Chapter 27 The Theory of Active Portfolio Management
... D. indexing is always optimal. E. the objective of security analysis is to form an active portfolio of a limited number of mispriced securities; the cost of less than full diversification comes from the nonsystematic risk of the mispriced stock; and the optimal weight of a mispriced security in the ...
... D. indexing is always optimal. E. the objective of security analysis is to form an active portfolio of a limited number of mispriced securities; the cost of less than full diversification comes from the nonsystematic risk of the mispriced stock; and the optimal weight of a mispriced security in the ...
Capital Flows to Developing Countries: The Allocation Puzzle
... growth countries should borrow abroad against future income to finance a higher level of consumption (Carroll and Summers (1991), Carroll and Weil (1994)). Starting with Feldstein and Horioka (1980), the literature has also established a strongly positive correlation between savings and investment, ...
... growth countries should borrow abroad against future income to finance a higher level of consumption (Carroll and Summers (1991), Carroll and Weil (1994)). Starting with Feldstein and Horioka (1980), the literature has also established a strongly positive correlation between savings and investment, ...
Pseudo Market Timing and the Long-Run Underperformance of IPOs
... assumptions. First, it is assumed that at higher levels of stock prices, more firms will go public. Second, it is assumed that excess returns of IPOs are positively correlated cross-sectionally. Other simplifying assumptions are unimportant. The results are unchanged if more than two periods are con ...
... assumptions. First, it is assumed that at higher levels of stock prices, more firms will go public. Second, it is assumed that excess returns of IPOs are positively correlated cross-sectionally. Other simplifying assumptions are unimportant. The results are unchanged if more than two periods are con ...
EVA VERSUS TRADITIONAL ACCOUNTING MEASURES OF
... have been shown to have a relatively low correlation with the above accounting measures. His research showed that the correlation for the relationship between MVA and various independent variables ranged from 9% for turnover growth to 25% for ROE rates. By comparison, the correlation for EVA relativ ...
... have been shown to have a relatively low correlation with the above accounting measures. His research showed that the correlation for the relationship between MVA and various independent variables ranged from 9% for turnover growth to 25% for ROE rates. By comparison, the correlation for EVA relativ ...
The High-Volume Return Premium - North American Business Press
... time period. Compared to stock with average trading volumes, the extreme high (low) trading volume stocks usually outperform (underperform) others in the subsequent test period. The expected result is that the average cumulative returns for high trading volume (low trading volume) stocks are greater ...
... time period. Compared to stock with average trading volumes, the extreme high (low) trading volume stocks usually outperform (underperform) others in the subsequent test period. The expected result is that the average cumulative returns for high trading volume (low trading volume) stocks are greater ...
High frequency trading: assessing the impact on market
... in agency trading to achieve particular outcomes such as stealthily capturing liquidity, engaging in block trading in a manner that minimises information leakage, or simply minimising implementation shortfall, HFT is specific to proprietary traders. 6 It is characterised by rapid order submissions a ...
... in agency trading to achieve particular outcomes such as stealthily capturing liquidity, engaging in block trading in a manner that minimises information leakage, or simply minimising implementation shortfall, HFT is specific to proprietary traders. 6 It is characterised by rapid order submissions a ...
Corporate Securities Fraud: An Economic Analysis
... tend to overinvest in the sense that they would undertake some negative NPV projects that destroy shareholder value. In particular, fraud can induce a managerial preference for risky (in terms of high return volatility) or uncorrelated projects (uncorrelated with the cash flow from existing assets), ...
... tend to overinvest in the sense that they would undertake some negative NPV projects that destroy shareholder value. In particular, fraud can induce a managerial preference for risky (in terms of high return volatility) or uncorrelated projects (uncorrelated with the cash flow from existing assets), ...
How expensive are cost savings?
... infrastructure. The paper offers many interesting insights; we sketch three of them here. While public investment has been on a downtrend in many pre-enlargement EU countries, public capital stocks have continued to grow in most of them, which suggests that infrastructure assets are not being eroded ...
... infrastructure. The paper offers many interesting insights; we sketch three of them here. While public investment has been on a downtrend in many pre-enlargement EU countries, public capital stocks have continued to grow in most of them, which suggests that infrastructure assets are not being eroded ...
