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Identifying the non-normality premium of an investment
Hood, Matthew; Nofsinger, John R.; Small, Kenneth - In: Managerial Finance 35 (2009) March, pp. 385-403
Purpose – The purpose of this paper is to introduce a non-normality premium (NNP) to identify the extra return that will compensate an investor for a non-normal return distribution. The NNP quantifies the economic significance of non-normality to complement a statistical significance test of...
Persistent link: https://www.econbiz.de/10005081242
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Under the microscope: valuation and hedge funds
Haskin, Benjamin J.; Davis, Joseph G.; Flynn, Jocelyn C. - In: Journal of Investment Compliance 10 (2009) 3, pp. 5-25
Purpose – The current financial crisis revealed weaknesses in the US financial system, including the difficulty of valuing complex assets. This paper seeks to examine regulatory and compliance issues for hedge funds valuing complex assets. Design/methodology/approach – Within the context of...
Persistent link: https://www.econbiz.de/10014893307
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Identifying the non‐normality premium of an investment
Hood, Matthew; Nofsinger, John R.; Small, Kenneth - In: Managerial Finance 35 (2009) 4, pp. 385-403
Purpose – The purpose of this paper is to introduce a non‐normality premium (NNP) to identify the extra return that will compensate an investor for a non‐normal return distribution. The NNP quantifies the economic significance of non‐normality to complement a statistical significance...
Persistent link: https://www.econbiz.de/10014940045
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South Africa; Financial System Stability Assessment, Including Report on the Observance of Standards and Codes on the following topic: Securities Regulation
International Monetary Fund (IMF); International … - 2008
This paper discusses the Financial System Stability Assessment for South Africa, and reviews the Report on the Observance of Standards and Codes on Securities Regulation. The assessment reveals that South Africa’s sophisticated financial system is fundamentally sound and has so far...
Persistent link: https://www.econbiz.de/10011244235
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The impact of buyer‐type on house price
Larsen, James E. - In: International Journal of Housing Markets and Analysis 3 (2010) 1, pp. 60-68
Purpose – This paper aims to report the results of a study conducted to determine whether investors systematically pay less for single‐family houses than do buyer/residents. Design/methodology/approach – Data from 3,443 single‐family house transactions were subjected to regression...
Persistent link: https://www.econbiz.de/10014777705
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Mark‐to‐market and house asset valuation
Levin, Eric J.; Montagnoli, Alberto; Pryce, Gwilym - In: International Journal of Housing Markets and Analysis 4 (2011) 2, pp. 172-179
Purpose – Downward movements in house prices can exacerbate bank crises if mark‐to‐market methods of asset valuation … index calculation that reflect equilibrium prices rather than temporary undershoots. The purpose of this paper is to propose … a new methodology in order to evaluate whether market house prices are different from their fundamental asset prices …
Persistent link: https://www.econbiz.de/10014777735
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2012 Awards for Excellence
In: International Journal of Housing Markets and Analysis 6 (2013) 1
Persistent link: https://www.econbiz.de/10014777808
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Performance evaluation: a case study of the Greek balanced mutual funds
Artikis, George P. - In: Managerial Finance 29 (2003) 9, pp. 1-8
The present article aims to evaluate the performance of ten domestic balanced mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1998. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation,...
Persistent link: https://www.econbiz.de/10014939680
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Measuring risk in the Greek bond market an alternative approach
Artikis, Panayiotis G. - In: Managerial Finance 29 (2003) 9, pp. 9-20
The capital asset pricing model, using as an approximation of the market portfolio the General Index of the Athens Stock Exchange, has been applied extensively to measure the risk of the bond mutual funds operating in the Greek financial market. This article argues that the General Index of the...
Persistent link: https://www.econbiz.de/10014939681
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Return and risk analysis: a case study in equity mutual funds operating in the Greek financial market
Sorros, John N. - In: Managerial Finance 29 (2003) 9, pp. 21-28
The present article aims to evaluate the performance of sixteen equity mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1999. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation, systematic risk,...
Persistent link: https://www.econbiz.de/10014939682