mutual funds sharing risks and rewards

... Ownership of Mutual Funds Inside and Outside Retirement Plans Number and percentage of U.S households, 1998–2011 Share of U.S households Percent Own mutual funds Own mutual funds Own mutual funds inside ... of Mutual Funds More Than 52 Million U.S Households Owned Mutual Funds in 2011 Assets in U.S.-registered investment companies mutual funds, exchange-traded funds (ETFs), closed-end funds, and ... 44.1 percent, owned mutual funds in 2011 (Figure 1), and eight in 10 households that owned ETFs or closed-end funds also owned mutual funds The number of households owning mutual funds decreased...

Ngày tải lên: 19/02/2014, 09:20

... of Mutual Funds Inside and Outside Employer-Sponsored Retirement Plans Number and percentage of U.S households, 1998–2012 Share of U.S households Percent Own mutual funds Own mutual funds Own mutual ... 44.4 percent, owned mutual funds in 2012 (Figure 1), and more than eight in 10 households that owned ETFs or closed-end funds also owned mutual funds The percentage of U.S households owning mutual funds has ... FIGURE A1 CONTINUED Household Ownership of Mutual Funds Number and percentage of U.S households owning mutual funds, 1980–2012 1, 2, U.S households owning mutual funds Share of U.S households Memo:...

Ngày tải lên: 19/02/2014, 09:20

... expand their investments 10 I Pharmaceutical R&D: Costs, Risks and Rewards raise substantial R&D capital in external capital markets when future prospects look promising Between July 1990 and ... however, for scientists to understand the structure and function of each Thus, at the same time that new research technology advances understanding, it expands the choices and increases the chances of ... drugs worthy of clinical testing, and if these new drugs are more likely to successfully jump the hurdles in each phase and 18 I Pharmaceutical R&D: Costs, Risks and Rewards Figure 1-3—IND Applications...

Ngày tải lên: 11/04/2014, 10:02

... Department of Operations Research and Financial Engineering, and a trustee of the BlackRock complex of closed-end funds and Guardian Life sponsored open-end mutual funds He has authored several books ... Management and Analysis: Second Edition by Frank J Fabozzi and Pamela P Peterson Measuring and Controlling Interest Rate and Credit Risk: Second Edition by Frank J Fabozzi, Steven V Mann, and Moorad ... Choudhry The Mathematics of Financial Modeling and Investment Management by Sergio M Focardi and Frank J Fabozzi Short Selling Strategies, Risks, and Rewards FRANK J FABOZZI EDITOR John Wiley &...

Ngày tải lên: 14/08/2014, 05:20

... pension plan’s index manager was obtaining and administrative costs.4 The works of Gastineau,5 Blume and Edelen,6 and Quinn and Wang7 help us understand how these costs can aggregate to as much ... distinguishes between various kinds of dividend and interest income, on the one hand, and payments in lieu of such dividend and interest income, on the other hand This distinction can be significant for ... make Mutual funds, for example, often use ETFs to equitize small cash balances In fact, mutual funds probably account for a substantial fraction of reported ETF institutional ownership.13 Some mutual...

Ngày tải lên: 14/08/2014, 05:20

... to the idea of hedge funds (which try to take both long and short positions), and to mutual funds that take both long and short positions Restrictions on Short Selling and Exploitable Opportunities ... practiced, including Argentina, 86 THEORY AND EVIDENCE ON SHORT SELLING Brazil, Chile, Finland, India, Israel, New Zealand, the Philippines, Poland, Spain, and Turkey In China the short sales restrictions ... positions and might even be at a lower cost However, Koski and Pontiff find in a study of equity mutual funds that 79% make no use of derivatives, even though these are more likely to be permitted and...

Ngày tải lên: 14/08/2014, 05:20

... (Aggarwal and Rivoli,33 Aggarwal, Leal, and Hernandez,34 Brav and Gompers,35 Carter, Dark, and Singh,36 Dawson,37 Finn and Higham,38 Ibbotson,39 Kunz and Aggarwal,40 Levis,41 Loughran,42 Loughran and ... 3–27 144 THEORY AND EVIDENCE ON SHORT SELLING and Bernstein,46 Stoll and Curley,47 and Uhlir48) have shown that IPOs worse than the general markets, in spite of their higher risks Ritter examined ... divergence of opinion increases the slope of the demand curve The steeper the demand curve, the more price fluctuates with random buying and selling Thus price and return volatility can serve as surrogates...

