The Leverage Rotation Strategy
... time as well as volatility regimes under which leverage is more or less beneficial. As such, one can combine these two concepts to create a strategy that employs the use of leverage only during periods which have a higher probability of success. In doing so, one can achieve higher returns with less ...
... time as well as volatility regimes under which leverage is more or less beneficial. As such, one can combine these two concepts to create a strategy that employs the use of leverage only during periods which have a higher probability of success. In doing so, one can achieve higher returns with less ...
The Information Content of Options Trading
... We, on the other hand, have obtained a unique dataset with detailed information on all transaction records within the TAIEX options market, which enables us to identify the different classes of investors. Thus, in contrast to Chan et al. (2005, 2006) and Pan and Poteshman (2006), we are able to iden ...
... We, on the other hand, have obtained a unique dataset with detailed information on all transaction records within the TAIEX options market, which enables us to identify the different classes of investors. Thus, in contrast to Chan et al. (2005, 2006) and Pan and Poteshman (2006), we are able to iden ...
Default Option Exercise over the Financial Crisis and Beyond
... find that borrower default propensities are sensitive to measures of consumer sentiment, where our sentiment measure is orthogonalized to indicators of economic activity.3 We also find a structural break in mortgage default behavior in 2009. As shown in Figures 3, 4, and Table 9, not only does borr ...
... find that borrower default propensities are sensitive to measures of consumer sentiment, where our sentiment measure is orthogonalized to indicators of economic activity.3 We also find a structural break in mortgage default behavior in 2009. As shown in Figures 3, 4, and Table 9, not only does borr ...
Tail Risk Hedging: A Roadmap for Asset Owners
... hedging desired. Is the hedge to be placed at the single instrument level (e.g., too much Microsoft exposure), theme/sector level (e.g., too much exposure to tech), asset class level (e.g., too much Beta to S&P 500), or portfolio level (e.g., too much exposu ...
... hedging desired. Is the hedge to be placed at the single instrument level (e.g., too much Microsoft exposure), theme/sector level (e.g., too much exposure to tech), asset class level (e.g., too much Beta to S&P 500), or portfolio level (e.g., too much exposu ...
A Critique of Overreaction Effect in the Global Stock Markets over the
... A Critique of Overreaction Effect in the Global Stock Markets over the past three decades extreme low return securities. Empirical results of the study shows that on an average the loser portfolio outperformed the market by 19.6% and winner underperform the market by 5%. Hence the average cumulativ ...
... A Critique of Overreaction Effect in the Global Stock Markets over the past three decades extreme low return securities. Empirical results of the study shows that on an average the loser portfolio outperformed the market by 19.6% and winner underperform the market by 5%. Hence the average cumulativ ...
Unleashing the Potential of US Foundation Endowments
... invested for the long term. Foundations are distinguished from many other institutional investors, however, by their explicit philanthropic missions. Since their emergence in the 19th century, foundations have dedicated their resources to some of the most difficult social and environmental problems ...
... invested for the long term. Foundations are distinguished from many other institutional investors, however, by their explicit philanthropic missions. Since their emergence in the 19th century, foundations have dedicated their resources to some of the most difficult social and environmental problems ...
TRMCX TRMIX TAMVX RRMVX Mid-Cap Value Fund Investor Class
... T. Rowe Price has established an Investment Advisory Committee with respect to the fund. The committee chairman has day-to-day responsibility for managing the fund’s portfolio and works with the committee in developing and executing the fund’s investment program. The members of the committee are as ...
... T. Rowe Price has established an Investment Advisory Committee with respect to the fund. The committee chairman has day-to-day responsibility for managing the fund’s portfolio and works with the committee in developing and executing the fund’s investment program. The members of the committee are as ...
Drivers for Growth Through 2020
... investors are primary contributors to the steady growth in ETF demand, and over the last five years Greenwich Associates has conducted studies in the U.S., Europe, Asia, and Canada to identify the key trends behind their increasing ETF adoption. In this paper we take a long-term view and explore how ...
