Resources
BNET Resources
- sort by:
- Relevance
- Date
- Popularity
- Is There a Global Liquidity Factor?
- This paper investigates country, industry, and global commonalities in liquidity of individual stocks, and analyzes their implications for the pricing of financial assets in an international framework. The results for three different monthly liquidity measures — based on daily return and trading volume data suggest that individual stock liquidity exhibits...
- White papers 2003-10-01
Additional Resources
- Risk and return in the U.S. housing market: a cross-sectional asset-pricing approach.
- This article carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use ZIP code-level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature tends to focus on...
- Research articles 2006-12-22
- Assessing Asset Pricing Anomalies
- The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent. The analysis takes account of the fact that the parameters of both the underlying asset pricing model and the anomalous returns...
- White papers 2000-07-28
- Asset Pricing Implications of Firms' Financing Constraints
- The article incorporate costly external finance in an investment-based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns and show that common assumptions about the nature of the financing frictions are captured by a simple financing cost' function, equal to the...
- White papers 2002-12-04
- ABC Bancorp Selects Banker's Dashboard to Streamline Financial Reporting and Analysis; Multi-Bank, Multi-State Holding Company Standardizes Reporting, Asset Liability Analysis and Board Package Automation across Subsidiaries
- ATLANTA -- Banker's Dashboard, provider of the industry's leading community bank management tool, today announced that ABC Bancorp, Inc. (NASDAQ: ABCB), the fourth largest Georgia-based bank holding company, has selected the Banker's Dashboard solution to provide automated financial reporting and board package preparation, asset liability analysis and product pricing capabilities...
- Research articles 2005-10-18
- Rethinking CAPM; Sharpe supports less complex simulation as a way to overcome the flaws of mean-variance analysis.(Portfolio Strategies)(Capital Asset Pricing Model )
- Byline: Joel Chernoff William F. Sharpe says his pioneering work on the Capital Asset Pricing Model is ready for a makeover. The 42-year-old model - which earned Mr. Sharpe a Nobel Memorial Prize in economics in 1990 - is being revamped because...
- Research articles 2006-10-02
- A Model of Asset Pricing and Portfolio Delegation
- Previous analysis of equilibrium asset prices often ignores the effects of delegated portfolio management and those of delegated portfolio management problems often ignore information and equilibrium asset prices. This paper develops a dynamic model that simultaneously considers optimal contracting and equilibrium asset prices under differential information. It consider a case...
- White papers 2000-12-24
- Asset Allocation Math, Methods and Mistakes
- Over the last ten years, some very basic premises about asset allocation have been forgotten. The roots of asset allocation theory started with a piece of work called "The Capital Asset Pricing Model" (CAPM-beta as a measure of risk) and evolved into "Modern Portfolio Theory" (MPT- Standard deviation as a...
- White papers 2001-06-01
- Real Estate Pricing: Spreads & Sensibilities: Why Real Estate Pricing is Rational
- Some investors believe real estate has become overpriced because cap rates seem numerically low when compared with historical rates. Cap rates do not, by themselves, signal an over- or under-priced market, or a cyclical or secular trend. One needs to look at the connections between the capital markets and the...
- White papers 2004-04-20
- A Portfolio Selection and Capital Asset Pricing Model
- The aim of this paper is to improve the characterization of a capital market within the CAPM without losing its simplicity and explanatory power. To highlight the peculiarities of the model, the main steps in the development of the standard CAPM are briefly reviewed. The standard CAPM is extended so...
- White papers 2002-02-06
- A Simple Theory of Asset Pricing Under Model Uncertainty
- The focus of this paper is on the implications of model uncertainty for the cross-sectional properties of returns. We perform our analysis in the context of a tractable single-period mean-variance framework. The paper shows that there is an uncertainty premium in equilibrium expected returns on financial assets and it studies...
- White papers 2002-03-01
- Stock Returns Are Predictable: A Firm Level Analysis
- This paper studies return predictability at the firm level through the performance of investment strategies that use conditioning information to build unconditional efficient portfolios from individual stocks. The model that generates moments for portfolio selection is a multivariate regression of excess returns on asset pricing factors with alphas and betas...
- White papers 2003-08-01
- U.S. Investors' Emerging Market Equity Portfolios: A Security-Level Analysis
- This article analyzes a unique data set and uncovers a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. It document that at a point in time U.S. portfolios are tilted towards firms that...
- White papers 2003-12-01
- A Simple Model of Intertemporal Capital Asset Pricing and Its Implications for the Fama French Three Factor Model
- The white paper presents a model which suggests that the prices of certain portfolios that are related to the FamaFrench HML and SMB hedge portfolios that will carry information about investment opportunities, which provides a potential justification for the risk premia that, have been found to be associated with these...
- White papers 2002-02-11
- Asset Pricing Implications of Benchmarking: A Two-Factor CAPM
- This paper considers the equilibrium effects of an institutional investor whose performance is benchmarked to an index. In a partial equilibrium setting, the objective of the institutional investor is modeled as the maximization of expected utility (an increasing and concave function, in order to accommodate risk aversion) of final wealth...
- White papers 2001-07-01
- Institutional Determinants of International Equity Portfolios - A Country-Level Analysis
- Despite large potential gains, international equity investment is less diversified across countries than predicted by the international version of the traditional capital asset pricing model. This paper provides empirical evidence on the impact of capital market frictions on international equity portfolios using data on bilateral equity holdings. The findings states...
- White papers 2004-11-01
- Why Do Asset Prices Not Follow Random Walks?
- This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also, declining elasticity helps to explain the use of technical analysis and...
- White papers 2004-01-01
- Common Factors in Emerging Market Spreads
- Emerging market bond debt has become an increasingly important asset class for portfolio managers and, over the last decade, emerged as a key source of funds for emerging market governments. This article investigates the extent to which spreads on emerging market sovereign debt react to forces that are common across...
- White papers 2003-12-01
- Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management
- Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. This report summarizes recent theoretical developments, some of which were...
- White papers 2003-11-13
- Adjust For Comfort
- The article underlines that one should keep the clients comfortable by matching risk-adjusted returns with their risk-tolerance profiles -- the quantifiable way. With thousands of mutual funds available with which to construct a client portfolio, the consequences of choosing one fund over another can be hard to evaluate and even...
- White papers 2001-05-01
- << Previous
- page 1 of 1
- Next >>