Ngày tải lên: 14/08/2014, 05:20

... level of earnings and they will now be $2.00 This calls for adjusting the demand curve and becoming a buyer at $40 Imagine a call market in which everyone submits their demand curves and a clearing ... bought and those with lower estimates sold (imagine an auction market where they send in a demand curve based on their estimates and then these demand curves were aggregated by computer and a ... Danielson, and Sorescu, “Short Sale Constraints and Overvaluation” and also, Rodney D Boehme, Bartley R Danielson, and Sorescu, “The Valuation Effects of Dispersion of Opinion: Premium and Discount.”...

Ngày tải lên: 14/08/2014, 05:20

... return and variance and thus hold mean-variance efficient portfolios Although the standard Sharpe-Lintner CAPM3 allows for short selling, the assumptions of homogeneous expectations and borrowing and ... sales but ignore escrow and margin requirements and thus tend to give solutions with extreme positive and negative weights that cannot be implemented in practice 205 206 THEORY AND EVIDENCE ON SHORT ... actual prices and synthetic prices to be very small For a handful of firms, though, there are extreme violations Confirming the 3Com/Pam results, for this handful of firms, Ofek, Richardson, and Whitelaw...

Ngày tải lên: 14/08/2014, 05:20

... the following: “I’ve known so -and- so for ten years [and my fund is loaded to the gills on its stock] and so -and- so is one of the most honest people I’ve met [and so -and- so has always made his or ... Senchack and Stark, as well as the concentrated focus of their 5- and 9-day event windows In addition, Senchack and Starks analyze only large percent changes in short interest, while Figlewski and ... Asquith and Meulbrook, on the other hand, wish to analyze RSI, not large levels or changes in short interest This is because RSI reflects the supply of shares outstanding in the denominator, and they...

Ngày tải lên: 14/08/2014, 05:20

... means Hedge funds, for example, often set up offshore accounts, which are not subject to Reg T Broker-dealers are subject to much less stringent requirements than Reg T, and hedge funds and other ... Bruce I Jacobs and Kenneth N Levy, “20 Myths About Long-Short,” Financial Analysts Journal (September/October 1996), pp 81–85; and Bruce I Jacobs and Kenneth N Levy, “The Long and Short on LongShort,” ... pursuing returns and controlling risk, enhances the ability to implement, and profit from, these insights 14 See James A White, “How Jacobs and Levy Crunch Stocks for Buying and Selling,” Wall...

Ngày tải lên: 14/08/2014, 05:20

... Philippines, Poland, Spain, and Turkey.7 Finally, the remaining five countries—Hong Kong, Norway, Sweden, Malaysia, and Thailand—comprise a group for which short sales regulation and practice changed ... Atiase, and Gift5 and Ajinkya and Gift6 also documented a risk and divergence of opinion correlation They measured investors’ divergence of opinion by the divergence in analysts’ opinions and risk ... Risk and Return,” Table in John B Guerard and Mustafa N Gultekin (eds.), Handbook of Security Analyst Forecasting and Asset Allocation (Greenwich, CT, JAI Press Inc., 1992) 11 Orie E Barron and...

Ngày tải lên: 14/08/2014, 05:20

... “Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation,” Journal of Finance (May 1973), pp 515–522; and Rodney L Roenfeldt and Donald L Tuttle, “An Examination of the Discounts and ... Litzenberger and Howard B Sosin, “The Theory of Recapitalizations and the Evidence of Dual Purpose Funds, ” Journal of Finance (December 1977), pp 1433–55, and Robert H Litzenberger and Howard B ... valuation of closed-end funds and for mergers and divestitures The marginal investors who set stock prices will be different for different clientele groups Closed-end funds and conglomerates will...