... investors are primary contributors to the steady growth in ETF demand, and over the last five years Greenwich Associates has conducted studies in the U.S., Europe, Asia, and Canada to identify the key trends behind their increasing ETF adoption. In this paper we take a long-term view and explore how ...
This PDF is a selection from a published volume from... Economic Research Volume Title: NBER Macroeconomics Annual 2007, Volume 22
... the project return needs to be higher than (or equal to) the oppor the agent eager (or tunity cost of running the project in order to make as the analogous to borrow and invest. constraint ...
... the project return needs to be higher than (or equal to) the oppor the agent eager (or tunity cost of running the project in order to make as the analogous to borrow and invest. constraint ...
Ethical Investment and Portfolio Theory
... of very large corporations—themselves decent individuals committed to a range of values—believed that it was unethical to consider issues other than shareholder value in their deliberations” (Sampford and Berry, [13]). According to Richardson [14], the “separation theorem” suggests the best way for ...
... of very large corporations—themselves decent individuals committed to a range of values—believed that it was unethical to consider issues other than shareholder value in their deliberations” (Sampford and Berry, [13]). According to Richardson [14], the “separation theorem” suggests the best way for ...
Market for Brands
... demand for trademarks has thus grown substantially. Mirroring this trend, “Markets for brands” - as defined in this paper - play an important but underappreciated economic role in today’s global economy. Trademarks and brands are increasingly the object of commercial transactions; they can be purcha ...
... demand for trademarks has thus grown substantially. Mirroring this trend, “Markets for brands” - as defined in this paper - play an important but underappreciated economic role in today’s global economy. Trademarks and brands are increasingly the object of commercial transactions; they can be purcha ...
comisión nacional del mercado de valores - madrid
... 2.4. KPN’s Commitments. KPN acknowledges it is in the interests of KPN and Telefónica to execute any sale of the Telefónica Swap Shares in an orderly manner. 2.4.1 KPN commits: a) Not to Sell any Telefónica Swap Shares in any private transaction to any entity which to the best knowledge of KPN is a ...
... 2.4. KPN’s Commitments. KPN acknowledges it is in the interests of KPN and Telefónica to execute any sale of the Telefónica Swap Shares in an orderly manner. 2.4.1 KPN commits: a) Not to Sell any Telefónica Swap Shares in any private transaction to any entity which to the best knowledge of KPN is a ...
Answers to Concepts Review and Critical Thinking Questions
... funding, so the EFN will decline. Conversely, as the retention ratio is decreased, the EFN will rise. If the firm pays out all its earnings in the form of dividends, then the firm has no internal sources of funding (ignoring the effects of accounts payable); the internal growth rate is zero in this ...
... funding, so the EFN will decline. Conversely, as the retention ratio is decreased, the EFN will rise. If the firm pays out all its earnings in the form of dividends, then the firm has no internal sources of funding (ignoring the effects of accounts payable); the internal growth rate is zero in this ...
SMITH GROUP LARGE CAP CORE GROWTH FUND Institutional
... Fund’s portfolio turnover rate was 61% of the average value of its portfolio. Principal Investment Strategies Under normal market conditions, the Fund invests at least 80% of its net assets (plus any borrowings for investment purposes) in securities issued by large capitalization companies that the ...
... Fund’s portfolio turnover rate was 61% of the average value of its portfolio. Principal Investment Strategies Under normal market conditions, the Fund invests at least 80% of its net assets (plus any borrowings for investment purposes) in securities issued by large capitalization companies that the ...
Investment risks - Lecture 10: Asset allocation methods
... the allocation between the risky portfolio, and the riskless asset. Second, we determine the allocation between the assets that comprise the risky portfolio. 2. As every portfolio of the risky assets and the riskless asset has the same Sharpe ratio, there is not one optimal portfolio for all investo ...
... the allocation between the risky portfolio, and the riskless asset. Second, we determine the allocation between the assets that comprise the risky portfolio. 2. As every portfolio of the risky assets and the riskless asset has the same Sharpe ratio, there is not one optimal portfolio for all investo ...