Real Estate Market Risk in Bank Stock Returns: Evidence for 15
... sector. The first condition can be easily verified through analysis of the annual reports of banks. The second condition, concerning the systematic influence of the real estate conditions on bank valuations, as a function of bank asset exposure, is analyzed below. ...
... sector. The first condition can be easily verified through analysis of the annual reports of banks. The second condition, concerning the systematic influence of the real estate conditions on bank valuations, as a function of bank asset exposure, is analyzed below. ...
Market Discipline and Internal Governance in the Mutual Fund Industry
... In our model, the portfolio manager may have some stock picking ability that generates an expected rate of abnormal return by taking idiosyncratic risks. However, active portfolio management exhibits a diseconomy of scale, as introduced by Berk and Green (2004). Furthermore, the manager’s ability to ...
... In our model, the portfolio manager may have some stock picking ability that generates an expected rate of abnormal return by taking idiosyncratic risks. However, active portfolio management exhibits a diseconomy of scale, as introduced by Berk and Green (2004). Furthermore, the manager’s ability to ...
Follow the money - Bretton Woods Project
... investments in FIs in terms of location, size and financial instrument; 2 Consider the development impact of investment in FIs, given that the IFC’s mandate is to reduce poverty; 3 Discuss ways forward for civil society given the increasing focus on the financial sector from a range of institution ...
... investments in FIs in terms of location, size and financial instrument; 2 Consider the development impact of investment in FIs, given that the IFC’s mandate is to reduce poverty; 3 Discuss ways forward for civil society given the increasing focus on the financial sector from a range of institution ...
Evaluation of Active Management of the Norwegian Government
... that, in a large, active marketplace for publicly traded securities, vigorous competition among scores of investors will drive speculative profits to zero. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser’s game. Hence ...
... that, in a large, active marketplace for publicly traded securities, vigorous competition among scores of investors will drive speculative profits to zero. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser’s game. Hence ...
General Money Market Funds
... financial support to the fund at any time. The following are the principal risks that could reduce the fund's income level and/or share price: • Interest rate risk. This risk refers to the decline in the prices of fixed-income securities that may accompany a rise in the overall level of interest ra ...
... financial support to the fund at any time. The following are the principal risks that could reduce the fund's income level and/or share price: • Interest rate risk. This risk refers to the decline in the prices of fixed-income securities that may accompany a rise in the overall level of interest ra ...
Download paper (PDF)
... estimated decrease in discount (04 percentage points) can be directly attributed to the anticipation of a takeover in the following year. The remainder could result from other factors, such as the technology-driven synergies mentioned above or anticipation of takeovers in future years. Our finding ...
... estimated decrease in discount (04 percentage points) can be directly attributed to the anticipation of a takeover in the following year. The remainder could result from other factors, such as the technology-driven synergies mentioned above or anticipation of takeovers in future years. Our finding ...
Xerox Corporation
... When valuing a firm it is critical to look at the ratio’s used by common analysts to understand the inner workings of the company. These ratios consist of liquidity, profitability, and capital structure. It is also important to forecast the financial statements out a significant amount of years or 1 ...
... When valuing a firm it is critical to look at the ratio’s used by common analysts to understand the inner workings of the company. These ratios consist of liquidity, profitability, and capital structure. It is also important to forecast the financial statements out a significant amount of years or 1 ...
the relationship betweeen financial leverage and
... This study sought to establish the relationship between financial leverage and profitability of firms listed at the Nairobi Securities Exchange. To achieve this objective a descriptive research design was used. The study considered firms that have been listed on the NSE for the past five years and u ...
... This study sought to establish the relationship between financial leverage and profitability of firms listed at the Nairobi Securities Exchange. To achieve this objective a descriptive research design was used. The study considered firms that have been listed on the NSE for the past five years and u ...
Strategy Spotlight: Considerations in volatility
... speed of time decay for options or the magnitude of the term structure roll-down, which is typically highest for closest-to-maturity instruments. Strike selection (if applicable) – such as a predefined strike based on option moneyness, or delta. This selection depends greatly on the trader’s skill ...
... speed of time decay for options or the magnitude of the term structure roll-down, which is typically highest for closest-to-maturity instruments. Strike selection (if applicable) – such as a predefined strike based on option moneyness, or delta. This selection depends greatly on the trader’s skill ...