Ngày tải lên: 14/08/2014, 05:20

... Department of Operations Research and Financial Engineering, and a trustee of the BlackRock complex of closed-end funds and Guardian Life sponsored open-end mutual funds He has authored several books ... Management and Analysis: Second Edition by Frank J Fabozzi and Pamela P Peterson Measuring and Controlling Interest Rate and Credit Risk: Second Edition by Frank J Fabozzi, Steven V Mann, and Moorad ... Choudhry The Mathematics of Financial Modeling and Investment Management by Sergio M Focardi and Frank J Fabozzi Short Selling Strategies, Risks, and Rewards FRANK J FABOZZI EDITOR John Wiley &...

Ngày tải lên: 14/08/2014, 09:21

... pension plan’s index manager was obtaining and administrative costs.4 The works of Gastineau,5 Blume and Edelen,6 and Quinn and Wang7 help us understand how these costs can aggregate to as much ... distinguishes between various kinds of dividend and interest income, on the one hand, and payments in lieu of such dividend and interest income, on the other hand This distinction can be significant for ... make Mutual funds, for example, often use ETFs to equitize small cash balances In fact, mutual funds probably account for a substantial fraction of reported ETF institutional ownership.13 Some mutual...

Ngày tải lên: 14/08/2014, 09:21

... to the idea of hedge funds (which try to take both long and short positions), and to mutual funds that take both long and short positions Restrictions on Short Selling and Exploitable Opportunities ... practiced, including Argentina, 86 THEORY AND EVIDENCE ON SHORT SELLING Brazil, Chile, Finland, India, Israel, New Zealand, the Philippines, Poland, Spain, and Turkey In China the short sales restrictions ... positions and might even be at a lower cost However, Koski and Pontiff find in a study of equity mutual funds that 79% make no use of derivatives, even though these are more likely to be permitted and...

Ngày tải lên: 14/08/2014, 09:21

... (Aggarwal and Rivoli,33 Aggarwal, Leal, and Hernandez,34 Brav and Gompers,35 Carter, Dark, and Singh,36 Dawson,37 Finn and Higham,38 Ibbotson,39 Kunz and Aggarwal,40 Levis,41 Loughran,42 Loughran and ... 3–27 144 THEORY AND EVIDENCE ON SHORT SELLING and Bernstein,46 Stoll and Curley,47 and Uhlir48) have shown that IPOs worse than the general markets, in spite of their higher risks Ritter examined ... divergence of opinion increases the slope of the demand curve The steeper the demand curve, the more price fluctuates with random buying and selling Thus price and return volatility can serve as surrogates...

Ngày tải lên: 14/08/2014, 09:21

... level of earnings and they will now be $2.00 This calls for adjusting the demand curve and becoming a buyer at $40 Imagine a call market in which everyone submits their demand curves and a clearing ... bought and those with lower estimates sold (imagine an auction market where they send in a demand curve based on their estimates and then these demand curves were aggregated by computer and a ... Danielson, and Sorescu, “Short Sale Constraints and Overvaluation” and also, Rodney D Boehme, Bartley R Danielson, and Sorescu, “The Valuation Effects of Dispersion of Opinion: Premium and Discount.”...

Ngày tải lên: 14/08/2014, 09:21

... return and variance and thus hold mean-variance efficient portfolios Although the standard Sharpe-Lintner CAPM3 allows for short selling, the assumptions of homogeneous expectations and borrowing and ... sales but ignore escrow and margin requirements and thus tend to give solutions with extreme positive and negative weights that cannot be implemented in practice 205 206 THEORY AND EVIDENCE ON SHORT ... of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” Review of Economics and Statistics (February 1965), pp 13–37 How Short Selling Expands the Investment...

Ngày tải lên: 14/08/2014, 09:21

... the following: “I’ve known so -and- so for ten years [and my fund is loaded to the gills on its stock] and so -and- so is one of the most honest people I’ve met [and so -and- so has always made his or ... stocks under increasing demand may be rationed prior to becoming specials, and this too could explain the Geczy, Musto, and Reed’s results If short sellers worry that the risks of an early recall ... opportunities are pursued to the limits of the costs and risks. 32 30 Joseph Chen, Harrison Hong and Jeremy C Stein, “Breadth of Ownership and Stock Returns,” Journal of Financial Economics (November/December...

Ngày tải lên: 14/08/2014, 09:21