Download or read book Are Macroeconomic Factors Adequate Proxies for Systematic Influences in Stock Returns written by Jan Szczygielski and published by . This book was released on 2019 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates whether pre-specified macroeconomic factors can adequately proxy for the pervasive influences in stock returns, within the context of macroeconomic linear factor models motivated by the multifactor Arbitrage Pricing Theory (APT). Variation in stock returns can be attributed to systematic and idiosyncratic sources of variation. As idiosyncratic factors can be diversified away, systematic variation will remain and the only factors that will be relevant will be those representative of systematic influences. In this study, systematic influences are quantified by statistically derived factor scores which are then related to a set of carefully selected macroeconomic factors. The identification of macroeconomic factors that proxy for systematic influences in returns is a challenge in itself. Once identified, macroeconomic factors are found to be poor and unstable proxies for systematic influences. The use of a residual market factor, an often-applied solution the factor omission problem in linear factor models motivated by the APT, does not significantly improve the approximation of factor scores. Macroeconomic factors are unlikely to provide a complete representation of the return generating process. Researchers should recognize that macroeconomic linear factor models are likely to be underspecified, even if a residual market factor is included.
Download or read book The Effect of Macroeconomic Factors on Asset Returns written by Erdinç Altay and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting Based Data written by Oliver Entrop and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find evidence that our model yields a significantly better fit of banks' internally quantified interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest rate risk differs between banks of different size and banking group. Additionally, we find structural differences between trading book and non-trading book institutions.
Download or read book Valuing Wall Street written by Andrew Smithers and published by McGraw Hill Professional. This book was released on 2002 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuing Wall Street is a book on investments.
Download or read book Earnings Management written by Joshua Ronen and published by Springer Science & Business Media. This book was released on 2008-08-06 with total page 587 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a study of earnings management, aimed at scholars and professionals in accounting, finance, economics, and law. The authors address research questions including: Why are earnings so important that firms feel compelled to manipulate them? What set of circumstances will induce earnings management? How will the interaction among management, boards of directors, investors, employees, suppliers, customers and regulators affect earnings management? How to design empirical research addressing earnings management? What are the limitations and strengths of current empirical models?
Download or read book The Macroeconomic Effects of Public Investment written by Mr.Abdul Abiad and published by International Monetary Fund. This book was released on 2015-05-04 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence of the macroeconomic effects of public investment in advanced economies. Using public investment forecast errors to identify the causal effect of government investment in a sample of 17 OECD economies since 1985 and model simulations, the paper finds that increased public investment raises output, both in the short term and in the long term, crowds in private investment, and reduces unemployment. Several factors shape the macroeconomic effects of public investment. When there is economic slack and monetary accommodation, demand effects are stronger, and the public-debt-to-GDP ratio may actually decline. Public investment is also more effective in boosting output in countries with higher public investment efficiency and when it is financed by issuing debt.
Download or read book Innovations in Digital Economy written by Dmitrii Rodionov and published by Springer Nature. This book was released on 2021-08-03 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the revised and extended papers of the Second International Conference on Innovations in Digital Economy, SPBU IDE 2020, held in St. Petersburg, Russia, in October 2020. The 9 papers presented were thoroughly reviewed and selected for publication from 117 submissions. The papers are organized according the following topical sections: economic efficiency and social consequences of digital innovations implementation; industrial, service and agricultural digitalization; end-to-end digital technologies in industry.
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Download or read book Factor Investing and Asset Allocation A Business Cycle Perspective written by Vasant Naik and published by CFA Institute Research Foundation. This book was released on 2016-12-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Corporate Finance written by Bjørn Espen Eckbo and published by Elsevier. This book was released on 2007-05-21 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms' financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything "corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work.*The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance*Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance*The series is international in scope with contributions from field leaders the world over
Download or read book The effect of weather on stock returns A comparison between emerging and developed markets written by Irina Prodan and published by Anchor Academic Publishing (aap_verlag). This book was released on 2013-06-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.
Download or read book Shipping Derivatives and Risk Management written by A. Alizadeh and published by Springer. This book was released on 2009-04-28 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive book on shipping derivatives and risk management which covers the theoretical and practical aspects of financial risk in shipping. The book provides a thorough overview of the practice of risk management in shipping with the use of theoretical examples and real-life applications.
Download or read book Macroeconomic Fluctuations and Policies written by Edouard Challe and published by MIT Press. This book was released on 2023-09-19 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic tools for analyzing macroeconomic fluctuations and policies, applied to concrete issues and presented within an integrated New Keynesian framework. This textbook presents the basic tools for analyzing macroeconomic fluctuations and policies and applies them to contemporary issues. It employs a unified New Keynesian framework for understanding business cycles, major crises, and macroeconomic policies, introducing students to the approach most often used in academic macroeconomic analysis and by central banks and international institutions. The book addresses such topics as how recessions and crises spread; what instruments central banks and governments have to stimulate activity when private demand is weak; and what “unconventional” macroeconomic policies might work when conventional monetary policy loses its effectiveness (as has happened in many countries in the aftermath of the Great Recession.). The text introduces the foundations of modern business cycle theory through the notions of aggregate demand and aggregate supply, and then applies the theory to the study of regular business-cycle fluctuations in output, inflation, and employment. It considers conventional monetary and fiscal policies aimed at stabilizing the business cycle, and examines unconventional macroeconomic policies, including forward guidance and quantitative easing, in situations of “liquidity trap”—deep crises in which conventional policies are either ineffective or have very different effects than in normal time. This book is the first to use the New Keynesian framework at the advanced undergraduate level, connecting undergraduate learning not only with the more advanced tools taught at the graduate level but also with the large body of policy-oriented research in academic journals. End-of-chapter problems help students master the materials presented.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Download or read book INCEESS 2020 written by Putri Anggun Sari and published by European Alliance for Innovation. This book was released on 2021-01-18 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: InCEESS is an international conference hosted by Pelita Bangsa University. This conference is arranged to become an annual conference making room for scholars and practitioners in the area of Engineering, ICT, Management, and all research in Social Science and Humanities to share their thoughts, knowledge, and recent researches in the field of study (https://inceess.pelitabangsa.ac.id/).
