Excess Return
PORTFOLIO DECISION MODEL BASED ON FUZZY EXCESS RETURN Qiansheng Zhang*1, Ziqi Wu2 , Qiting Chen3 , Longlong Ma4 , Lushuo Wei5 & Ruixi Lin
... Overall, this paper employed the fuzzy theory to establish a multi-criteria portfolio optimization model, considering Chinese security market’s practical constraints, in order to simulate the transaction activity in the ...
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Do different cultural values affect the excess return of sin stocks?
... lower excess returns relative to countries with a high degree of femininity, such as Sweden and ...lower excess return compared to countries that score high on restraint, such as Hong Kong and ...the ...
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Automatic Domain Adaptation Outperforms Manual Domain Adaptation for Predicting Financial Outcomes
... variable excess return is defined as the firm’s buy-and-hold stock return minus the value-weighted buy-and-hold market index return during the 4-day event window starting on the 10-K filing ...
14
A survey-based estimation of the Swiss franc forward term premium
... futures with a maturity date in 3 (12) months contain an average excess return of 12 (63) basis points (bps). There- fore, interest rates implied by CHF LIBOR futures are in the long run significantly ...
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The impact of momentum trades on return comovements and asymmetric volatility in dual listings
... variables, excess volume times returns for ADR and home securities to test the implications of information ...of excess volume and return that allows us to split the sample into three separate ...
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Static Portfolio Choice under Cumulative Prospect Theory
... the excess return on the risky asset over the risk-free ...the excess return has a skew-normal ...the excess return on the risky ...
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Monetary Union effects on European stock market integration: An international CAPM approach with currency risk
... compute excess returns on all indices. In particular, the excess stock return is computed as r i t , ln( p t / p t 1 ) 1/ 365(ln(1 i t US 1 $ ) where p t is either the market total ...
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Asia Pacific ADRS in the New Millennium: Is There A Difference in Performance for Issues Listed on the NYSE in the Last Two Decades?
... 3-year excess returns beat the S&P 500 by over 34 ...cumulative excess return performance of this portfolio was positive for the entire 3-year initial trading ...
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A model of borrower reputation as intangible collateral
... the excess return for leveraged high- productivity …rms over the unleveraged low-productivity …rms ...in excess returns leads to a rise in the value of debt market access, reducing lenders’ required ...
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A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market
... A key assumption of the Capital Asset Pricing Model is that the market portfolio is efficient; when it is inefficient, α, the difference between the expected excess return of the asset and the value ...
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Can portfolio diversification increase systemic risk? evidence from the U S and European mutual funds market
... the return weighted index previously mentioned and the risk free rate (see above); while the Excess Return (Exc_Ret) is the difference between the mutual fund returns and the risk free rate (see ...
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Asset Attribution Stability And Portfolio Construction: An Educational Example
... or excess return, and the regression coefficients, colloquially known as “betas” and which indicate the amount of risk from the particular regression term that is estimated to be priced in the asset being ...
6
Text ABSTRACT pdf
... Proporsi saham dihitung dengan Excess Return to Beta (ERB), cut-oof point, nilai risiko sistematis dan risiko tidak sistematis. ERB dan nilai risiko sistematis berhubungan positif dengan proporsi saham ...
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Corporate Governance A Risk Factor To Remunerate
... abnormal return in excess of the return realized by the passive investment ...the excess return of a zero-investment strategy, which consists of buying well governed firms and selling ...
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The Volatility Effect: Recent Evidence from Indian Markets
... DOI: 10.4236/tel.2019.96136 2158 Theoretical Economics Letters LV portfolio is just about 60% of the universe portfolio (19.52% vs 31.81%). Likewise, the ex-post beta for the LV portfolio is 0.55 vs. 1.35 for the HV ...
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The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi parametric approach
... the excess stock returns. The excess return of a stock is defined as the difference between return and the risk-free rate that is dominant in the ...
14
Occupier Satisfaction and Investment Returns from UK Commercial Real Estate
... simple excess return rates and using these as the dependent variable in regressions where occupier satisfaction was tested as a determinant of these returns alongside other ...
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Modeling style rotation: switching and re switching
... the excess returns takes into account information about all prior returns (from the “dawn of time”), not just the last few, although the last observed excess return does appear more ...
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Centre Rules the Markets
... High and Low portfolios excess returns are dependent variables. They represent the top and bottom quintile. Variables are value-weighted, calculated on a weekly basis for the following periods: 1990-1995; ...
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The Skewness of Commodity Futures Returns
... monthly return distribution. Mean denotes annualized average excess return, StDev annualized standard deviation, Sharpe ratio is Mean divided by StDev, Sortino ratio is Mean divided by annualized ...
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