Momentum, Acceleration, and Reversal
... We show that accelerated returns also increase the likelihood of individual stock drops, and thus provide explanations for poor future performance. A natural question to ask is how accelerated price increases can occur. One possibility is the well-known positive feedback process or herding, which ca ...
... We show that accelerated returns also increase the likelihood of individual stock drops, and thus provide explanations for poor future performance. A natural question to ask is how accelerated price increases can occur. One possibility is the well-known positive feedback process or herding, which ca ...
The Hedge Fund Landscape
... only offers the investor many of the positive characteristics of a managed account, but also, if sensibly structured, can reduce the burden on managers and, therefore, also adverse selection bias. One simplified way to think of it is as a separately managed account wrapped in a fund structure. A sep ...
... only offers the investor many of the positive characteristics of a managed account, but also, if sensibly structured, can reduce the burden on managers and, therefore, also adverse selection bias. One simplified way to think of it is as a separately managed account wrapped in a fund structure. A sep ...
Valuation: Part I Discounted Cash Flow Valuation
... While risk is usually defined in terms of the variance of actual returns around an expected return, risk and return models in finance assume that the risk that should be rewarded (and thus built into the discount rate) in valuation should be the risk perceived by the marginal investor in the investm ...
... While risk is usually defined in terms of the variance of actual returns around an expected return, risk and return models in finance assume that the risk that should be rewarded (and thus built into the discount rate) in valuation should be the risk perceived by the marginal investor in the investm ...
Estimating the required return on equity
... a) The ERA’s criteria are not part of the Rules. The Rules do not state that the Fama-French model must be considered if it satisfies the ERA’s criteria, the Rules state that the FamaFrench model must be considered if it is relevant. That is, the question is not whether the Fama-French model is the ...
... a) The ERA’s criteria are not part of the Rules. The Rules do not state that the Fama-French model must be considered if it satisfies the ERA’s criteria, the Rules state that the FamaFrench model must be considered if it is relevant. That is, the question is not whether the Fama-French model is the ...
Financial planning model for the Armed Forces of
... and returns of investments. The model should also be able to show the yearly portfolio returns, the yearly inflows ...
... and returns of investments. The model should also be able to show the yearly portfolio returns, the yearly inflows ...
CHAPTER 5 INTRODUCTION TO VALUATION: THE TIME VALUE
... today for payment in the future, although the payment depends on the death of the seller. The purchaser of the life insurance policy is bearing the risk that the insured individual will live longer than expected. Although viatical settlements are ethical, they may not be the best choice for an indiv ...
... today for payment in the future, although the payment depends on the death of the seller. The purchaser of the life insurance policy is bearing the risk that the insured individual will live longer than expected. Although viatical settlements are ethical, they may not be the best choice for an indiv ...
Does the Market Risk Premium (MRP) Change Over Time?
... Historical Vs Expected Return Going Forward When expected returns change over time historical averages can be a poor measure of the expected return going forward ...
... Historical Vs Expected Return Going Forward When expected returns change over time historical averages can be a poor measure of the expected return going forward ...
Market Discipline and Internal Governance in the Mutual Fund Industry
... The portfolio management industry has undergone dramatic growth in the last few decades, thereby also generating an increasing interest among regulators and academics. The question how to ensure efficient governance of delegated portfolio management has attracted particular attention. Most theoreti ...
... The portfolio management industry has undergone dramatic growth in the last few decades, thereby also generating an increasing interest among regulators and academics. The question how to ensure efficient governance of delegated portfolio management has attracted particular attention. Most theoreti ...
Large Price Changes and Subsequent Returns
... that do not announce earnings at expected dates and closing the position several days after the actual earnings reporting dates. It is also profitable to hold long positions in firms that announce earnings unexpectedly early, which is consistent with continuous upward drift following good news. • So ...
... that do not announce earnings at expected dates and closing the position several days after the actual earnings reporting dates. It is also profitable to hold long positions in firms that announce earnings unexpectedly early, which is consistent with continuous upward drift following good news. • So ...
Stock Return Serial Dependence and Out-of
... mean-variance portfolios, we focus on norm-constrained portfolios that are similar to those studied by DeMiguel et al. (2009). Our empirical results show that the norm-constrained conditional meanvariance portfolios outperform the traditional (unconditional) portfolios only for transaction costs bel ...
... mean-variance portfolios, we focus on norm-constrained portfolios that are similar to those studied by DeMiguel et al. (2009). Our empirical results show that the norm-constrained conditional meanvariance portfolios outperform the traditional (unconditional) portfolios only for transaction costs bel ...
Types of Investment - Lancashire County Council
... Pension Funds, which shows comparisons with other Local Authority Pension Funds. Over the ten years 1995/96 to 2004/05 the Lancashire Fund has returned an annualised rate of 7.5%, compared to the Benchmark return of 7.9% and average local authority return of 7.8%. This compares with annualised incre ...
... Pension Funds, which shows comparisons with other Local Authority Pension Funds. Over the ten years 1995/96 to 2004/05 the Lancashire Fund has returned an annualised rate of 7.5%, compared to the Benchmark return of 7.9% and average local authority return of 7.8%. This compares with annualised incre ...
Essays in Financial Economics Sergey Iskoz
... Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for wealth redistribution between institutional and individual investors. I find that underw ...
... Underwriter analysts issue recommendations that are on average more favorable than recommendations of other analysts. In Chapter 1, I investigate whether this bias matters for returns, and whether it matters for wealth redistribution between institutional and individual investors. I find that underw ...
"The Alpha and Omega of Hedge Fund Performance Measurement"
... also apply Leland (1999) performance measurement for situations when the portfolio returns are highly nonlinear in the market return. In the same vein, we also test Dybvig’s (1988a, 1988b) payo¤ distribution function model. We also use a variety of multi-factor models: (1) we consider an implicit fa ...
... also apply Leland (1999) performance measurement for situations when the portfolio returns are highly nonlinear in the market return. In the same vein, we also test Dybvig’s (1988a, 1988b) payo¤ distribution function model. We also use a variety of multi-factor models: (1) we consider an implicit fa ...
Informed Trading, Liquidity Provision, and Stock Selection by Mutual
... that traded in High-P IN stocks recently. Consistent with that conjecture, when we combine our trade_P IN variable, and the …lters proposed in Mamaysky, Spiegel and Zhang (2007b), we are able to construct a portfolio of mutual funds that signi…cantly outperforms the market going forward at monthly f ...
... that traded in High-P IN stocks recently. Consistent with that conjecture, when we combine our trade_P IN variable, and the …lters proposed in Mamaysky, Spiegel and Zhang (2007b), we are able to construct a portfolio of mutual funds that signi…cantly outperforms the market going forward at monthly f ...