Under the CAPM assumptions, the market capitalization weighted portfolio is mean-variance efficient. In real world applications it has been shown by various authors that low risk portfolios outperform the market capitalization weighted portfolio. We revisit this anomaly using high-frequency data...

Accurately calculated historical returns are critical inputs for investment decisions. We document that data vendors' adjustments to historical prices for dividends and stock splits result in inaccurate estimations of historical returns. We demonstrate several techniques that can be used to...

Nach dem Vorbild börsennotierter britischer Vereine wird es auch deutschen Profifußballvereinen in absehbarer Zukunft möglich sein, sich in Aktiengesellschaften umzuwandeln. Der anschließende Börsengang soll dann den nach den jüngsten Entwicklungen im Profifußballbereich gestiegenen...

The subject insider trading is controversial. This paper presents series of event studies carried through on the trades with stocks of the firm carried by insiders with the objective to detect abnormal returns, based on the access to privileged information. The sample is composed by trades...

The newest tool for estimating damages in 10b-5 cases is high frequency data. For each stock transaction, high frequency data provides a variety of in-depth information, including date, time (up to the second), price, quantity, and characteristics. High frequency data also provides the date,...

In this paper an attempt was made to determine whether Price-Earnings (P/E) ratios indicate future prices or yields in Indian capital market. While the efficient market hypothesis negates the possibility of prediction, the P/E ratio supporters argue that due to exaggerated investors'...

We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can apply the same techniques to...

Spanish Abstract: Las empresas deciden hacerse públicas por diversas razones, entre ellas podemos mencionar temas de liquidez, obtención de financiamiento y la disminución del costo de capital. Una vez que fue valuada la empresa y que el intermediario financiero fijó un precio para las...

Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. A portfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail...

We investigate how security specific mispricing may persist under limits to arbitrage; specifically, when arbitragers are limited by the availability of substitutes and financial constraints. We use a part of the market to book decomposition as a proxy for mispricing. The availability of...