Is Noise Trading Cancelled Out by Aggregation?
... in stock returns. That is, idiosyncratic biases can lead to both overvaluation and undervaluation, depending on the past stock price movements. Note also that, in my model, idiosyncratic biases can lead to stock price overshooting in the sense that the expected future return is negative. This is in ...
... in stock returns. That is, idiosyncratic biases can lead to both overvaluation and undervaluation, depending on the past stock price movements. Note also that, in my model, idiosyncratic biases can lead to stock price overshooting in the sense that the expected future return is negative. This is in ...
Equilibrium Cross-Section of Returns
... Our theoretical approach builds on the work of Berk, Green, and Naik (1999) who construct a partial equilibrium model also based on the ideas of time-varying risks to explain cross-sectional variations of stock returns. However, our work differs along several important dimensions. First, ours is a si ...
... Our theoretical approach builds on the work of Berk, Green, and Naik (1999) who construct a partial equilibrium model also based on the ideas of time-varying risks to explain cross-sectional variations of stock returns. However, our work differs along several important dimensions. First, ours is a si ...
An Economic Perspective on Dividends
... of future results. Dividend yield is one component of performance and should not be unmanaged and unavailable for direct investment. Index returns do not reflect investment the only consideration for investment. Dividends are not guaranteed and will fluctuate. advisory and other fees or expenses tha ...
... of future results. Dividend yield is one component of performance and should not be unmanaged and unavailable for direct investment. Index returns do not reflect investment the only consideration for investment. Dividends are not guaranteed and will fluctuate. advisory and other fees or expenses tha ...
Implied Expected Returns and the Choice of a Mean–Variance
... assets with known expected returns vector μ and covariance matrix Σ, then there exists a linear relation between the assets’ expected return μ and their covariance with that efficient portfolio, i.e., Σw . Hence, if a mean– variance efficient weight vector is known and a covariance matrix has been a ...
... assets with known expected returns vector μ and covariance matrix Σ, then there exists a linear relation between the assets’ expected return μ and their covariance with that efficient portfolio, i.e., Σw . Hence, if a mean– variance efficient weight vector is known and a covariance matrix has been a ...
Full text - Высшая школа экономики
... it will jump somewhere as the volatility would rise due to uncertainty surrounding income disclosures. Volatility trading is specially designed for the cases when you do know or think that you know the future pattern of option volatility. There were not as many literatures concerning volatility trad ...
... it will jump somewhere as the volatility would rise due to uncertainty surrounding income disclosures. Volatility trading is specially designed for the cases when you do know or think that you know the future pattern of option volatility. There were not as many literatures concerning volatility trad ...
Evaluation of Managerial Techniques: NPV and IRR
... “NPV method calculates the expected monetary gain or loss from a project by discounting all expected future cash inflows and outflows back to the present point in time using the required appropriate rate of return”. Colin (2006) added that “NPV is the most straightforward way to determine whether a ...
... “NPV method calculates the expected monetary gain or loss from a project by discounting all expected future cash inflows and outflows back to the present point in time using the required appropriate rate of return”. Colin (2006) added that “NPV is the most straightforward way to determine whether a ...
The effects of the sample size, the investment horizon, and market
... with random sample portfolio drawn from a population containing all securities mean y and variance o In other words, y represents the population (market) mean return and o^ denotes the population variance associated with market rates of return. Thus, E(R) = y. ...
... with random sample portfolio drawn from a population containing all securities mean y and variance o In other words, y represents the population (market) mean return and o^ denotes the population variance associated with market rates of return. Thus, E(R) = y. ...
Word Document - Berkeley-Haas
... relative to the capital ratios of mutual thrifts that did not convert than they had been in the 1980s. Thus, the low-capital-ratio motive for thrift conversion was presumably less common and less pressing during the 1990s than it had been earlier. Two prominent studies investigated thrift conversion ...
... relative to the capital ratios of mutual thrifts that did not convert than they had been in the 1980s. Thus, the low-capital-ratio motive for thrift conversion was presumably less common and less pressing during the 1990s than it had been earlier. Two prominent studies investigated thrift conversion ...
What Difference Do Dividends Make?
