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Equity Parity and Implied Sharpe Ratio

A Methodology For Computing and Comparing Implied Equity and Corporate Debt Sharpe Ratios

A Methodology For Computing and Comparing Implied Equity and Corporate Debt Sharpe Ratios

... The equity Sharpe Ratio began a significant decline in early 2007 prior to the equity market peak and reached a short-term low of under ...

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The Pitfall of Using Sharpe Ratio

The Pitfall of Using Sharpe Ratio

... between Sharpe performance and the investment horizon, we calculate the ratios for three size portfolios from the CRSP database for investment horizons ranging from one to twenty-five ...market equity ...

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The Equity Premium Implied by Production

The Equity Premium Implied by Production

... average Sharpe ratios obtained from the simulations in the discrete-time model are at ...the Sharpe ratio is at ...higher Sharpe ratios reported from the simulations are mainly a product of ...

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Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio

Implications of Quasi-Geometric Discounting on the Observable Sharpe Ratio

... the Sharpe ratio in models with quasi-geometric dis- counting, which is defined as the slope of the conditional mean-standard deviation ...the Sharpe ratio can be expressed as a function of the ...

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Implied Equity Duration: A New Measure of Equity Risk *

Implied Equity Duration: A New Measure of Equity Risk *

... the equity premium, then we will still find support for P4, but not necessarily ...book-to-market ratio [Fama and French ...book-to-market ratio can be interpreted as a crude duration ...of ...

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Predicting the equity premium with the implied volatility spread

Predicting the equity premium with the implied volatility spread

... 25 Table 7 reports OLS estimation when the expected return shock, cash flow shock, and discount rate shock are estimated based on individual VAR constructed from market excess returns, dividend price ratio, and ...

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Equity premium: Historical, expected, required and implied

Equity premium: Historical, expected, required and implied

... 2.3. A closer look at the historical data Figure 1 show that interest rates were lower than dividend yields until 1958 and than the earnings to price ratio until the 1980s. It suggests that many things have ...

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Estimating Long Term Equity Implied Volatility

Estimating Long Term Equity Implied Volatility

... returns. Implied volatility is not calculated directly when using historical volatility methods and therefore needs to be scaled with an estimated IVHV ...year implied volatility using equation ( ...

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The Influence Of Higher Moments And Non-Normality On The Sharpe Ratio: A South African Perspective

The Influence Of Higher Moments And Non-Normality On The Sharpe Ratio: A South African Perspective

... Cvitanić, Lazrak, Martellini & Zapatero, 2003; Lamm, 2003; Popova, Morton & Popova, 2003; Terhaar, Staub & Singer, 2003; Fung & Hsieh, 1999). Additionally, the study by Harris and Mazibus (2010) argued that volatility ...

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Testing for uncovered interest rate parity using distributions implied by FX options.

Testing for uncovered interest rate parity using distributions implied by FX options.

... Table 3 exhibits p-values of Pearson’s test and the likelihood ratio for the full sample for different values of the fat-tailedness parameter G and number of quantiles k. The last column shows p-values for the ...

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The implied equity risk premium   an evaluation of empirical methods

The implied equity risk premium an evaluation of empirical methods

... Moreover, two drawbacks of employing the RIM to estimate the cost of capital should be mentioned. First, applying the growth rates g and g l to different variables (earnings and residual incomes) causes discontinuities ...

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Fitch Equity Implied Rating and Probability of Default Model

Fitch Equity Implied Rating and Probability of Default Model

... Financial Ratios have been found to be useful in predicting a firm’s default as early as Ed Altman’s original Z-score model published in 1968. Accordingly, Fitch’s research into the utility of financial ratios for credit ...

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The Implied Equity Risk Premium - An Evaluation of Empirical Methods

The Implied Equity Risk Premium - An Evaluation of Empirical Methods

... the implied ERP, this study carried out an analysis of sev- eral common formulas currently used, and applied them to a pan-European ...of implied firm ...for equity valuation in section ...the ...

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Implied Cost of Equity Capital in the U.S. Insurance Industry

Implied Cost of Equity Capital in the U.S. Insurance Industry

... Conclusion This paper derives and evaluates estimates of the implied equity risk premium (IERP) of U.S. insurance companies by inverting the residual income model, utilizing analysts’ earnings forecasts as ...

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The Implied Equity Risk Premium - An Evaluation of Empirical Methods

The Implied Equity Risk Premium - An Evaluation of Empirical Methods

... Moreover, two drawbacks of employing the RIM to estimate the cost of capital should be mentioned. First, applying the growth rates g and g l to different variables (earnings and residual incomes) causes discontinuities ...

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Diversified Risk Parity Strategies for Equity Portfolio Selection

Diversified Risk Parity Strategies for Equity Portfolio Selection

... risk parity strategy for the S&P 500 constituents from October 1989 to September ...a Sharpe Ratio of ...risk-adjusted equity performance basically bears testimony of the two severe setbacks ...

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Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms

Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms

... of equity as a risk-free rate plus an equity risk premium, we extend our analysis to account for differences in risk-free rates across Canada and the United ...of equity in the earlier period, but in ...

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Nonparametric estimation of equity return distribution implied by index options

Nonparametric estimation of equity return distribution implied by index options

... H(S t , X, τ, r t,τ , δ t,τ ) + Xe −r t,τ τ = G(S t , X, τ, r t,τ , δ t,τ ) + S t e −δ t,τ τ . (24) Here rises another issue: how can we determine the future rate of the index’s dividend? I address this problem by using ...

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EQUITY PREMIUM: HISTORICAL, EXPECTED, REQUIRED AND IMPLIED. Pablo Fernández

EQUITY PREMIUM: HISTORICAL, EXPECTED, REQUIRED AND IMPLIED. Pablo Fernández

... 2.3. A closer look at the historical data Figure 1 show that interest rates were lower than dividend yields until 1958 and than the earnings to price ratio until the 1980s. It suggests that many things have ...

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Put Call Parity in Equity Options Markets: Recent Evidence

Put Call Parity in Equity Options Markets: Recent Evidence

... put-call parity in US equity options markets, and the purpose of this study is to examine one po- tential explanation of these anomalous ...options implied volatility estimations since 1996, it is ...

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