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Der Bestimmung risikoadäquater Diskontierungssätze kommt bei der Unternehmensbedeutung eine zentrale Bedeutung zu. Wird zu deren Bestimmung in der praktischen Anwendung das CAPM verwendet, gilt es dabei, risikolose Zinssätze und Risikoprämien zu bestimmen, für die erwartete Renditen des...
Persistent link: https://www.econbiz.de/10010263304
The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past decade though, it led in a rather systematic way to bad investments decisions. One of MPT's main assumptions, investor risk aversion that translates into volatility aversion, biases...
Persistent link: https://www.econbiz.de/10012905661
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...
Persistent link: https://www.econbiz.de/10014238291
equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …
Persistent link: https://www.econbiz.de/10014023861
valuation. Given the huge volume of research in this area, the review focuses on studies that either use or inform on accounting …
Persistent link: https://www.econbiz.de/10014433769
Persistent link: https://www.econbiz.de/10012841039
's value investing paradigm. We propose that if, instead of getting fixated on investors' optimal rational decision making, we … adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision making is by … definition imperfect due to psychological biases, we could derive better investment decision making processes …
Persistent link: https://www.econbiz.de/10012954957
decision making, we adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision … decision making processes …
Persistent link: https://www.econbiz.de/10012948474
In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry book-to-market ratios...
Persistent link: https://www.econbiz.de/10012968901
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889