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 ...
... 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 ...
... 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 ...
... 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 ...
Morningstar Guide
... 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 ...
... 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 ...
... 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 ...
... 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 return ...
... 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 return ...
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 ...
... 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 ...
... 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, 19 ...
... 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, 19 ...
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 ...
... 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 ...
... 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 ...
... 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 ...
... 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 ...
... 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 ...
