distribution risk and equity returns

... (CAPM, 4-factor and 5-factor by Pastor and Stambaugh) fail to explain the inefficiency premium, should inefficiency premium be included as a pricing factor? Is inefficiency a risk- factor? In ... tend to increase This coincides with Fama and French (1995) argument that the worst firms are forced to improve in order to survive in the market Nguyen and Swanson further document that firm efficiency ... the information that is present in Book-to-market ratio (Fama and French's main ratio) The paper provides the following implications and opportunity for further expansion: With respect to Asset...

Ngày tải lên: 24/01/2014, 00:20

... and Mei Capitalization rate on equity REIT explains the variation in both REIT returns and small capitalization stock returns 1993 Brown and Otsuki Risk premia change through time 1997 Ling and ... time-varying risk sensitivities and premia of US commercial real estate 1998 Karolyi and Sanders There are time-varying risk premiums in stocks, bonds and REITs returns 2000 Mei and Hu There ... US share returns Some macroeconomic variables are risks and are rewarded in the stock market Both domestic and international forces are determinants of equity returns The stock market risk premium...

Ngày tải lên: 10/11/2015, 11:29

... example, DeYoung and Roland [2001] and Stiroh [2004] In what follows, we refer to both BHCs and commercial banks simply as “banks” and note the distinction between a holding company and an individual ... example, by Gorton and Rosen [1995], Choi and Elyasiani [1997] and Purnanandam [2007], banks can, and in many cases do, actively use derivatives to alter their 21 interest rate risk profile Banks ... R and Z Wang (1996): “The Conditional CAPM and the Cross Section of Expected Returns, ” Journal of Finance, 51, 3–53 Jensen, G R and R R Johnson (1995): “Discount Rate Changes and Security Returns...

Ngày tải lên: 17/02/2014, 03:20

... interest rate changes (Flannery and James, 1984; Brewer and Lee, 1985; Scott and Peterson, 1986; Kane and Unal, 1988; Saunders and Yourougou, 1990; Kwan, 1991; Akella and Greenbaum, 1992; Choi et ... between bank stock returns and interest rate changes (Choi et al., 1996; Allen and Jagtiani, 1997; Flannery et al., 1997; Elyasiani and Mansur, 1998; Benink and Wolff, 2000; Jianping and Zheng Wang, ... stand for the return and excess return respectively for stock i at time t, and Rf,t stands for the risk- free rate at time t calculated as the holding period return of a One-week bond4 All returns...

Ngày tải lên: 22/03/2014, 17:20

... history of drug use Drug and Alcohol Dependence 1998, 50:137-145 Molitor F, Ruiz JD, Flynn NM, Mikanda JN, Sun RK, Anderson R: Methamphetamine use and sexual and injection risk behaviors among out-of-treatment ... risk for injectors who resided there In conclusion, differences in drug preparation and distribution practices for opioid versus stimulant injection may account for some differences in risk and ... residence and injection- and sex-related HIV risk behaviors and were tested for HIV Page of (page number not for citation purposes) Harm Reduction Journal 2009, 6:22 [16] Questions on drugs injected and...

Ngày tải lên: 11/08/2014, 18:20

... risk respectively Their methods implicitly assume that time-series market risk and idiosyncratic risk follow a random walk process and approximate the expected market risk and idiosyncratic risk ... market equity, book-to-market equity ratio, leverage and earnings-price ratio, and find the combination of market equity and book-to-market equity ratio seems to absorb the roles of leverage and ... Q-statistic and P-value both on average reject the random walk hypothesis of market risk and idiosyncratic risks at 1%, 1% and 5% level respectively This indicates that using lagged market risk and idiosyncratic...

Ngày tải lên: 09/10/2015, 11:06

... default risk and for the bottom-up analysis of risk and return of credit portfolios To get a better understanding of these dynamics we analyze how expected and unexpected shocks on interest rates and ... DEFAULT RISK AND INTEREST RATES: AN EMPIRICAL STUDY INTRODUCTION Credit and interest rate risks are among the most important risks faced by financial institutions It is well known that the two risks ... default rate and real interest rates Longstaff and Schwartz (1995) develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk, and test its...

Ngày tải lên: 26/10/2012, 11:21

... doctors and is partly understandable They may not be well informed and may exaggerate the risk by relying on manufacturers drug pamphlets They may also be thinking about possible law suits and are ... proportion of women treated with drugs with high and moderate teratogenic risk during the study pregnancy was 0.8% and 0.4% in the group of cases with CAs and controls without CAs in the data set of ... posterior cleft palate and hypospadias covers the 12th-14th and 14th-16th weeks of gestation, while the critical period of undescended testis and patent ductus arteriosus is to months and to 10 months,...

