Esta monografía introduce al concepto de riesgo de interés: qué es, la duración modificada como medida del riesgo de interés, y el riesgo de reinversión.This monograph introduces to the interest risk: what is it, the modified duration as a measure of interest risk, and the reinvestment risk

The paper helps understand some of the properties of asset returns that are caused by momentum-driven investors. The purpose of this paper is to investigate the dynamics and statistics of style rotation based on the Barberis-Shleifer model of style switching based on modelling interaction...

This paper examines the connection between shareholdings by different groups of corporate officers (insiders and outsiders), and market valuation in South Africa. Specifically, and distinctively, we examine the effect of shareholdings by employees, chief executive officers, chief financial...

This paper analyzes market mispricings as a function of arbitragers' confidence in their valuation estimates and subjective predictions about the future trades of other investors. New insights on the nature of investor psychology are revealed that help explain market cycles and anomalies like...

This paper models market mispricings as a function of subjective predictions about the endogenously determined future trades of other investors. Utilizing only a very general set of very unrestrictive assumptions, a single boundary condition with only a few variables is deduced that facilitates...

This paper investigates the choice that market makers take when deciding what assets to trade in the face of the diversity in the risk profile of investors. Specifically, financial assets are dichotomized into relatively high risk and relatively low risk assets. Consequently, a model of vertical...

This paper proposed a new way to measure variance risk premium by applying the fractional cointegration relationship between implied variance and realized variance. To find the fractional cointegration coefficient between implied variance and realized variance, we proposed a searching method by...

Distance-to-default is a remarkably robust measure for ranking firms according to their risk of default. The ranking seems to work despite the fact that the Merton model from which the measure is derived produces default probabilities that are far too small when applied to real data. We use...

We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is best characterized by an autoregressive process with...

This paper provides a framework for defining, formulating and evaluating value investment strategies. We define the relative value of an investment in terms of the prospective yield implied by the investment's current price and expected future cash flows. We develop an intuitive and parsimonious...