Based on this theoretical result, we examine three mean- variance portfolio strategies, for which we use CFER, the risk premium component implied by the risk-neutral simple

In this paper, I study the investment factor and document that the investment premium (1) reflects financial leverage, (2) does not exist among zero-leverage firms, and (3)

• Multiply the number of students being tested by 20 Kbps to get an estimate of bandwidth needed, and compare that estimate with a network speed test..

syslog debug off It is not possible to know the cause of the trouble by only info level syslog.. The debug level syslog should be configured to prepare

This investigation for the first time highlights TDZ induced callus formation, somatic embryogenesis and plant regeneration using leaf explants of different varieties (Co94032,

This model suggests that the variance premium of a leader country plays a dominant role in predicting returns for all other countries; a key implication for which I provide

Tilts in the optimal asset allocation in response to changes in bond risk premia exhibit pronounced life-cycle patterns that are markedly different for the real interest rate

any investor with any utility function (which increases with expected return) will prefer

This figure plots the slope of the implied variance term structure which is defined as the di ff erence between the one-year and one-month implied variance together with the Chicago

However, the positive correlation is net of the effect of other factors, which affect both the stock market liquidity and options liquidity, such as VIX and the TED

Classification matrix based on linear discriminant analysis of Procrustes coordinates derived from adult male Blueback Herring caught in North Carolina (Chowan and Yeopim rivers)

Meanwhile, more recent empirical evidence pertaining to the equity risk premium and the pricing of risk at the aggregate market level suggests that the expected returns variation

Point-like sources in the Galactic central region were searched for by ANTARES [ 9 ] and upper limits as a function of the source declination were derived assuming a spectral index

While maintaining that probabilities are fully general, recovery is possible if we can parameterize the stochastic discount factor by a number of parameters which is no greater than

Lustig, Roussanov, and Verdelhan (2011) divide the sample in two time subsamples and sort currencies into portfolios on the second subsample based on the time-series average

good liquidity state, investors can trade the risk free bond and the risky asset at no cost.. In the event of liquidity dry-up, the stock market completely freezes

The first row of each panel reports the average proportion of sector mutual funds and analysts from the segment in question for all firms in each bin, the second and

The documented time-variation in expected futures returns or risk premiums is an- alyzed and confronted with three asset pricing models: the CAPM, the Fama-French three-factor model