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While Merton (1987) proposes that firm value increases with the number of shareholders, relatively few studies have explicitly sought to identify the factors that affect investor participation per se in equity markets. Using a unique dataset that measures the inflow and outflow of equity...
Persistent link: https://www.econbiz.de/10013133071
Asset allocation is at the heart of every portfolio construction process and crucial to its success. Though as diverse as they are innovative, the approaches used to pinpoint the optimal mix of assets mostly have common roots. In the following paper, we address this commonality in depth. First,...
Persistent link: https://www.econbiz.de/10013113921
Passive investing, particularly in emerging markets, has become an increasingly popular means of quick, “diversified” exposure to a particular segment of the markets. Defensive investors, as Benjamin Graham noted, would be best served owning a diversified list of leading companies. Yet it's...
Persistent link: https://www.econbiz.de/10013121779
In “Benjamin Graham and Risk”, Brandes Institute Advisory Board member Bruce Grantier examines the similarities and differences between the modern portfolio theory concept of risk and the writings of Benjamin Graham and other prominent value investors. This article is part of an ongoing...
Persistent link: https://www.econbiz.de/10013121955
Using historical data from 1926 to 2002, the article shows that for investors with very long horizons,(longer than 25 years), stocks were safer in the U.S. than government bonds. For investors with shorter horizons, both stocks and bonds were exposed to substantial risks, and stocks did not...
Persistent link: https://www.econbiz.de/10013097739
Despite the recent spike in cross-asset class correlations, commodities remain an asset class set apart by distinct risk factors that may enhance the diversification of traditional portfolios. Their superior performance relative to equities and fixed income in times of rising inflation may also...
Persistent link: https://www.econbiz.de/10013100187
Pairs trading is a very common trading strategy, and being able to obtain parameters that tell us when to trade and when to get out is of great importance. In this paper I propose a methodology that can improve the performance of traditional pairs trading strategy. I use stochastic beam search...
Persistent link: https://www.econbiz.de/10013101226
Value investors generally characterize themselves as the grown ups in the investment world, unswayed by perceptions or momentum, and driven by fundamentals. While this may be true, at least in the abstract, there are at least three distinct strands of value investing. The first, passive value...
Persistent link: https://www.econbiz.de/10013107536
This paper presents a novel approach to asset class allocation which builds upon macroeconomic factors. Without doubt the financial returns of asset classes are interlinked with the economy. However, it is not clear how to bring the finance and economy world together within a portfolio's asset...
Persistent link: https://www.econbiz.de/10013082474
We examine (i) whether the business practices of Berkshire Hathaway investees are consistent with Warren Buffett's public statements on what constitutes good accounting, governance and investing practices and (ii) whether these practices are associated with Berkshire's initial “selection” or...
Persistent link: https://www.econbiz.de/10013092752