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Securities transaction tax-case study of India
Malik, Neha - 2014
attempts to quantify the impact of STT imposition and subsequent revisions on volatility and trading volume during Oct 2003 …-July 2013. Empirical results show a mixed response of volatility and volume to changes in STT. Even though STT has …
Persistent link: https://www.econbiz.de/10011807679
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Performance Measurement of Hedge Funds Using Data Envelopment Analysis
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
Data envelopment analysis (DEA) is a nonparametric method from the area of operationsresearch that measures the relationship of produced outputs to assignedinputs and determines an efficiency score. This efficiency score can be interpretedas a performance measure in investment analysis. Recent...
Persistent link: https://www.econbiz.de/10005861540
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The cross section of positively weighted portfolios
Niedermayer, Daniel; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007
This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...
Persistent link: https://www.econbiz.de/10005862639
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The impact of heterogeneous beliefs on trading volume
Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...
Persistent link: https://www.econbiz.de/10005857971
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Irreversible Investment in General Equilibrium
Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium feedback effects of lumpy investments on optimal...
Persistent link: https://www.econbiz.de/10005858793
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Reits' Growth Options and Asset Pricing Dynamics across Time
Tan, Cheng Wee; Tirtiroglu, Dogan; Tirtiroglu, Ercan - 2013
Our paper makes two empirical contributions on REITs' asset pricing over three sequential and mutually exclusive time periods. The first yields the beta estimates of (i) assets, (ii) growth options and (iii) assets-in-place, embedded in the valuations of REITs. We develop a new approach to...
Persistent link: https://www.econbiz.de/10010500235
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Risk, Uncertainty, and Expected Returns
Bali, Turan G.; Zhou, Hao - 2013
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks...
Persistent link: https://www.econbiz.de/10010500237
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Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013
, liquidity, co-skewness, idiosyncratic volatility, and preference for lottery-like assets. …
Persistent link: https://www.econbiz.de/10010500239
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Liquidity Shocks and Stock Market Reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and … persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six … months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more …
Persistent link: https://www.econbiz.de/10010500241
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Ambigüedad, aversión por la ambigüedad y reservas de valor en Argentina
Corso, Eduardo - 2015
Persistent link: https://www.econbiz.de/10011417931