Download or read book Risk Uncertainty and Profit written by Frank H. Knight and published by Cosimo, Inc.. This book was released on 2006-11-01 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timeless classic of economic theory that remains fascinating and pertinent today, this is Frank Knight's famous explanation of why perfect competition cannot eliminate profits, the important differences between "risk" and "uncertainty," and the vital role of the entrepreneur in profitmaking. Based on Knight's PhD dissertation, this 1921 work, balancing theory with fact to come to stunning insights, is a distinct pleasure to read. FRANK H. KNIGHT (1885-1972) is considered by some the greatest American scholar of economics of the 20th century. An economics professor at the University of Chicago from 1927 until 1955, he was one of the founders of the Chicago school of economics, which influenced Milton Friedman and George Stigler.
Download or read book Risk Uncertainty and Expected Returns written by Turan G. Bali and published by . This book was released on 2011 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Uncertainty and Expected Returns written by Turan G. Bali and published by . This book was released on 2014 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 8 percent premium relative to portfolios that are minimally correlated with VRP.
Download or read book The Impact of Risk and Uncertainty on Expected Returns written by Evan W. Anderson and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical risk-return trade-off and augment these models with our measure of uncertainty. We find stronger empirical evidence for an uncertainty-return trade-off than for the traditional risk-return trade-off. Finally, we investigate the performance of a two-factor model with risk and uncertainty in the cross section.
Download or read book Three Essays on Risk Uncertainty and Expected Returns written by Sina Ehsani and published by . This book was released on 2015 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter of this dissertation explores the effects of the recent rise of passive investing on the U.S. stock market. The analysis establishes a strong relation between passive investment and aggregate price dynamics such as systematic volatility, idiosyncratic volatility, and price synchronicity, suggesting that investors should consider trading activity of passive products in decision making. The second chapter examines the pricing of characteristics and betas in the cross-section of expected corporate loan returns. Despite the increasing popularity of the secondary loan market among institutional investors, this market is unexplored in the context of empirical asset pricing literature. This comprehensive study takes the first step to fill the gap by investigating the sources of risk and predictability of corporate loan returns. We find that one loan specific characteristic, momentum, and one covariance-based characteristic, default beta, explain the cross-section of loan expected returns. The final chapter first introduces a measure of model uncertainty regarding the future return distribution of the U.S. stock market and then examines the pricing of model uncertainty in the cross-section of stock returns.
Download or read book The Impact of Expected Return Uncertainty on Long Horizon Risk and Allocation Decisions written by Jonathan Reiss and published by . This book was released on 2006 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncertainty in expected return estimates introduces a risk that is small over short periods of time and therefore often ignored. However, it becomes very important over longer horizons, in some circumstances outweighing more conventional risks. This paper demonstrates the effect of incorporating uncertainty in expected returns into an asset allocation process. It shows that the effect of uncertainty increases with the investment horizon. This analysis is extended to active management or hedge fund allocations, where uncertainty is arguably greatest.
Download or read book Handbook of the Economics of Risk and Uncertainty written by Mark Machina and published by Newnes. This book was released on 2013-11-14 with total page 897 pages. Available in PDF, EPUB and Kindle. Book excerpt: The need to understand the theories and applications of economic and finance risk has been clear to everyone since the financial crisis, and this collection of original essays proffers broad, high-level explanations of risk and uncertainty. The economics of risk and uncertainty is unlike most branches of economics in spanning from the individual decision-maker to the market (and indeed, social decisions), and ranging from purely theoretical analysis through individual experimentation, empirical analysis, and applied and policy decisions. It also has close and sometimes conflicting relationships with theoretical and applied statistics, and psychology. The aim of this volume is to provide an overview of diverse aspects of this field, ranging from classical and foundational work through current developments. Presents coherent summaries of risk and uncertainty that inform major areas in economics and finance Divides coverage between theoretical, empirical, and experimental findings Makes the economics of risk and uncertainty accessible to scholars in fields outside economics
Download or read book Forecasting Expected Returns in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-04-08 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Download or read book Pandora s Risk written by Kent Osband and published by Columbia University Press. This book was released on 2011 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Author of the acclaimed work Iceberg Risk: An Adventure in Portfolio Theory, Kent Osband argues that uncertainty is central rather than marginal to finance. Markets don't trade mainly on changes in risk. They trade on changes in beliefs about risk, and in the process, markets unite, stretch, and occasionally defy beliefs. Recognizing this truth would make a world of difference in investing. Belittling uncertainty has created a rift between financial theory and practice and within finance theory itself, misguiding regulation and stoking huge financial imbalances. Sparking a revolution in the mindset of the investment professional, Osband recasts the market as a learning machine rather than a knowledge machine. The market continually errs, corrects itself, and makes new errors. Respecting that process, without idolizing it, will promote wiser investment, trading, and regulation. With uncertainty embedded at its core, Osband's rational approach points to a finance theory worthy of twenty-first-century investing.
Download or read book Risk Uncertainty and Profit written by Frank Hyneman Knight and published by . This book was released on 1921 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pt. 1. Introductory.--pt. 2. Perfect competition.--pt. 3. Imperfect competition through risk and uncertainty.
Download or read book Information Choice Uncertainty and Expected Returns written by David Conrad Gempesaw and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I investigate the empirical relationship between investors' information choices and the cross-section of risk and return in the equity market. My analysis builds upon the rational expectations equilibrium model of information choice and investment choice developed by Van Nieuwerburgh and Veldkamp (2010). I estimate a variable from the model called the learning index that reflects the theoretical expected benefits of learning about an asset for a rational average investor. Using this measure as a proxy for information flow, I find that stocks with higher values of the learning index have lower expected returns and volatilities in the cross-section on average. I provide support for the interpretation of the learning index through analyses based on short run and long run patterns in returns and volatilities, other measures of information flow, the information environment surrounding earnings announcements, and measures of information processing costs. Taken together, my findings provide evidence in support of the model's predictions and illustrate a new approach to empirically measure investors' information choices and assess the effects of these choices.
Download or read book Portfolio Risk Analysis written by Gregory Connor and published by Princeton University Press. This book was released on 2010-03-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Download or read book Contemporary Challenges in Risk Management written by T. Andersen and published by Springer. This book was released on 2014-12-02 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on two central aspects of the risk managing process, namely 1. how managers (can and do) assess developments in the external risk environment and deal with them, and 2. analysing the effects of risk management and different managerial approaches. The articles represent state of the art academic analyses and research contributions.
Download or read book Risk written by Louis Eeckhoudt and published by . This book was released on 1995 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The fundamental topic of choice thory- how do economic agents decide when faces with a situalion of risk- and its accompanying theoretical models are here dissected and analyzed. Using a textbook style, the authors present the microfoundations of risk, uncertainty and its management with specific application to insurance and finance. The book analyzes the formal evalustion of risky situations, analyzes individual decisions under uncertainty and determines the markets for risk, including market incompleteness and risk transfer and welfar..."
Download or read book Budgeting Basics and Beyond written by Jae K. Shim and published by John Wiley & Sons. This book was released on 2008-12-03 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: If the very thought of budgets pushes your sanity over the limit, then this practical, easy-to-use guide is just what you need. Budgeting Basics and Beyond, Third Edition equips you with an all-in-one resource guaranteed to make the budgeting process easier, less stressful, and more effective. Written by Jae Shim and Joel Siegel, the new edition covers Balanced Scorecard, budgeting for nonprofit organizations, business simulations for executive and management training, and much more!
