Excess returns
Key words: MA case study; L’Oréal acquisition policy; Excess returns; The Body
... that excess stock returns are the stock’s actual returns adjusted for market movements, I computed them using the MSCI World Index as a proxy for the market ...in excess returns, with a ...
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Performance evaluation of European SRI fixed-income funds
... Interpreting the benchmarks coefficients, at a 5% level of significance, for the ‘Overall Portfolio’, ‘LC Convertible Portfolio’, ‘LC Corporate Portfolio’ and the ‘LC Other Portfolio’ all the betas are statistically ...
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INSTITUTO SUPERIOR DE ECONOMIA E GESTÃO
... os excess returns nos ...os excess returns em s´eries ...nos excess returns mensais entre o per´ıodo antes e depois da Segunda Guerra Mundial (SGM) e, (2) enquanto os dados do ...
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Do options contain information about excess bond returns ?
... There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of ...
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Anticipatory effects in the FTSE 100 index revisions
... the excess returns over the FTSE 100 index depend heavily on the short positions, which obviously perform particularly well in bearish mar- ...the excess return over the buy-and-hold passive ...
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Rev. Bras. Econ. vol.70 número4
... stock returns and excess returns in ...stock returns and excess returns in the out-of- sample exercise, usually performing better than alternative ...
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Predictable dividends and returns
... of excess returns, real returns and real dividend growth on the lagged dividend ...both excess returns and real returns are predicted by the dividend ...of returns or ...
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Teresa Silva e Sousa, n.648
... high returns at the significant cost of high volatility and negatively ...positive excess returns at a low ...better returns, “both are mutually diversifying, especially in extreme cases” ...
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A HOLISTIC ATTEMPT TO PREDICTING EXCESS AFTERMARKET RETURNS OF IPOS OVER A 90-DAY PERIOD POST IPO
... 29 As I conclude from table 11, splitting the dataset into two groups in an attempt to control for differences in between the groups’ means does not help in achieving more statistically significant variables of the ...
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Rev. Adm. (São Paulo) vol.49 número2
... and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock ...and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in ...
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Dividend portfolios and long-term investing
... 15,13% returns per year and 27,17% ...14,00% returns and 16,00% standard deviation, leading to an Info Sharpe ratio of ...the returns from dividends decrease and an optimal allocation proves to be ...
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Initial underpricing and the Lisbon Euronext-listed companies
... abnormal returns of IPO shares, on average, are economically and statistically ...UK, returns were lower than the values registered in the Portuguese case ...
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APPLICATION OF ADAPTIVE NEURO-FUZZY INFERENCE SYSTEM IN INTEREST RATES EFFECTS ON STOCK RETURNS
... The issue of interest rate sensitivity remains empirically unresolved. Most of the studies use a variety of short- term and long-term bond returns as the interest rate factor without providing any rationale for ...
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Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
... in which y represents some indicator variable for crises, such as the returns on stock indices, the change in the prices of a country’s debt securities or indices of currency pressure (Eichengreen, Rose and ...
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Can reversal be explained by post-earnings announcement drift or momentum?
... generate a lower average monthly return, for the period between January 1975 and December 2010, than portfolios formed by firms with the highest SUE. In fact, starting at the Low portfolio, which presents an average ...
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Pesqui. Oper. vol.33 número3
... constant returns to scale (CCR 3), technical efficiencies under variable returns to scale (BCC 3), allocative efficiencies (ALLOC) and technical efficiencies computed under the assumptions of separability ...
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Pesqui. Oper. vol.32 número2
... asset returns, as a means of obtaining the weights system for a portfolio, the validity of which was confirmed in an empirical analysis that included a sampling of 50 randomly se- lected NYSE and Dow Jones ...
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Sensitivity of point scale runoff predictions to rainfall resolution
... soil profile and thus a bigger difference in predictions from different rainfall resolutions. From Fig. 10a it can be seen that the maximums of the positive differences do not all occur at the same ln k ∗ value. This is ...
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The effects of reactants ratios, reaction temperatures and times on Maillard reaction products of the L-ascorbic acidL-glutamic acid system
... facilitated the formation of more UIPs. Taking the absorbance at 140 °C after heating for 150 min as an example, the absorbance was 8.56 in equimolar reaction system, 20.23 in excess Glu system, and 152.67 in ...
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Braz. J. Chem. Eng. vol.23 número1
... treated excess sludge as carbon source was lower than that released in the control ...treated excess sludge is different from that in the control, and thus the results cannot be directly ...
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