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Geometric Return and Portfolio Analysis
McCulloch, Brian - Treasury, Government of New Zealand - 2003
distinction between expected annual arithmetic return and expected geometric return is not well understood, both in respect of …Expected geometric return is routinely reported as a summary measure of the prospective performance of asset classes … and investment portfolios. It has intuitive appeal because its historical counterpart, the geometric average, provides a …
Persistent link: https://www.econbiz.de/10005464952
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Geometric Return and Portfolio Analysis
McCulloch, Brian W. - 2003
distinction between expected annual arithmetic return and expected geometric return is not well understood, both in respect of …Expected geometric return is routinely reported as a summary measure of the prospective performance of asset classes … and investment portfolios. It has intuitive appeal because its historical counterpart, the geometric average, provides a …
Persistent link: https://www.econbiz.de/10012739249
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SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS
NWAOBI, GODWIN - EconWPA - 2005
The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...
Persistent link: https://www.econbiz.de/10005561601
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Heterogeneous Expectations and Long Range Correlation of the Volatility of Asset Returns
Coulon, Jérôme - 2010
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a semi-parametric model of investors' anticipations, we...
Persistent link: https://www.econbiz.de/10012715774
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Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to … groups to anticipate correctly economic growth and excess stock returns is not identical, implying that not all sentiment is … power for both GDP growth and excess stock returns, and that the results are robust to the inclusion of information …
Persistent link: https://www.econbiz.de/10009647230
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to … groups to anticipate correctly economic growth and excess stock returns is not identical, implying that not all sentiment is … power for both GDP growth and excess stock returns, and that the results are robust to the inclusion of information …
Persistent link: https://www.econbiz.de/10009647399
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An inflation expectations horserace
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10009647457
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The case for higher frequency inflation expectations
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
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On Risk - Building a Definition
Lemos, Filipe - 2016
This article aims to build through the collection of inputs from prior research, regulatory input and practitioner's experience, a comprehensive definition of risk.Risk is not measurable uncertainty nor volatility. Risk is a three part concept: (1) risk is the potential that events may have an...
Persistent link: https://www.econbiz.de/10012998705
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Ethical vs. non-ethical - is there a difference? Analyzing performance of ethical and non-ethical investment fund
Lundberg, Linnéa; Novák, Jiří; Vikman, Maria - 2009
yields mixed results. This paper investigates the differences in risk profiles and realized returns between ethical and non …. The analysis of the portfolio composition shows that there are small differences in the structure of portfolios concerning …
Persistent link: https://www.econbiz.de/10010322203