Asset returns
Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler
... financial asset returns data, allowing the innovations to assume heavy tails distributions; include jumps on returns in order to get the impact of uncommon events on financial markets; find a faster ...
79
Rev. Bras. Econ. vol.60 número4
... of asset returns is very well understood, due to the implications on derivative pricing and Value at Risk ...these asset returns, since a Lévy process is a simple Markov model with jumps that ...
9
Insper and NOVA School of Business and Economics Double Degree Masters in Economics Program
... for asset returns, Table 6 show a set of results using the lagged trend deviation, 𝑐𝑎𝑦 ̂ 𝑡−1 , as a predictive variable for returns and excess ...real returns nor excess returns in ...
25
Strategic Asset Allocation in Brazil
... Stock returns also have a positive intertemporal hedging ...stock returns and LTA returns ...stock returns are highly negatively correlated with changes in the risk of Brazil variable by ...
26
Concentrated ownership and equilibrium asset prices
... and financial markets causing more diffuse ownership, has led this model to be an increasingly accurate representation of the world. However, this argument is at odds with the data. Holderness, Kroszner and Sheehan ...
59
Rev. Adm. (São Paulo) vol.50 número2
... given asset are non-normal, the traditional measure of correlation (Pearson’s correlation coeficient) is suitable because it is only able to capture linear ...As asset returns are typically ...
12
Parametric Portfolio Policies: An application for a Global Tactical Asset Allocation Model
... expected returns, variances and covariances of all or some of the assets of the portfolio and then using a Markowitz (1952) or a Black and Litterman (1991) approach to optimize the ...the asset moments and ...
23
Asset pricing with a bank risk factor
... To justify that the aggregate Distance-to-Default of the banking sector can be an exogenous source of risk for nonfinancial firms, we proceed in several steps. First, we present evidence that a drop in banks’ DD is ...
48
Rev. adm. empres. vol.55 número1
... in asset pricing, asset allocation and market prices; corporate managerial behavior; in- vestor behavior and investment decision; and cultural and social ...
1
Anticipatory effects in the FTSE 100 index revisions
... Although we are the first to propose a methodology that explicitly accounts for antici- patory effects, there are a few papers that raise similar concerns (see, among others, Denis, McConnell, Ovtchinnikov, and Yu, 2003; ...
33
RAM, Rev. Adm. Mackenzie vol.18 número2
... The results using Granger causality tests exhibit a predictive relation both in search query volume from Google causing changes in the financial variables chosen as in the opposite relation. Search query data on terms ...
27
Asset management within commercial banking groups
... portfolio returns of the client stocks a fund buys and sells, defined as the portfolio of client stocks ...Portfolio returns of the nonclient stocks a fund buys and sells are defined ...month. ...
58
Reputation and stock abnormal returns
... Capital Asset Pricing Model ...expected returns and variance of returns, (4) all transaction costs and taxes are zero, and (5) all assets are in nitely divisible (Jensen, ...
58
STOXX50 Moving Average Monthly Returns
... Throughout this analysis, we assumed that the investor is fully diversified and, in the CAPM world, holds the tangency portfolio that is the market portfolio. In order to derive the weighted average cost of capital ...
8
Asset liquidity and fiscal consolidation programs
... However, studies that took into account the nature of the asset composition are limited to the U.S. For European countries, studies have been relying on net wealth distribution, 2 instead of liquid wealth ...
32
In search of exchange rate predictability: a study about accuracy, consistency, and granger causality of forecasts generated by a Taylor Rule Model
... This study investigates whether a Taylor rule-based model provides short-term, one-month- ahead, out-of-sample exchange-rate predictability. We review important research that concludes that macroeconomic models are able ...
82
Can reversal be explained by post-earnings announcement drift or momentum?
... Capital Asset Pricing Model (CAPM) of Sharpe (1964), Lintner (1965) and Black ...on asset-pricing models that use the CAPM model as the starting ...past returns and past earnings surprises ...
61
Campaign donation and government contracts in Brazilian states
... A corporate firm may influence policies in its favor by transferring money to political candidates. However, empirical studies which document evidence about the return on campaign donations are rare (Großer, Reuben and ...
43
Exit through an IPO: the case of Science4you
... Usually, startups have a very short financial record, therefore evaluations are mainly based on the venture team, product attributes, management skill and experience, market growth and size, and expected returns ...
72
Computer Based Asset Management System For Commercial Banks
... Digital asset management (DAM) consists of management tasks and decisions surrounding the ingestion, annotation, cataloguing, storage, retrieval and distribution of digital ...media asset management (a ...
7