Dynamic Factor Timing and the Predictability of Actively Managed
... and return data for all of the mutual funds in our sample, and define factor groupings along size, style, and industry dimensions. We find that, between 1993 and 2012, and for funds with at least 36 months of return data, the average gross alpha (defined as a fund’s gross returns minus the return of ...
... and return data for all of the mutual funds in our sample, and define factor groupings along size, style, and industry dimensions. We find that, between 1993 and 2012, and for funds with at least 36 months of return data, the average gross alpha (defined as a fund’s gross returns minus the return of ...
long-term portfolio guide - Responsible Investment Association
... portfolios and mutual funds, with particular focus on public equities. Investments in publicly-traded equities and bonds are the single biggest component in the collective portfolio of institutional investors and many public companies continue to exhibit excessive short-termism, which is often reinf ...
... portfolios and mutual funds, with particular focus on public equities. Investments in publicly-traded equities and bonds are the single biggest component in the collective portfolio of institutional investors and many public companies continue to exhibit excessive short-termism, which is often reinf ...
Capital Adequacy in Insurance / Reinsurance
... costly and imperfect information and spillovers. The primary rationale for insurance regulation is to improve efficiency by promoting safety and soundness and healthy competition in view of those problems. Costly/imperfect information and potential spillovers. Some form of solvency regulation is eff ...
... costly and imperfect information and spillovers. The primary rationale for insurance regulation is to improve efficiency by promoting safety and soundness and healthy competition in view of those problems. Costly/imperfect information and potential spillovers. Some form of solvency regulation is eff ...
chapter one - McGraw Hill Higher Education
... determine if a ‘hold’ recommendation mean that they should sell a stock, or if ‘accumulate’ means that they should buy.” His comments voiced the concern that analysts bias their reports to help their firms in equity offerings and other deals with business firms, rather than investors. At the same ti ...
... determine if a ‘hold’ recommendation mean that they should sell a stock, or if ‘accumulate’ means that they should buy.” His comments voiced the concern that analysts bias their reports to help their firms in equity offerings and other deals with business firms, rather than investors. At the same ti ...
Report REP 521 Further review of emerging market issuers
... acquire or sell their goods or services, or to raise capital. Listed entities with a strong connection to one or more emerging markets have been common in our capital markets for some time. As well as opportunities, these connections can present challenges for our markets, which could have an advers ...
... acquire or sell their goods or services, or to raise capital. Listed entities with a strong connection to one or more emerging markets have been common in our capital markets for some time. As well as opportunities, these connections can present challenges for our markets, which could have an advers ...
all in the family or public? law and appropriative costs as
... may have expertise that is indispensable to the functioning of the …rm. It is often the case that, even when outside shareholders acquire the majority of the …rm, the incumbent owner retains some prominent managerial position within the …rm. Typically, a …rm owner will have …rst hand knowledge of t ...
... may have expertise that is indispensable to the functioning of the …rm. It is often the case that, even when outside shareholders acquire the majority of the …rm, the incumbent owner retains some prominent managerial position within the …rm. Typically, a …rm owner will have …rst hand knowledge of t ...
Impartial Investing - University of Michigan Law School
... trusts, such as revocable inter vivos trusts, display many of the characteristics of fee simple property ownership on the part of settlors, whereas others, including irrevocable non-grantor trusts, may, and typically do, entail more arm’s-length relationships among settlors, trustees and beneficiari ...
... trusts, such as revocable inter vivos trusts, display many of the characteristics of fee simple property ownership on the part of settlors, whereas others, including irrevocable non-grantor trusts, may, and typically do, entail more arm’s-length relationships among settlors, trustees and beneficiari ...
Understanding and measuring finance for productive investment
... heavily dependent on bank funding or internal funds. The investment decisions of small firms, which account for around 30% of total business investment, are likely to be sensitive to their access to external finance. Surveys show that small firm access to finance remains an issue, but it now affects ...
... heavily dependent on bank funding or internal funds. The investment decisions of small firms, which account for around 30% of total business investment, are likely to be sensitive to their access to external finance. Surveys show that small firm access to finance remains an issue, but it now affects ...
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.