... provide a relatively reliable return, buffer capital losses, reduce portfolio volatility, and lower the risk of overpaying for a stock.2 Dividends are also said to mitigate agency problems between managers and shareholders by reducing the possibility of managers’ squandering funds.3 Arnott and Asnes ...
... provide a relatively reliable return, buffer capital losses, reduce portfolio volatility, and lower the risk of overpaying for a stock.2 Dividends are also said to mitigate agency problems between managers and shareholders by reducing the possibility of managers’ squandering funds.3 Arnott and Asnes ...
Long-term Capital Market Return Assumptions
... returns in particular remain constrained as earnings growth is dampened by a modest economic growth environment and starting valuations remain elevated. We continue to expect payouts to shareholders rather than earnings growth to be the main component of total returns. Our emerging market equity ret ...
... returns in particular remain constrained as earnings growth is dampened by a modest economic growth environment and starting valuations remain elevated. We continue to expect payouts to shareholders rather than earnings growth to be the main component of total returns. Our emerging market equity ret ...
An Overview of Fee Structures in Real Estate Funds and Their
... strategies to be implemented. For example, the complexities and, therefore, the costs to manage a portfolio of industrial properties – leased on a long-term, triple-net basis to credit tenants – differ from the costs to manage the turnaround of a portfolio of under-performing hotel properties. Howev ...
... strategies to be implemented. For example, the complexities and, therefore, the costs to manage a portfolio of industrial properties – leased on a long-term, triple-net basis to credit tenants – differ from the costs to manage the turnaround of a portfolio of under-performing hotel properties. Howev ...
Why do we invest ethically?
... Nagy and Obenberger (1994) investigated the investment-decision processes of equity investors with substantial holdings of US Fortune 500 firms and found seven summary factors that captured the major investor concerns. Investors were asked to rank 34 variables which had been identified as potentiall ...
... Nagy and Obenberger (1994) investigated the investment-decision processes of equity investors with substantial holdings of US Fortune 500 firms and found seven summary factors that captured the major investor concerns. Investors were asked to rank 34 variables which had been identified as potentiall ...
The High-Volume Return Premium - North American Business Press
... the trading volume and price changes. Ying (1966) suggested that stock price and trading volume are resulted from a single market mechanism; these two cannot be isolated from each other with any other hypothesis and model. Incomplete results otherwise generate from these isolation attempts. Many pre ...
... the trading volume and price changes. Ying (1966) suggested that stock price and trading volume are resulted from a single market mechanism; these two cannot be isolated from each other with any other hypothesis and model. Incomplete results otherwise generate from these isolation attempts. Many pre ...
Hedge Funds, Managerial Skill, and Macroeconomic Variables
... successful within relative value and funds of funds. One view is that by diversifying across various hedge funds, funds of funds become less dependent on economic conditions. The optimal portfolios of hedge funds which allow for predictability in managerial skills do differ somewhat from the other p ...
... successful within relative value and funds of funds. One view is that by diversifying across various hedge funds, funds of funds become less dependent on economic conditions. The optimal portfolios of hedge funds which allow for predictability in managerial skills do differ somewhat from the other p ...
Empirical Investigation of an Equity Pairs Trading Strategy
... second step, pairs traders look for divergence in prices between a pair. When a divergence is noticed, traders take opposite positions for instruments in a pair. In this study, we examine a pairs trading strategy based on publicly traded common equity. In equity pairs trading, the trader takes long ...
... second step, pairs traders look for divergence in prices between a pair. When a divergence is noticed, traders take opposite positions for instruments in a pair. In this study, we examine a pairs trading strategy based on publicly traded common equity. In equity pairs trading, the trader takes long ...
NP 2012 COC 1 Q.
... set of feasible portfolios consists of Ep, SDp combinations lying on any line connecting Rf with a point such as S in the feasible set of risky portfolios. The slope of such a line is (Es – Rf)/SDs. Consider now the line connecting Rf with portfolio M in Figure II. The points on this line represent ...
... set of feasible portfolios consists of Ep, SDp combinations lying on any line connecting Rf with a point such as S in the feasible set of risky portfolios. The slope of such a line is (Es – Rf)/SDs. Consider now the line connecting Rf with portfolio M in Figure II. The points on this line represent ...