Similarities and Differences between US and German Regulation of
... derivatives. Thus, by using derivatives, such as short CDS, a fund might create additional leverage and thereby circumvent the more stringent restrictions on direct leverage. However, if funds in worst case are required to pay the notional amount to the counterparty once a credit event specified und ...
... derivatives. Thus, by using derivatives, such as short CDS, a fund might create additional leverage and thereby circumvent the more stringent restrictions on direct leverage. However, if funds in worst case are required to pay the notional amount to the counterparty once a credit event specified und ...
Going mainstream – how absolute return is moving into the
... are rising. A long/short manager can therefore make profits from two set of convictions: which securities, sectors or markets s/he believes are going to rise and which s/he believes are going to fall. ii. Reduces reliance on market returns An absolute return approach that strips out beta-driven retu ...
... are rising. A long/short manager can therefore make profits from two set of convictions: which securities, sectors or markets s/he believes are going to rise and which s/he believes are going to fall. ii. Reduces reliance on market returns An absolute return approach that strips out beta-driven retu ...
Futures Hedging Effectiveness under Conditions of Asymmetry
... result in them being mishedged vis a vis their hedging objectives. Our results also show that the OLS model yields the best overall performance irrespective of the distributional characteristics of the index being hedged, or the hedging effectiveness criteria being applied. Based on this finding, i ...
... result in them being mishedged vis a vis their hedging objectives. Our results also show that the OLS model yields the best overall performance irrespective of the distributional characteristics of the index being hedged, or the hedging effectiveness criteria being applied. Based on this finding, i ...
BIS 85th Annual Report - June 2015
... It is my pleasure to submit to you the 85th Annual Report of the Bank for International Settlements for the financial year which ended on 31 March 2015. The net profit for the year amounted to SDR 542.9 million, compared with SDR 419.3 million for the preceding year. Details of the results for the f ...
... It is my pleasure to submit to you the 85th Annual Report of the Bank for International Settlements for the financial year which ended on 31 March 2015. The net profit for the year amounted to SDR 542.9 million, compared with SDR 419.3 million for the preceding year. Details of the results for the f ...
Financially distressed firms are more likely to issue equity
... The higher the firms leverage, the higher debt level the firm has relative to the market value of equity. Leverage is an important measure the ability for a firm to attract new debt and the cost of that new debt. The trade-off theory combines the benefits of debt with the costs of debt in one model. ...
... The higher the firms leverage, the higher debt level the firm has relative to the market value of equity. Leverage is an important measure the ability for a firm to attract new debt and the cost of that new debt. The trade-off theory combines the benefits of debt with the costs of debt in one model. ...
Forecasting Volatility in Financial Markets: A Review
... The autocorrelations of variances, and particularly those of mean absolute deviations, stay positive and significantly above zero for lags up to a thousand or more. These findings are important because they imply that a shock in the volatility process will have a ...
... The autocorrelations of variances, and particularly those of mean absolute deviations, stay positive and significantly above zero for lags up to a thousand or more. These findings are important because they imply that a shock in the volatility process will have a ...
assessment of precision and limited attention
... In any economic setting, decision making is assisted by learning processes that generate the representations of the environment and, in particular, the value associated to different actions. Under limited cognitive resources, these representations will necessarily be approximations whose accuracy de ...
... In any economic setting, decision making is assisted by learning processes that generate the representations of the environment and, in particular, the value associated to different actions. Under limited cognitive resources, these representations will necessarily be approximations whose accuracy de ...
The Role of Operating Leverage in Asset Pricing
... Berk, Green, and Naik (1999) are among the first in this line of research. Through a dynamic model they develop, the authors show that optimal investment decisions account for a predictable change in firm’s assets-in-place and growth opportunities and thus impacts the systematic risk and expected re ...
... Berk, Green, and Naik (1999) are among the first in this line of research. Through a dynamic model they develop, the authors show that optimal investment decisions account for a predictable change in firm’s assets-in-place and growth opportunities and thus impacts the systematic risk and expected re ...
Homeownership 2.0 - Chicago Unbound
... an advanced degree). To the extent that local housing prices are correlated with the performance of the ...
... an advanced degree). To the extent that local housing prices are correlated with the performance of the ...
Fair Value Accounting and Measures of U.S. Corporate Profits for
... little as 4.6 percent in 2008Q4. Shares for the other components of GDPI either increased or remained relatively steady. In addition, shares of corporate profits earned by domestic financial corporations and domestic non-financial corporations are approximately 30 percent and 70 percent, respectivel ...
... little as 4.6 percent in 2008Q4. Shares for the other components of GDPI either increased or remained relatively steady. In addition, shares of corporate profits earned by domestic financial corporations and domestic non-financial corporations are approximately 30 percent and 70 percent, respectivel ...
Economic Update - Multi
... stated all views are those of Cazenove Capital Management. It may not be reproduced in any form without the express permission of Cazenove Capital Management and to the extent that it is passed on, care must be taken to ensure this is in the form which accurately reflects the information given here. ...
... stated all views are those of Cazenove Capital Management. It may not be reproduced in any form without the express permission of Cazenove Capital Management and to the extent that it is passed on, care must be taken to ensure this is in the form which accurately reflects the information given here. ...
Dreyfus Investment Portfolios, MidCap Stock Portfolio
... Equities are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus. Stocks of midcap companies often experience sharper price fluctuations than stocks o ...
... Equities are subject generally to market, market sector, market liquidity, issuer, and investment style risks, among other factors, to varying degrees, all of which are more fully described in the fund’s prospectus. Stocks of midcap companies often experience sharper price fluctuations than stocks o ...
NBER WORKING PAPER SERIES Jesús Fernández-Villaverde
... economies borrow have a substantial e¤ect on real variables like output, consumption, investment, and hours worked. These e¤ects appear even when the level of the real interest rate itself remains constant. We argue that, consequently, the time-varying volatility of real interest rates is an importa ...
... economies borrow have a substantial e¤ect on real variables like output, consumption, investment, and hours worked. These e¤ects appear even when the level of the real interest rate itself remains constant. We argue that, consequently, the time-varying volatility of real interest rates is an importa ...
Foreign Exchange Risk Mitigation for Power and Water Projects in
... There are several well-tested guarantee instruments available to protect investors and lenders from government actions to restrict conversion and transfer; they are described in Appendix 1. This paper focuses principally on exchange rate risk. Interest Rate Parity Theory ...
... There are several well-tested guarantee instruments available to protect investors and lenders from government actions to restrict conversion and transfer; they are described in Appendix 1. This paper focuses principally on exchange rate risk. Interest Rate Parity Theory ...
Introduction to microeconomics: the market system, resource
... or economically as possible, individuals and nations could maximise their material standard of living and become better off because production or economic activity is at its highest level. By contrast, unwise choices about how productive resources are to be used result in lower national output and r ...
... or economically as possible, individuals and nations could maximise their material standard of living and become better off because production or economic activity is at its highest level. By contrast, unwise choices about how productive resources are to be used result in lower national output and r ...