The Transition in Private / Public Ownership:
... invested capital, controlling for firm size, financing constraints, and other factors. Cost of capital is calculated as weighted average of cost of debt and equity. I first run the regressions by industry and year, using all Compustat firms, and then I obtain residual estimates for each of the acqui ...
... invested capital, controlling for firm size, financing constraints, and other factors. Cost of capital is calculated as weighted average of cost of debt and equity. I first run the regressions by industry and year, using all Compustat firms, and then I obtain residual estimates for each of the acqui ...
Anno Stolper: The Appeal of Risky Assets
... costs. Besides, fund managers get a fixed wage, receive a share of profits and also bear a share of losses. We find that if the costs of being fired are sufficiently large in relation to the share of the realized return, there exists no equilibrium in which no fund manager invests in the risky asse ...
... costs. Besides, fund managers get a fixed wage, receive a share of profits and also bear a share of losses. We find that if the costs of being fired are sufficiently large in relation to the share of the realized return, there exists no equilibrium in which no fund manager invests in the risky asse ...
Momentum`s Got Style Style Investing and - Aalto
... looks and purpose of use into, for example, SUVs, coupes, or sedans. Similar categorization is applicable to physical objects such as foods, furniture, or books but also to immaterial things like occupations, education, or even people. The main purpose of categorization is to optimize the use of our ...
... looks and purpose of use into, for example, SUVs, coupes, or sedans. Similar categorization is applicable to physical objects such as foods, furniture, or books but also to immaterial things like occupations, education, or even people. The main purpose of categorization is to optimize the use of our ...
NBER WORKING PAPER SERIES Sergey Iskoz Jiang Wang
... excess return of his portfolio, adjusted for risk according to a model (Sharpe (1966), Jensen (1969), Treynor and Black (1973)). This approach crucially relies on the specific risk model it uses (such as the CAPM or a linear multi-factor model). If the risk model is mis-specified, the ability measure ...
... excess return of his portfolio, adjusted for risk according to a model (Sharpe (1966), Jensen (1969), Treynor and Black (1973)). This approach crucially relies on the specific risk model it uses (such as the CAPM or a linear multi-factor model). If the risk model is mis-specified, the ability measure ...
prospectus - Cullen Funds
... underlying equity investments can be caused, and also be further prolonged, by many circumstances that can confront the global economy such as declining consumer and business confidence, malfunctioning credit markets, increased unemployment, reduced levels of capital expenditures, fluctuating commod ...
... underlying equity investments can be caused, and also be further prolonged, by many circumstances that can confront the global economy such as declining consumer and business confidence, malfunctioning credit markets, increased unemployment, reduced levels of capital expenditures, fluctuating commod ...
Deactivating Active Share
... that the market clears: before fees, every dollar of outperformance must be offset by a dollar of underperformance. Low Active Share investors who simply track the market (“Closet Indexers”) should match market returns before fees and underperform after fees. As a result, investors who take larger b ...
... that the market clears: before fees, every dollar of outperformance must be offset by a dollar of underperformance. Low Active Share investors who simply track the market (“Closet Indexers”) should match market returns before fees and underperform after fees. As a result, investors who take larger b ...
Dynamic Factor Timing and the Predictability of Actively Managed
... fund managers are able to generate returns in excess of the systematic risks to which their portfolios are exposed and, if so, whether this ability is persistent. To answer these questions, the literature has frequently used pricing models to evaluate manager performance. Developed to explain the cr ...
... fund managers are able to generate returns in excess of the systematic risks to which their portfolios are exposed and, if so, whether this ability is persistent. To answer these questions, the literature has frequently used pricing models to evaluate manager performance. Developed to explain the cr ...
Communicating Asset Risk: How Name
... stronger home bias for risk judgments than for volatility judgments in our study. For the same reason, we also expected a smaller home bias effect on judgments of expected returns. The second irrational bias potentially used in asset choice as the result of providing investors with asset names is us ...
... stronger home bias for risk judgments than for volatility judgments in our study. For the same reason, we also expected a smaller home bias effect on judgments of expected returns. The second irrational bias potentially used in asset choice as the result of providing investors with asset names is us ...
(Ab)Use of Omega?
... A relatively wide stream of the financial economics literature focuses on performance measurement with two main motivations: the introduction of measures capturing stylized facts of financial returns such as asymmetry or non-Gaussian densities, among many others; the use of performance measures in e ...
... A relatively wide stream of the financial economics literature focuses on performance measurement with two main motivations: the introduction of measures capturing stylized facts of financial returns such as asymmetry or non-Gaussian densities, among many others; the use of performance measures in e ...
chapter2 - Economics Partners
... As discussed in Chapter 1, this monopoly power can take effect in two primary ways. First, a firm’s monopoly power can take the form of a downward sloping demand curve. For example, the firm may have pricing power that results from its having differentiated products, or a patent-protected position r ...
... As discussed in Chapter 1, this monopoly power can take effect in two primary ways. First, a firm’s monopoly power can take the form of a downward sloping demand curve. For example, the firm may have pricing power that results from its having differentiated products, or a patent-protected position r ...
