... trading volume, or product selection. In the case of a positive sentiment, Chau et al. (2011) finds that there is significant positive feedback trading in the U.S. ETF markets, and the intensity of which tends to increase when investors are optimistic consistent with the view that the market is less ...
Navn på forfattere
... The focus in academic literature on the commodity futures markets has primarily been on relationships between spot and futures contract, and the relationship between futures contracts with different time to maturity. Research into other types of futures spreads, such as spreads between markets in th ...
... The focus in academic literature on the commodity futures markets has primarily been on relationships between spot and futures contract, and the relationship between futures contracts with different time to maturity. Research into other types of futures spreads, such as spreads between markets in th ...
Rede ning Financial Constraints: a Text-Based
... investment and issuance policies manage their investment and issuance policies differently. Equity focused constrained firms (and, more so, private placement constrained firms) most severely curtail their R&D, capital expenditures, and equity issues following negative shocks. In contrast, debt focus ...
... investment and issuance policies manage their investment and issuance policies differently. Equity focused constrained firms (and, more so, private placement constrained firms) most severely curtail their R&D, capital expenditures, and equity issues following negative shocks. In contrast, debt focus ...
Financial planning model for the Armed Forces of
... educational assistance to military personnel and their qualified dependents. ...
... educational assistance to military personnel and their qualified dependents. ...
mid cap: the goldilocks asset class
... At Arnerich Massena, while we encourage investors to maintain broad asset classes in their policies to facilitate flexibility (i.e. specifying targets for an equity allocation, but not necessarily detailing large, mid, and small cap), we also see mid cap as a very important piece of the equity alloc ...
... At Arnerich Massena, while we encourage investors to maintain broad asset classes in their policies to facilitate flexibility (i.e. specifying targets for an equity allocation, but not necessarily detailing large, mid, and small cap), we also see mid cap as a very important piece of the equity alloc ...
Chapter 28 Investment Policy and the Framework of the CFA Institute
... Stephanie Watson is 23 years old and has accumulated $4,000 in her self-directed defined contribution pension plan. Each year she contributes $2,000 to the plan and her employer contributes an equal amount. Stephanie thinks she will retire at age 67 and figures she will live to age 81. The plan allo ...
... Stephanie Watson is 23 years old and has accumulated $4,000 in her self-directed defined contribution pension plan. Each year she contributes $2,000 to the plan and her employer contributes an equal amount. Stephanie thinks she will retire at age 67 and figures she will live to age 81. The plan allo ...
NTMA Annual Report 2014 - National Treasury Management Agency
... There has also been a welcome increase in the number of international institutional investors participating in the Irish market. Overall the NDFA is currently advising on 20 projects with a capital value in excess of €3.5 billion of which €650 million is being procured by the NDFA. ...
... There has also been a welcome increase in the number of international institutional investors participating in the Irish market. Overall the NDFA is currently advising on 20 projects with a capital value in excess of €3.5 billion of which €650 million is being procured by the NDFA. ...
Management Fee Evaluation
... response to requests of the Board and its independent legal counsel. The Board also received and reviewed information and analysis provided by, and in response to requests of, its independent fee consultant. The Board noted that as part of this annual process, the Board had considered and was in the ...
... response to requests of the Board and its independent legal counsel. The Board also received and reviewed information and analysis provided by, and in response to requests of, its independent fee consultant. The Board noted that as part of this annual process, the Board had considered and was in the ...
When uncertainty blows in the orchard comovement and equilibrium
... Prices of index and individual stock options differ in a number of important empirical dimensions. These differences and their time-series and cross-sectional properties presents an important challenge to modern asset pricing modelling. First, the absolute size of the typical volatility risk premium o ...
... Prices of index and individual stock options differ in a number of important empirical dimensions. These differences and their time-series and cross-sectional properties presents an important challenge to modern asset pricing modelling. First, the absolute size of the typical volatility risk premium o ...
Cowen Group, Inc. - Investor Overview
... Litigation Reform Act of 1995. In some cases, you can identify these statements by forward-looking terms such as “may,” “might,” “will,” “would,” “could,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “project,” “possible,” “potential,” “intend,” “seek” or “continue,” t ...
