The Regression Tree (RT) sorts the samples using a specific feature and finds the split point that produces the maximum variance reduction from a node to its children. Our key observation is that the best factor to use (in terms of MSE drop) is always the target itself, as this most clearly...

The paper discusses the lower partial moments for the return of the investment portfolio which consists of the assets whose random incomes are modeled by variance-gamma, gamma distributions and constants.The formulas depend on values of generalized hypergeometric functions. As a corollary, the...

Drawing upon recent research on the governance effect of information competition among informed investors, we hypothesize a cross-sectional variation in future stock returns that is conditional on information competition. Measuring competition using the concentration of institutional ownership,...

This paper examines the prospect of revitalizing asset-backed and non-agency mortgage-backed securitization markets rendered nearly dormant in the wake of the 2008 financial crisis. First, it briefly summarizes the background of the debacle and presents historical parallels for context. Then the...

Purpose- This study investigates the impact of Corporate Social Responsibility (CSR) on stock prices of Indian listed companies. The literature reviews show a strong contradictory of the relationship between CSR and stock prices which is still debatable. This study will tell whether there is a...

The recent surge in the use of team-managed funds in the mutual fund industry suggests that the benefits of team management might outweigh its costs. However, extant empirical evidence is not consistent with the view that team managed funds generate superior returns relative to individual...

Prior SEC inquiries concerning self-dealing in securities lending programs suggest potential conflicts of interest when funds employ lending agents that are affiliated with their sponsor. We posit that the level of self-dealing is potentially greater, and mutual funds' securities lending returns...

Research on IPOs commonly focuses on the relation between firms' pre IPO ownership structure and subsequent stock performance. We extend the literature by additionally focusing on companies' post IPO ownership structure, in particular private equity capital engagement, to analyze IPOs stock...

The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...

This paper examines dependency among stock returns, the line of business in the non-life insurance industry and solvency II margin capital requirements. It is too early to find general insurers being listed in NSE. Investors' reaction to the dependence between lines of non-life business is...