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Ex Post : The Investment Performance of Collectible Stamps
Dimson, Elroy - 2016
This paper uses stamp catalogue prices to investigate the returns on British collectible postage stamps over the period … 1900–2008. We find an annualized return on stamps of 7.0% in nominal terms, or 2.9% in real terms. These returns are higher … are impacted by movements in the equity market, but the systematic risk of stamps remains low. Stamps partially hedge …
Persistent link: https://www.econbiz.de/10013009195
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Why does fast loan growth predict poor performance for banks?
Fahlenbrach, Rüdiger; Prilmeier, Robert; Stulz, René M. - 2016
From 1973 to 2014, the common stock of U.S. banks with loan growth in the top quartile of banks over a three-year period significantly underperforms the common stock of banks with loan growth in the bottom quartile over the next three years. The benchmark-adjusted cumulative difference in...
Persistent link: https://www.econbiz.de/10011516043
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Market Efficiency in the Age of Big Data
Martin, Ian - 2020
Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...
Persistent link: https://www.econbiz.de/10012844214
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Duration-Driven Returns
Gormsen, Niels Joachim - 2020
We propose a duration-based explanation for the major equity risk factors, including value, profitability, investment, low-risk, and payout factors. Both in the US and globally, these factors invest in firms that earn most of their cash flows in the near future. The factors could therefore be...
Persistent link: https://www.econbiz.de/10012849772
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Reconsidering Returns
Hartzmark, Samuel M. - 2020
Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, inducing mechanical underperformance on ex-dividend days. Newspapers are more pessimistic on these days, consistent with mistaking the index for a return....
Persistent link: https://www.econbiz.de/10012853729
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Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return
Jiang, Yindeng - 2014
We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...
Persistent link: https://www.econbiz.de/10013054634
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q5
Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu - 2018
In a multiperiod investment framework, firms with high expected growth earn higher expected returns than firms with low expected growth, holding investment and expected profitability constant. This paper forms cross-sectional growth forecasts, and constructs an expected growth factor that yields...
Persistent link: https://www.econbiz.de/10011969143
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Market efficiency in the age of big data
Martin, Ian; Nagel, Stefan - 2019
Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...
Persistent link: https://www.econbiz.de/10012156724
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Is there a bubble in the Chinese housing market?
Dreger, Christian; Zhang, Yanqun - 2011
For many analysts, the Chinese economy is spurred by a bubble in the housing market, probably driven by the fiscal stimulus package and massive credit expansion, with possible adverse effects to the real economy. For example, the stock of loans increased by more than 50 percent since the end of...
Persistent link: https://www.econbiz.de/10011550681
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Is there a bubble in the Chinese housing market?
Dreger, Christian; Zhang, Yanqun - 2010
For many analysts, the Chinese economy is spurred by a bubble in the housing market, probably driven by the fiscal stimulus package and massive credit expansion, with possible adverse effects to the real economy. To get insights into the size of the bubble, the house price evolution is...
Persistent link: https://www.econbiz.de/10008748352