... Litigation Reform Act of 1995. In some cases, you can identify these statements by forward-looking terms such as “may,” “might,” “will,” “would,” “could,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “project,” “possible,” “potential,” “intend,” “seek” or “continue,” t ...
athens-clarke county, georgia comprehensive annual financial
... Mayor and Commission Page 3 December 30, 2014 The retail sector has shown improvement over the past year with an increase in year over year retail sales of 1.9% as of September 2014. The largest new retail development, Kroger on Highway 29, opened in August 2014 and represents an investment of $23M ...
... Mayor and Commission Page 3 December 30, 2014 The retail sector has shown improvement over the past year with an increase in year over year retail sales of 1.9% as of September 2014. The largest new retail development, Kroger on Highway 29, opened in August 2014 and represents an investment of $23M ...
Sample Chapter - McGraw Hill Higher Education
... invested and low returns are earned when less money is at risk. In Table 5.1, the higher returns (25% and 20%) were achieved in quarters 2 and 4, when the fund managed $1,200,000 and $800,000, respectively. The lower returns (220% and 10%) occurred when the fund managed $2,000,000 and $1,000,000, re ...
... invested and low returns are earned when less money is at risk. In Table 5.1, the higher returns (25% and 20%) were achieved in quarters 2 and 4, when the fund managed $1,200,000 and $800,000, respectively. The lower returns (220% and 10%) occurred when the fund managed $2,000,000 and $1,000,000, re ...
Evaluation of Active Management of the Norwegian Government
... position in equities to capture the equity risk premium over the long run, we recommend that other factor risk premiums be accessed by the Fund to generate long‐ term positive performance. The proposed framework exploits the Fund’s distinct long‐ horizon profile and allows the preferences of the ...
... position in equities to capture the equity risk premium over the long run, we recommend that other factor risk premiums be accessed by the Fund to generate long‐ term positive performance. The proposed framework exploits the Fund’s distinct long‐ horizon profile and allows the preferences of the ...
Wine As An alternative asset class
... of the joint distribution (as in the mean-variance framework of Markowitz (1952)) disregards important aspects of the investor preferences and utility function (see Jondeau/Rockinger (2006)). Furthermore, wines and equities seem to have di¤erent marginal distributions and their joint distribution mi ...
... of the joint distribution (as in the mean-variance framework of Markowitz (1952)) disregards important aspects of the investor preferences and utility function (see Jondeau/Rockinger (2006)). Furthermore, wines and equities seem to have di¤erent marginal distributions and their joint distribution mi ...
Analysing and Decomposing the Sources of Added
... assets, and then does not trade until date T. This assumption may seem at odds with the industry practice, which is closer to a fixed-mix strategy: that is, the portfolio has constant weights over time, as opposed to having constant numbers of shares of each asset. The reason why we focus on the buy ...
... assets, and then does not trade until date T. This assumption may seem at odds with the industry practice, which is closer to a fixed-mix strategy: that is, the portfolio has constant weights over time, as opposed to having constant numbers of shares of each asset. The reason why we focus on the buy ...
Investor Sentiment and the Mean-Variance Relation
... have stronger influence on stock prices. The second implication is that due to sentiment traders’ reluctance to short, they hold more stocks and have a stronger impact on the equity market when aggregate sentiment is high. These two intermediate implications lead to our paper’s main argument: The hea ...
... have stronger influence on stock prices. The second implication is that due to sentiment traders’ reluctance to short, they hold more stocks and have a stronger impact on the equity market when aggregate sentiment is high. These two intermediate implications lead to our paper’s main argument: The hea ...
volatility as an asset class
... An alternative fundamental explanation for the negative correlation between equity markets and volatility is based on the so-called leverage effect: A decline in the value of a company’s equity results in an increase of the company’s balance sheet leverage, making its equity more risky and hence inc ...
... An alternative fundamental explanation for the negative correlation between equity markets and volatility is based on the so-called leverage effect: A decline in the value of a company’s equity results in an increase of the company’s balance sheet leverage, making its equity more risky and hence inc ...
