[PDF] Top 20 Three essays in asset management

... The concept of size and style rotation is prominent in the equity market and has attracted extensive research and study. More precisely, it is the potential profitability of size and style rotation strategies that has ... See full document

... The basic assumptions of the capital asset pricing theory imply that investors should hold well-diversified portfolios (e.g., Blume and Friend, 1975). However, a vast literature has documented that investors ... See full document

... In terms of option fit, the average error is -0.72% Black & Scholes implied volatility per- centage points. Figure 3.8 shows the option mispricing as a function of moneyness and of time to maturity. The mispricings ... See full document

... Secondly, liquidity can be thought as a separate risk factor. Acharya and Pedersen (2005) thus propose a liquidity-adjusted capital asset pricing model (LCAPM) which covers three different aspects of ... See full document

... using asset pricing models to estimate the cost of equity and expected ...(1993) three-factor ...popular asset pricing models and study the extent to which they produce different expected return ... See full document

... First, higher uncertainty and belief heterogeneity are unambiguously linked to higher credit spreads. Since this feature arises mostly via the price of default risk, and less through the probability of default, we can ... See full document

... in asset pric- ing literature; papers on liquidity and liquidity risk include Pástor/Stambaugh (2003) and Lou/Sadka ...for three pricing models and significance of alphas are used for making judgments about ... See full document

... The institutional organization of the financial market in a particular country may be infor- mative about the perspective predictors. For some countries, such as France and Germany, banks play a central role in financial ... See full document

... All three considerations contribute to the explanations described below, although for different combinations of parameters the degree of the effect on the final result may be ... See full document

... Tables C.3 through C.5 give estimates for value-weighted returns from vintage-level portfolios. These portfolios were constructed using fund-level returns using cash flow and valuation data from PitchBook. For each ... See full document

... arbitrageurs are less well capitalized. They explicitly point out that arbitrageurs act as interme- diaries by providing liquidity to other investors. Brunnermeier and Pedersen (2009) elaborate on the relationship ... See full document

... This table reports the proportion of sector mutual funds that hold (Panel A) and analysts that cover (Panel B) a conglomerate firm from each segment the firm operates in. At the end of each quarter, we assign a mutual ... See full document

... average three-month Trea- sury bill ...cross-sectional asset pricing performance, the filtered SDFs with the strategy-F outperform the corresponding SDFs without the ... See full document

... This table reports the results from a regression of investment characteristics on the dividend price ratio of the market portfolio plus controls. I consider the investment rates for three portfolios: a portfolio ... See full document

... We illustrate how our method works in the context of three specific models, namely Mehra and Prescott (1985a), Cox, Ross, and Rubinstein (1979), and a simple non- Markovian economy. For each economy, we generate ... See full document

... For example, there is some evidence that optimal organizational design choices in BU’s pursuing a ‘build’ strategy include an emphasis on non-financial performance measures (Gupta and Govindarajan, 1985). A plausible ... See full document

... affine asset pricing framework with a parsimonious mix of macro variables and bond factors for the joint pricing of bonds and ...which three factors –the level of interest rates, the Cochrane and Piazzesi ... See full document

... Notes: This plot presents a summary of the (upper) tail truncation problem. The continuous black line represents the risk-neutral density, computed using the Breeden and Litzenberger [1978] approach, of a long tenor ... See full document

... In the meantime, the deterioration in government finances in the euro-zone and the global financial markets has led investors and portfolio managers to look for other asset classes, particularly commodities as ... See full document

... inal bonds and stocks, while 10-year nominal bonds and cash are shorted. The allocation to inflation-linked bonds is hardly affected. The long-short position in nominal bonds pays off in states of the economy where ... See full document