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Ex-Post Analyse von Anlageempfehlungen
Elsenhuber, Ulrike Barbara - 2003
Persistent link: https://www.econbiz.de/10001793218
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Attribution of ex-post realized Sharpe ratio to the predictability of the ex-ante forecast return and risk
Shimizu, Masahito - In: Journal of investment management : JOIM 18 (2020) 3, pp. 109-124
Persistent link: https://www.econbiz.de/10012589114
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Discount Factor in Analyst’s Notes in Russian Capital Market (37 Analytical Teams) : Testing Predicted Beta with Liquidity Adjustment
Teplova, Tamara - 2012
We review 187 research papers of 37 financial analysts in Russian capital market on 2000-2010 time horizons with question: 'How analysts choose discount factor in DCF construction for calculation fair market value'. 96% of the analysts that justify the DCF construction on Russian capital market...
Persistent link: https://www.econbiz.de/10013113257
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On the Definition of Discount Rates in a Multi-Period Equity Valuation Setting
Meitner, Matthias - 2012
The discount rate is one of the most critical variables in every equity valuation. Against this background it is surprising that so far there is no generally accepted definition of this term. Literature provides quite different definitions: expected returns, conditionally expected returns or...
Persistent link: https://www.econbiz.de/10013112572
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Feel the Market : An Attempt to Identify Additional Factor in the Capital Asset Pricing Model (CAPM) Using Generative Pre-Trained Transformer (GPT) and Bidirectional Encoder Repres...
Zhang, Christopher L. - 2023
In the past year, generative AI, led by Chat GPT by Open AI and Bard, a language experiment by Google, generated tremendous attention amongst the public. Their impact on finance, law and general productivity are difficulty to articulate with words. This paper aims to strengthen the...
Persistent link: https://www.econbiz.de/10014352641
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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and … benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy …
Persistent link: https://www.econbiz.de/10012910534
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Betas, Benchmarks and Beating the Market
Kakushadze, Zura - 2019
We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the corresponding betas) do not involve any principal components, nor do they require iterations....
Persistent link: https://www.econbiz.de/10012899182
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Linear Beta Pricing with Inefficient Benchmarks in a Given Factor Structure
Diacogiannis, George - 2019
We show the equivalence between the zero-beta version of a multi-factor arbitrage pricing model and a linear pricing model utilizing undiversified inefficient benchmarks in a given factor structure. The resulting linear model is a two-beta model, with one beta related to the inefficient...
Persistent link: https://www.econbiz.de/10012869354
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Skewness Consequences of Seeking Alpha
Back, Kerry - 2017
Mutual funds seek alpha, but coskewness is also an important performance attribute. Alpha and coskewness relative to the market are negatively correlated in theory, so funds may generate undesirable coskewness in the pursuit of alpha. Empirically, the tradeoff exists for mutual funds and is...
Persistent link: https://www.econbiz.de/10012971474
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Benchmark Concentration : Capitalization Weights versus Equal Weights in the FTSE 100 Index
Tabner, Isaac T. - 2016
Identifying a suitable benchmark is essential when testing asset pricing models, measuring the performance of active investors, or providing market proxy portfolios for passive investors. Concern that increased domination of capitalization weighted stock indices by a few large firms will lead to...
Persistent link: https://www.econbiz.de/10013004462