Document
... 8 As described by Perold and Sharpe (1988), Harvey et al (2014) and Hillion (2016). Harvey et al suggest a rebalanced portfolio is susceptible to larger drawdowns than a buy-and-hold portfolio (in contrast to the results in Exhibit 1 above). This is true for two portfolios entering a period of sust ...
... 8 As described by Perold and Sharpe (1988), Harvey et al (2014) and Hillion (2016). Harvey et al suggest a rebalanced portfolio is susceptible to larger drawdowns than a buy-and-hold portfolio (in contrast to the results in Exhibit 1 above). This is true for two portfolios entering a period of sust ...
Costs to Investors of Boycotting Fossil Fuels
... such a boycott. Past studies have considered the losses from restricting portfolio investments in various ways, such as by excluding adult entertainment, alcohol, gambling, nuclear power, tobacco and weapons, or by investing only in funds deemed “socially responsible”. Some papers have found there t ...
... such a boycott. Past studies have considered the losses from restricting portfolio investments in various ways, such as by excluding adult entertainment, alcohol, gambling, nuclear power, tobacco and weapons, or by investing only in funds deemed “socially responsible”. Some papers have found there t ...
Individual investment behaviour: a brief review of research (PDF
... There seems to be very little data about whether or not people make sensible choices when switching funds. One study in Australia highlighted problems with the advice provided to superannuation scheme members around fund switching, which involved advice to switch to higher fee funds with no counterv ...
... There seems to be very little data about whether or not people make sensible choices when switching funds. One study in Australia highlighted problems with the advice provided to superannuation scheme members around fund switching, which involved advice to switch to higher fee funds with no counterv ...
Horizons US 7-10 Year Treasury Bond CAD
... U.S. 10-Year continued its climb higher that it had begun in the third quarter, rising 100 basis points to touch 2.59% on December 15 before finishing the year at 2.44%. Horizons Management does not endeavour to predict market direction generally, or the changes that may occur in global fiscal and m ...
... U.S. 10-Year continued its climb higher that it had begun in the third quarter, rising 100 basis points to touch 2.59% on December 15 before finishing the year at 2.44%. Horizons Management does not endeavour to predict market direction generally, or the changes that may occur in global fiscal and m ...
Frequently Asked Questions about Exchange
... purchase an ETN on an exchange or over-thecounter when the trading price is at a discount ...
... purchase an ETN on an exchange or over-thecounter when the trading price is at a discount ...
1 September 2006 Page 1 of 52 The SPI Fund of Scottish Provident
... bonus and MVRs are commonly based on our specimen asset shares. Exceptions to this general description are policies where the benefit is not a single payment, but a series of payments. Policies of this type include some pensions schemes covering a group of employees. The SPI Fund is primarily an inv ...
... bonus and MVRs are commonly based on our specimen asset shares. Exceptions to this general description are policies where the benefit is not a single payment, but a series of payments. Policies of this type include some pensions schemes covering a group of employees. The SPI Fund is primarily an inv ...
CREDIT FUNDS INSIGHT 01 May 2016 Issue 6, May 2016
... which include holding of client money or provision of custody services and/or dealing on own account, underwriting financial instruments or placing on a firm commitment basis. Managers without one of these authorisations would not be CRR Investment Firms, and thus would not fall within the definitio ...
... which include holding of client money or provision of custody services and/or dealing on own account, underwriting financial instruments or placing on a firm commitment basis. Managers without one of these authorisations would not be CRR Investment Firms, and thus would not fall within the definitio ...
Fettered Consumers and Sophisticated Firms: Evidence from
... the source of persistently high fees. Halfway through our sample, the government introduced a new fee index to increase transparency of and sensitivity to management fees. The index combined fund manager load and balance fees according to a particular formula. The government broadly advertised the i ...
... the source of persistently high fees. Halfway through our sample, the government introduced a new fee index to increase transparency of and sensitivity to management fees. The index combined fund manager load and balance fees according to a particular formula. The government broadly advertised the i ...