number of investors in a ...
Presentation GMO Low Volatility Fundamentals
... Three routes to the permanent impairment of capital: ...
... Three routes to the permanent impairment of capital: ...
Demand-Based Option Pricing
... between the implied volatilities of low-moneyness options and at-the-money (ATM) options, is positively related to the skew of option demand. Another option-pricing puzzle is the significant difference between indexoption prices and the prices of single-stock options, despite the relative similarity ...
... between the implied volatilities of low-moneyness options and at-the-money (ATM) options, is positively related to the skew of option demand. Another option-pricing puzzle is the significant difference between indexoption prices and the prices of single-stock options, despite the relative similarity ...
Active CDS Trading and Managers` Voluntary Disclosure
... sample constructed using the propensity score matching methodology (PSM) and continue to find a significant effect of liquid CDSs on management forecast disclosure. We also employ an instrumental variables (IV) approach. Our instruments capture bond investors’ hedging and speculative demand in the C ...
... sample constructed using the propensity score matching methodology (PSM) and continue to find a significant effect of liquid CDSs on management forecast disclosure. We also employ an instrumental variables (IV) approach. Our instruments capture bond investors’ hedging and speculative demand in the C ...
Global Financial Systems Chapter 4 Liquidity
... recovers after being driven away from intrinsic value by uninformative shocks • Immediacy, the time it takes to find a counterparty, ...
... recovers after being driven away from intrinsic value by uninformative shocks • Immediacy, the time it takes to find a counterparty, ...
Dealing With High Volatility “Low Volatility Folios”
... The Low Volatility ETF Folio generated an average return of 5.9% per year over the four years through 2007, as compared to a benchmark of an S&P500 fund and fixedincome funds, which averaged 5% per year in return over this same period, with slightly higher risk. It may be possible to improve the per ...
... The Low Volatility ETF Folio generated an average return of 5.9% per year over the four years through 2007, as compared to a benchmark of an S&P500 fund and fixedincome funds, which averaged 5% per year in return over this same period, with slightly higher risk. It may be possible to improve the per ...
4 P : F ,
... Bowl ticket, you get a ticket. If you are person number 40,001 in line, you don’t. Such a method discriminates against those who can’t get in line quickly enough. What about slow walkers or people with disabilities? What about people without cars who can’t drive to where the tickets are distributed? ...
... Bowl ticket, you get a ticket. If you are person number 40,001 in line, you don’t. Such a method discriminates against those who can’t get in line quickly enough. What about slow walkers or people with disabilities? What about people without cars who can’t drive to where the tickets are distributed? ...