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Stock Market Returns of Leading Green Companies of USA in Comparison with Their Benchmark Indices

Sankar R.N., Ajith - 2013

Companies are increasingly finding innovative ways to do business in a sustainable manner. These corporations are responding to their own needs to run a conscience-driven business and also the needs of consumers who are looking forward to buy products and services that are friendly to the...

Persistent link: https://www.econbiz.de/10013086566

Evaluating Hedge Funds with Pooled Benchmarks

O'Doherty, Michael S. - 2014

The evaluation of hedge fund performance is challenging given the flexible nature of hedge funds' strategies and their lack of operational transparency. As a result inference about skill is inevitably contaminated by the error in the benchmark model. To address this concern, we propose a model...

Persistent link: https://www.econbiz.de/10013064917

Estimating the Cost of Equity : Why Do Simple Benchmarks Outperform Factor Models?

Kapadia, Nishad - 2014

We compare the accuracy of cost of equity estimates based on leading factor models to two simple alternatives: the asset mean and the market mean. The market mean proves to be a serious competitor to traditional implementations of factor models even if the underlying factor model is true....

Persistent link: https://www.econbiz.de/10013065759

International Mutual Funds : MSCI Benchmarks and Portfolio Evaluation

Comer, George - 2012

We examine the sensitivity of estimates of abnormal performance to models that vary in the degree to which they explicitly control for variation in the regional and emerging market allocations of diversified international mutual funds. Models based on the most commonly used global MSCI...

Persistent link: https://www.econbiz.de/10013112766

Is the ESG portfolio less turbulent than a market benchmark portfolio?

Ouchen, Abdessamad - In: Risk management : an international journal 24 (2022) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10013163583

Study of Rising Benchmark 10-Year Bond Yield and Its Relevance to Economic Factors

Jape, Dr. Smita - 2020

The paper reviews the increasing benchmark 10-year bond yield. It mentions the factors which are contributing towards the increase in bond yields and also the impact of rising bond yield on the Indian economy. The bond yield has impact on stock market, debt market and the currency of a country....

Persistent link: https://www.econbiz.de/10012843039

Do Professional Currency Managers Beat the Benchmark?

Pojarliev, Momtchil - 2008

We investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns earned by currency fund managers have averaged 25 basis points per month. We examine the relationship of these...

Persistent link: https://www.econbiz.de/10012773121

Benchmarking the Returns to Venture

Woodward, Susan E. - 2004

We describe a new index of the current and historical returns to venture-type capital. The conceptual basis for the index is the value of a continuously reinvested value-weighted portfolio of all venture-backed and similar pre-public companies. It provides a metric for private equity comparable...

Persistent link: https://www.econbiz.de/10012785970

Explaining and Benchmarking Corporate Bond Returns

Cici, Gjergji - 2017

We evaluate how different betas and characteristics related to default, term, and liquidity risk fare against one another in explaining the cross-section of corporate bond returns. We find that characteristics – credit rating, duration, and Amihud illiquidity measure–fare better. Yields add...

Persistent link: https://www.econbiz.de/10012953081

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

Persistent link: https://www.econbiz.de/10012910534