NBER WORKING PAPER SERIES EXPLAINING DEVIATIONS FROM UNCOVERED INTEREST PARITY Robert E. Cumby
... methods are similarly large. In addition, the large magnitudes are generally accompanied by large standard errors, making the large magnitudes less bothersome. ...
... methods are similarly large. In addition, the large magnitudes are generally accompanied by large standard errors, making the large magnitudes less bothersome. ...
Ethical Investment and Portfolio Theory
... rities’ avoidance index. This appears to make most FTSE investors sub-optimal, in that they could have produced better returns and lower risk simply by avoiding firms carrying out activities which (according to many charities) harm society. Note, however, that the increased return is only 0.08% high ...
... rities’ avoidance index. This appears to make most FTSE investors sub-optimal, in that they could have produced better returns and lower risk simply by avoiding firms carrying out activities which (according to many charities) harm society. Note, however, that the increased return is only 0.08% high ...
We have made a final decision on Ausgrid`s distribution
... have recovered $9754.0 million ($nominal) over the 2015-19 period. Our final decision is for 33 per cent less revenue than Ausgrid’s proposal. The figure below shows the difference between Ausgrid’s proposed revenue, and what we have allowed for each year of the final decision. Ausgrid's past total ...
... have recovered $9754.0 million ($nominal) over the 2015-19 period. Our final decision is for 33 per cent less revenue than Ausgrid’s proposal. The figure below shows the difference between Ausgrid’s proposed revenue, and what we have allowed for each year of the final decision. Ausgrid's past total ...
AER - Final decision ActewAGL distribution determination
... decision being passed through to customers, we expect average annual electricity bills for residential customers to reduce by $112 (or 5.8 per cent) in 2015–16, and remain relatively stable over the rest of the period covered by this decision. ...
... decision being passed through to customers, we expect average annual electricity bills for residential customers to reduce by $112 (or 5.8 per cent) in 2015–16, and remain relatively stable over the rest of the period covered by this decision. ...
Arithmetic Means, Geometric Means
... There are "well known" relations between the arithmetic mean of a random variable and the geometric mean. Part of this paper is offered with the belief that perhaps some of these relations are not as well known and transparent as is sometimes assumed. In addition to asserting several relations, we p ...
... There are "well known" relations between the arithmetic mean of a random variable and the geometric mean. Part of this paper is offered with the belief that perhaps some of these relations are not as well known and transparent as is sometimes assumed. In addition to asserting several relations, we p ...
The Evolution of Quantitative Investment Strategies
... their overweight in XYZ Inc. by underweighting one or more names that have similar exposures to the market as well as to energy prices. In other words, their insight about XYZ Inc. is represented in the portfolio via a basket of stocks—overweight XYZ and underweight one or more hedging positions. Wh ...
... their overweight in XYZ Inc. by underweighting one or more names that have similar exposures to the market as well as to energy prices. In other words, their insight about XYZ Inc. is represented in the portfolio via a basket of stocks—overweight XYZ and underweight one or more hedging positions. Wh ...
Opportunistic Deep-Value Investing: A Multi-Asset Class
... estimated long-term recovery rates (rate estimated at 40%), up to an additional 5% of the Russell 3000 Index is replaced by the deep-value debt proxy4. We assumed a holding period of 36 months for the opportunistic deep-value investments5. ...
... estimated long-term recovery rates (rate estimated at 40%), up to an additional 5% of the Russell 3000 Index is replaced by the deep-value debt proxy4. We assumed a holding period of 36 months for the opportunistic deep-value investments5. ...
Endowments, Foundations, and Investment Management
... is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index designed to developed-market equity performance, excludin ...
... is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index designed to developed-market equity performance, excludin ...
performance analysis for the two-minute portfolio in both canadian
... theoretical expected return, and to determine whether the deviation is statistically significant. The method is used to exam whether it is managers’ ability or luck that attributes to the excess return. Modigliani and Modigliani (1997) propose M-squared or RAP. It measures a portfolio’s risk-adjuste ...
... theoretical expected return, and to determine whether the deviation is statistically significant. The method is used to exam whether it is managers’ ability or luck that attributes to the excess return. Modigliani and Modigliani (1997) propose M-squared or RAP. It measures a portfolio’s risk-adjuste ...
Are abnormal buy and holding returns in mergers subject to value
... after M&A deals is more likely due to analysis method errors and benchmark errors, than due to market mispricing at the announcement date of the acquisition. The statistical power of event studies on these long-term abnormal returns is still a big topic of discussion in the current corporate finance ...
... after M&A deals is more likely due to analysis method errors and benchmark errors, than due to market mispricing at the announcement date of the acquisition. The statistical power of event studies on these long-term abnormal returns is still a big topic of discussion in the current corporate finance ...
A case for high-yield bonds
... Indexes are unmanaged and cannot be invested in directly. Past performance is not indicative of future results. Source: Russell database ...
... Indexes are unmanaged and cannot be invested in directly. Past performance is not indicative of future results. Source: Russell database ...
A note on portfolio selection, diversification and
... included in the portfolio – this ensures no fund is selected more than once in any given portfolio. The performance of the portfolios of funds can then be simulated using data over a given holding period.5 The cumulative return and value (given a $1 initial investment) of each portfolio is calculate ...
... included in the portfolio – this ensures no fund is selected more than once in any given portfolio. The performance of the portfolios of funds can then be simulated using data over a given holding period.5 The cumulative return and value (given a $1 initial investment) of each portfolio is calculate ...
Technology Industry on Financial Ratios and Stock Returns
... Exchange. Aono and Iwaisako (2011) found that the performances of predicting the stock return for Japanese financial ratios are weaker than US financial ratios such as price-earnings ratio and price-dividend ratio. In Thailand, Tantipanichkul and Supattarakul (2010) suggested that investors can use ...
... Exchange. Aono and Iwaisako (2011) found that the performances of predicting the stock return for Japanese financial ratios are weaker than US financial ratios such as price-earnings ratio and price-dividend ratio. In Thailand, Tantipanichkul and Supattarakul (2010) suggested that investors can use ...