Time and Risk Diversification in Real Estate Investments: the Ex
... Institutional investors diversify their portfolios by investing in public real estate. This practice is supported by empirical studies indicating that the risk return trade-off improves. However, such evidence mostly refers to in-sample evaluation of portfolio performance, which assumes that portfol ...
... Institutional investors diversify their portfolios by investing in public real estate. This practice is supported by empirical studies indicating that the risk return trade-off improves. However, such evidence mostly refers to in-sample evaluation of portfolio performance, which assumes that portfol ...
2017 prospectus
... may invest up to 10% of its assets in certain futures, options and swap contracts, cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates (“BlackRock Cash Funds”), as well as in securities not included in the Underlying Index, but which BFA believes will h ...
... may invest up to 10% of its assets in certain futures, options and swap contracts, cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates (“BlackRock Cash Funds”), as well as in securities not included in the Underlying Index, but which BFA believes will h ...
Word - corporate
... materially differ from the results expressed or implied by such statements. Given these uncertainties, readers are cautioned not to place undue reliance on such forward-looking statements. Unless otherwise required by law, KCG also disclaims any obligation to update its view of any such risks or unc ...
... materially differ from the results expressed or implied by such statements. Given these uncertainties, readers are cautioned not to place undue reliance on such forward-looking statements. Unless otherwise required by law, KCG also disclaims any obligation to update its view of any such risks or unc ...
The Development of a European Capital Market
... 18. Analysis of net purchases of fixed-interest securities 19. Apparent and real yields of fixed-interest securities 20. Net domestic issues of medium- and long-term fixed-interest securities 21. Tap issues of medium- and long-term fixed-interest securities 22. Issues of variable-yield securities 23 ...
... 18. Analysis of net purchases of fixed-interest securities 19. Apparent and real yields of fixed-interest securities 20. Net domestic issues of medium- and long-term fixed-interest securities 21. Tap issues of medium- and long-term fixed-interest securities 22. Issues of variable-yield securities 23 ...
Trading Account: Items - IndiaStudyChannel.com
... to present correct figures to income tax, excise and other authorities. These accounts show how gainfully the resources of the business were employed. Management Accounting (June 00) Management accounting includes all those accounting services by means of which assistance is rendered to the manageme ...
... to present correct figures to income tax, excise and other authorities. These accounts show how gainfully the resources of the business were employed. Management Accounting (June 00) Management accounting includes all those accounting services by means of which assistance is rendered to the manageme ...
Investigating Stock Market Indices of India - Empirical Analysis
... 1999 to 2002 and found that they failed to generate any excess returns over three month T-bill. Also, return and risk of Islamic index was found to be less than Wilshire 5000. Thereafter, Hussein (2005) found that Financial Time Stock Exchange (FTSE) Global Islamic index and Dow Jones Islamic Market ...
... 1999 to 2002 and found that they failed to generate any excess returns over three month T-bill. Also, return and risk of Islamic index was found to be less than Wilshire 5000. Thereafter, Hussein (2005) found that Financial Time Stock Exchange (FTSE) Global Islamic index and Dow Jones Islamic Market ...
Private equity secondary market
In finance, the private equity secondary market (also often called private equity secondaries or secondaries) refers to the buying and selling of pre-existing investor commitments to private equity and other alternative investment funds. Given the absence of established trading markets for these interests, the transfer of interests in private equity funds as well as hedge funds can be more complex and labor-intensive.Sellers of private equity investments sell not only the investments in the fund but also their remaining unfunded commitments to the funds. By its nature, the private equity asset class is illiquid, intended to be a long-term investment for buy-and-hold investors, including ""pension funds, endowments and wealthy families selling off their private equity funds before the pools have sold off all their assets."" For the vast majority of private equity investments, there is no listed public market; however, there is a robust and maturing secondary market available for sellers of private equity assets.Buyers seek to acquire private equity interests in the secondary market for multiple reasons. For example, the duration of the investment may be much shorter than an investment in the private equity fund initially. Likewise, the buyer may be able to acquire these interests at an attractive price. Finally, the buyer can evaluate the fund's holdings before deciding to purchase an interest in the fund. Conversely, sellers may seek to sell interest for various reasons, including the need to raise capital, the desire to avoid future capital calls, the need to reduce an over-allocation to the asset class or for regulatory reasons.Driven by strong demand for private equity exposure over the past decade, a significant amount of capital has been committed to secondary market funds from investors looking to increase and diversify their private equity exposure.