The relationship between government bond yields and the market
... yields since this time and whether these factors are also likely to have impacted upon the required return on equity over this period, considering (among other relevant information): i. statements and analysis provided by the Reserve Bank of Australia; and ii. previous analysis of CGS yields by othe ...
... yields since this time and whether these factors are also likely to have impacted upon the required return on equity over this period, considering (among other relevant information): i. statements and analysis provided by the Reserve Bank of Australia; and ii. previous analysis of CGS yields by othe ...
Investors` Horizons and the Amplification of Market Shocks
... conjecture that investors whose funding in normal and especially bad market times is expected to be volatile have shorter horizons and stronger incentives to sell during episodes of market turmoil to avoid or at least reduce withdrawals. We capture incentives to sell using the correlation between th ...
... conjecture that investors whose funding in normal and especially bad market times is expected to be volatile have shorter horizons and stronger incentives to sell during episodes of market turmoil to avoid or at least reduce withdrawals. We capture incentives to sell using the correlation between th ...
Pseudo Market Timing and the Long-Run Underperformance of IPOs
... assumptions. First, it is assumed that at higher levels of stock prices, more firms will go public. Second, it is assumed that excess returns of IPOs are positively correlated cross-sectionally. Other simplifying assumptions are unimportant. The results are unchanged if more than two periods are con ...
... assumptions. First, it is assumed that at higher levels of stock prices, more firms will go public. Second, it is assumed that excess returns of IPOs are positively correlated cross-sectionally. Other simplifying assumptions are unimportant. The results are unchanged if more than two periods are con ...
Expected Returns on Major Asset Classes
... one could calculate such a premium by subtracting the bond yield from the DDM-based expected return on stocks. According to this way of thinking, the equity risk premium is an artifact, a derived quantity that depends on the time and place for which it is being estimated. Other premia, or difference ...
... one could calculate such a premium by subtracting the bond yield from the DDM-based expected return on stocks. According to this way of thinking, the equity risk premium is an artifact, a derived quantity that depends on the time and place for which it is being estimated. Other premia, or difference ...
Investor Preferences and Demand for Active Management
... throughout the paper since most of our analyses involve risk preference measures derived from option prices and returns. The market for SPX options is one of the most active index option markets in the world. These options are European, have no wild card features, and can be hedged using the active ...
... throughout the paper since most of our analyses involve risk preference measures derived from option prices and returns. The market for SPX options is one of the most active index option markets in the world. These options are European, have no wild card features, and can be hedged using the active ...
Dissecting Anomalies
... The main advantage of sorts is a simple picture of how average returns vary across the spectrum of an anomaly variable. There are, however, potential pitfalls. For example, a common approach is to form equal-weight (EW) decile portfolios by sorting stocks on the variable of interest. Though the deta ...
... The main advantage of sorts is a simple picture of how average returns vary across the spectrum of an anomaly variable. There are, however, potential pitfalls. For example, a common approach is to form equal-weight (EW) decile portfolios by sorting stocks on the variable of interest. Though the deta ...
Listing on the FTSE-100: Does it matter?
... index is of interest because it is an event that should be dependent on information that is public at that time. In contrast to the S&P 500 Index, changes in the composition of the FTSE 100 Index are based purely on the relative market capitalisation of the respective firms. If its inclusion in the ...
... index is of interest because it is an event that should be dependent on information that is public at that time. In contrast to the S&P 500 Index, changes in the composition of the FTSE 100 Index are based purely on the relative market capitalisation of the respective firms. If its inclusion in the ...
Exchange Rates and the Foreign Exchange Market: An Asset
... n the first years of the millennium, Americans flocked to Paris to enjoy French cuisine while shopping for designer clothing and other specialties. When measured in terms of dollars, prices in France were so much lower than they had been a few years before that a shopper’s savings could offset the c ...
... n the first years of the millennium, Americans flocked to Paris to enjoy French cuisine while shopping for designer clothing and other specialties. When measured in terms of dollars, prices in France were so much lower than they had been a few years before that a shopper’s savings could offset the c ...
Lunar cycle effects in stock returns
... of extreme outcomes and could be of low statistical power, especially if lunar-cycle effects on human behavior exist but are fairly mild. We investigate for lunar cycle effects in stock returns for two reasons. First, contemporary surveys confirm that a large part of the population, about 50 percent ...
... of extreme outcomes and could be of low statistical power, especially if lunar-cycle effects on human behavior exist but are fairly mild. We investigate for lunar cycle effects in stock returns for two reasons. First, contemporary surveys confirm that a large part of the population, about 50 percent ...
Investment Portfolio Review - Christian Brothers Investment Services
... Global equities extended the year-end Trump rally with fresh support coming from hints of improving European economic conditions, apparent stability in China and a general sense the global economy has shrugged off the deflation threat that spooked markets last year. Analysts also viewed March’s Dutc ...
... Global equities extended the year-end Trump rally with fresh support coming from hints of improving European economic conditions, apparent stability in China and a general sense the global economy has shrugged off the deflation threat that spooked markets last year. Analysts also viewed March’s Dutc ...