Essays on the Forecasting Power of Implied Volatility
... same volatility for all European options with the same exercise price and time to
maturity. But in reality, due to either Black-Scholes not being the correct model or to the
existence of market frictions and measurement problems, we observe different implied
volatilities for options on the same unde ...
threadneedle investment funds icvc - Columbia Threadneedle Investments
... Interest on debt securities and bank and short-term deposits is recognised on
an earned basis.
In the case of debt securities any difference between acquisition cost and
maturity value is recognised as revenue over the life of the security using the
effective yield basis of calculating amortisat ...
Fidelity Retirement Master Trust
... Diagram 1 below shows the target proportion of investment in riskier
assets over time. The asset allocation stays the same up until 50 years of
age, then reduces steadily until age 64, after which it stays steady again.
Diagram 1: Asset Allocation between DIS Funds according to the DIS
Lower risk as ...
... Use the Morningstar Style Box.”
10 Statistics Price/Earnings Ratio: The price
to prospective earnings yield for a fund is the
asset-weighted average of the prospective
earnings yields of all the domestic stocks in the
fund’s portfolio as of the date of the portfolio. A
stock’s prospective earnings ...
Earnings Seasonality and Stock Returns
... them. Savor and Wilson (2011) argue that the earnings announcement premium is driven by a
common earnings announcement risk factor. We show that the seasonality effect is not driven by
positive seasonality quarters having a greater exposure to a common source of earnings
announcement risk – when we ...
The Role of Organizational Structure
... of functional attribution existing within the structure.
We start by focusing on the determinants of the organizational structure. We argue that the
overall objective of the financial family managing the fund (mutual fund family or insurance
family) is not limited to performance maximization, but is ...
Low volatility anomaly and mutual fund allocations - Aalto
... relative to their risk, but that low risk assets – either low volatility or low beta assets – actually
outperform high risk assets within several different assets classes. The outperformance of low
risk assets, or the so-called low risk anomaly, is observed primarily in terms of risk-adjusted
Earnings Quality and Stock Returns
... fails to recognize that reported net income is the result of an extended accounting process with considerable room for managerial discretion at every
step. The perils of focusing exclusively on bottom-line earnings are vividly
highlighted by the recent spate of corporate accounting scandals. Given t ...
Impact of Yen on Japanese Stocks
... 3, however, confirms that there was significant cross‐sectional variation at the stock level, resulting in a
muted response to yen changes at the aggregate market level.
Exhibit 4 indicates substantial industry differences in yen sensitivity. As expected, most of the industries
with negative se ...
The Role of Operating Leverage in Asset Pricing
... The well-established Capital Asset Pricing Model (CAPM) provides an explanation of the crosssectional variation of equilibrium asset returns. It predicts that the only asset specific explanation
for the differences in asset returns is beta, or, systematic risk (Sharpe, 1964; Lintner, 1965; Black,
The required return on equity under a foundation model
... when estimating the return on equity, the AER must have
regard to “the prevailing conditions in the market for
equity funds”;5 and
ii. Such an approach would be inconsistent with the AER’s
own DGM evidence, which suggests that the MRP in the
prevailing market conditions has increased materially sinc ...
Asset Prices and Unit Trusts
... which are statistically significant to give some indication of the performance of the managed fund
industry as a whole. In fact, the mutual fund literature provides excellent examples of the
application of recent statistical advances such as separating skill from luck when funds are
ranked by perfor ...
The Cross-Sectional Dispersion of Stock Returns, Alpha
... information regarding the future dispersion of alpha. As reported in greater detail below,
investors can observe the VIX at zero cost and infer a forecast of the overall dispersion of
equity alpha over the next 3 to 12 months, and use this information to tactically time the
“activeness” of their por ...
Net Present Value is better than Internal Rate of Return Asma Arshad
... Management should accept the project by analyzing the previous and present data of the business. If the company
has the good profile then it means company can provide such an impressive IRR. Thus a project should not select on
the account of its higher IRR but it should be evaluated with NPV using t ...
Debt Refinancing and Equity Returns
... with leverage within each refinancing tertile. Furthermore, the difference in returns of highand low-leverage firms increases as the refinancing intensity increases (i.e. debt maturities
become shorter). These findings are consistent with the notion that shareholders demand a
premium for holding hi ...
Rate of return
In finance, return is a profit on an investment. It comprises any change in value and interest or dividends or other such cash flows which the investor receives from the investment. It may be measured either in absolute terms (e.g., dollars) or as a percentage of the amount invested. The latter is also called the holding period return.A loss instead of a profit is described as a negative return.Rate of return is a profit on an investment over a period of time, expressed as a proportion of the original investment. The time period is typically a year, in which case the rate of return is referred to as annual return.Return on investment (ROI) is return per dollar invested. It is a measure of investment performance, as opposed to size (c.f. return on equity, return on assets, return on capital employed).