Ngày tải lên: 02/11/2012, 11:12

... credit and debit transfers, e-money, and stored-value transactions) and for all points on the payments Nonbanks and Risk in Retail Payments 19 chain (hardware and software provision, consumer and ... Technology and Policy Adoption, Combating Cybercrime, Privacy and Trust Information Risk and the Economics of Security presents the latest research on the economics driving both the risks and the ... information risk A communication strategy helps the organization quickly recognize and understand economically driven risks Often this involves embedding information risks into an overall risk communication...

Ngày tải lên: 18/10/2013, 17:15

... fewer and cheaper resources The situation is however more complex in the case of CDN since higher bandwidth and lower bandwidth cost also have as a side effect that customers develop more and more ... such as streaming and ondemand Important research questions are, e.g., scalability, overlay traffic measurements and modeling, data search and retrieval, load balancing, churn handling, QoS provisioning ... multicast, to handle the last hop distribution, and on a separate set of protocols for the core multicast forwarding and caching V C ONCLUSIONS The paper has reported on recent developments and challenges...

Ngày tải lên: 09/12/2013, 21:15

... 2-15 Multicast Distribution Trees and Protocol Types Objectives Upon completion of this section, the student will be able to: n n 2-16 Distinguish between source-rooted and shared distribution ... meaning of “push” and “pull” models and their association with dense and sparse mode multicast protocols IP Multicast Technology Copyright © 2000, Cisco Systems, Inc Multicast Distribution Trees ... Path Tree (SPT) between a source Source1 and receivers Receivers1 and Receiver2 We assume that the path between source and receivers over routers A, C and E is the path with the lowest cost Packets...

Ngày tải lên: 11/12/2013, 14:15

... hypotheses—that similar risks demand similar returns, and that short-term investors look at risk and return in terms of intrinsic time—leads to alternative relationships between risk and return In the ... invariance principle and its consequences 2.1 A stock’s risk and return Suppose the market consists of (i) a single risk- free bond B of price B that provides a continuous riskless return r, and (ii) the ... but rather, risk and return as measured in intrinsic time I will identify the word risk with volatility, that is, with the annualized standard deviation of returns However, even if risk were...

Ngày tải lên: 12/12/2013, 14:15

Ngày tải lên: 12/12/2013, 23:15

... power and control to the hand If standards were defined, quick-change mechanisms and a family of hand grippers and robot tools would rapidly become available The development of a dexterous hand ... but rather in understanding and standardizing the interface requirements These issues and others were covered at a National Bureau of Standards (NBS) workshop in January 1980 and again in September ... the hands attached to a robot seeks to improve dexterity, enabling robots to handle a variety of parts or tools in complex situations Two goals are the quick-change hand and the dexterous hand...

Ngày tải lên: 13/12/2013, 01:15

... risk and bonds without default risk Response to an Increase in Default Risk on Corporate Bonds Credit Ratings Agencies Corporate-Canada Bond Spread 1978 - 2005 Other Factors influencing the Risk ... Risk and Term Structure of Interest Rates • The risk structure of interest rates looks at bonds with the same term to maturity and different interest rates • The ... Risk • Default risk - occurs when the issuer of the bond is unable or unwilling to make interest payments or pay off the face value – Canadian government bonds are considered default free • Risk...

Ngày tải lên: 05/01/2014, 16:56

Ngày tải lên: 15/02/2014, 05:20

... interest rate risk and inflation risk on expected returns and to shed further light on the results in Pflueger and Viceira (2011), who find that inflation-indexed bond returns in both the US and the UK ... (Campbell and Viceira 2001) Campbell, Sunderam, and Viceira (2010) provide a model, in which inflation risk and real interest rate risk vary over time and lead to predictable variation in bond excess returns ... log returns with no variance adjustments for Jensen’s inequality Table shows the means and standard deviations of risk premia We obtain the nominal risk premium, the risk premium on TIPS and...

Ngày tải lên: 16/02/2014, 02:20

Ngày tải lên: 18/02/2014, 11:20

... Units, and Sulfur Recovery Units Risk and Technology Review (RTR) ► ► 2007 proposed Risk and Technology Review amendments for non-combustion sources 2009 withdrew amendments related to risk review ... ecosystems and wildlife, climate change health risk to sensitive populations 18 Basics of Risk and Technology Review ► Risk Review ► CAA Section 112 (f)(2) requires EPA to review the MACT standard ... MACT and - Propose and promulgate RTR amendments and evaluate whether additional rule revisions are necessary Respond to issues raised in litigation and petitions 12 Refinery Processes and Emissions...

Ngày tải lên: 05/03/2014, 11:20