This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...

We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market...

This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...

Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...

The existence of influence among participants on financial markets is affirmed by the theory of behavioural finance through the consideration of sociological aspects. The aim of this paper is to empirically contrast two kinds of social influence, namely herding and individual social interaction....

Recent developments in the U.S. corporate bond market, as well as recent evidence on the pricing of illiquidity in this market, prompt us to reexamine the pricing of new bonds. The pricing of new investment-grade bonds appears to reflect both initial underpricing and higher liquidity: New bonds...

After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...

Certain corporate transactions (eg. insider purchases and buyback announcements) are known to be robust predictors of firm-level returns. However, I empirically show equity analysts largely ignore such informative, yet subtle, signals of stocks they cover. A trading strategy that follows...

For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity (PE) funds. Although past research has revealed valuable insight into the features of those funds, most risk and return model struggle with the dispersion of PE funds' returns,...

The study tries to practically use the widely taught Capital Asset Pricing Model (CAPM) model for making investment decisions on Bombay Stock Exchange (BSE) –500 Index. Using CAPM, the study tries to investigate whether securities on BSE 500 are over-valued, properly valued or under-valued....