'Stock return' presentation slideshows

PROSPECT THEORY AND ASSET PRICES

PROSPECT THEORY AND ASSET PRICES. ???? ? ? ??? ???. PROSPECT THEORY AND ASSET PRICES. I. Introduction II. Investor preferences III. Evidence from psychologyrences IV. Equilibrium prices V. Numerical results and further discussion

827 views • 55 slides

Radical Innovation and Stock Price Volatility:

Radical Innovation and Stock Price Volatility: patent citation dynamics and idiosyncratic risk in pharma-biotech. Mariana Mazzucato (Open University) Massimiliano Tancioni (University of Rome) Workshop on Finance, Innovation and Inequality London, November 9, 2007.

599 views • 39 slides

Overall Motivation

Do Banks Help or Hurt in Crises? A Coordination Motive for Central Bank / LOLR - Viral V. Acharya, London Business School, CEPR and Tanju Yorulmazer, New York University, Bank of England [ Prepared for Second Workshop on New Ideas and Open Issues in Corporate Finance, Amsterdam ].

526 views • 37 slides

Equity Risk Premium: Expectations Great and Small

Equity Risk Premium: Expectations Great and Small. Richard A. Derrig and Elisha D. Orr. North American Actuarial Journal V8 N1 pp 45-69 2004. Equity Risk Premium (ERP). Definition: Difference between the market return and a risk-free return. Why the ERP is Important for Insurers ?.

515 views • 34 slides

Discussion Notes for Presentation at Yale University October 4, 2001

Discussion Notes for Presentation at Yale University October 4, 2001 The Effect of Takeovers on Shareholder Value. Sanjai Bhagat University of Colorado, David Hirshleifer Ohio State University, Robert Noah Analysis Group (Cambridge, MA) http://bus.colorado.edu/faculty/bhagat.

473 views • 34 slides

Chapter 21 International Asset Pricing

Chapter 21 International Asset Pricing. 21.1 The Traditional CAPM 21.2 The International Asset Pricing Model (IAPM) 21.3 Factor Models and Arbitrage Pricing Theory (APT) 21.4 Applications of Arbitrage Pricing Theory 21.5 The Currency Risk Factor in Stock Returns

607 views • 33 slides

320 views • 31 slides

Background: National Benchmark Study TM

433 views • 28 slides

A Non-Gaussian Asymmetric Volatility Model

A Non-Gaussian Asymmetric Volatility Model. Geert Bekaert Columbia University and NBER Eric Engstrom Federal Reserve Board of Governors* * The views expressed herein do not necessarily reflect those of the Board of Governors of Federal Reserve System, or its staff. Overview.

412 views • 28 slides

CHAPTER 7

CHAPTER 7. Capital Asset Pricing and Arbitrary Pricing Theory. Risk and diversification. Market risk is the only risk left after diversification Return that investors get in the market is rewarded for market risk only, not total risk

483 views • 26 slides

Model-based Clustering in R

Model-based Clustering in R. Tianxi Dong. Theoretical model. Heuristic methods. How many clusters we need? How to compare the performance between methods? How to deal with outliers in heuristic methods? Solution???. Model-based Method.

781 views • 25 slides

Long Run Stock Returns Following R&D Increases - A Test of R&D Spillover Effect

Long Run Stock Returns Following R&D Increases - A Test of R&D Spillover Effect. By Sheng-Syan Chen, Wei-Ju Huang and Yanzhi Wang. Yanzhi Wang Yuan Ze University Taiwan. R&D and Firm Valuation. What is research and development (R&D)? The investments on innovations and patents.

378 views • 21 slides

Stigma in Financial Markets

Stigma in Financial Markets. Discussion by Lucy White Harvard Business School and CEPR. The Environment. From December 2007, banks can borrow from the Federal Reserve via: The Discount Window (DW) The Term Auction Facility (TAF)

275 views • 19 slides

14-Efficient Diversification II

14-Efficient Diversification II. BKM: Chapter 6. Portfolio Allocation. What about the case of many risky assets? The efficient frontier has the same shape Intuition is the same. Tangency Portfolio. Expected Return. Individual Assets. Best possible CAL. risk free rate. Standard Deviation.

306 views • 17 slides

Financial Performance Measures

Financial Performance Measures. Chapter 8 Managerial Accounting Concepts and Empirical Evidence. Jess Co. Comparison of Profit Centers. Jess Co. Comparison of Profit Centers. Jess Co. Comparison of Profit Centers. Jess Co. Comparison of Profit Centers. Jess Co. Comparison of Profit Centers.

428 views • 17 slides

Quality of governance and the value of cash holdings

Quality of governance and the value of cash holdings. Why cash and governance?. Two problems Possible expropriation of minority shareholders by controlling shareholders Dyck and Zingales (2004) Agency problem Jensen and Meckling (1976) An important source of benefits of control

326 views • 15 slides

Investor Sentiment and Stock Return: Evidence from Chinese Stock Market

This paper selects the trading volume data from January 2010 to December 2014 to study investor sentiment and regard the market daily earnings ratio of Shanghai Stock Exchange A-shares index as stock return. Using ARMA model to research its own characteristics of investor sentiment, then use VAR model and Granger causality test, impulse response function and variance decomposition to research the relationship between investor sentiment and the market returns, thereafter empirical results show that two series have Granger causal relationship exist between each other. Then the heteroscedastic EGARCH model tests the impact of the returns on investor sentiment, and the u201cbad newsu201d in the market can cause greater volatility than u201cgood newsu201d; Finally, the EGARCH-M heteroscedastic model shows that the impact of investor sentiment to returns exist u201crisk premiumu201d phenomenon.

129 views • 11 slides