'Excess return' diaporamas de présentation

Investments and Portfolio Analysis

Investments and Portfolio Analysis. This lecture: Real vs Nominal Interest Rate Risk & Return, and Portfolio Mechanics. Real vs. Nominal Rates and Risk. Intuitively real rate = nominal rate - expected inflation Formally Rate guarantees nominal or real? expectations vs . realizations

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Chapter 8 and 9

Chapter 8 and 9. Efficient Market Hypothesis and Behavioral Finance. Efficient Market Hypothesis (EMH). Do security prices reflect information ? Why look at market efficiency Implications for business and corporate finance Implications for investment. Random Walk and the EMH.

1.93k views • 106 slides

Quantitative Stock Selection

Global Asset Allocation and Stock Selection. Quantitative Stock Selection. Campbell R. Harvey Duke University National Bureau of Economic Research. Quantitative Stock Selection 1. Introduction. Research coauthored with Dana Achour Greg Hopkins Clive Lang.

837 views • 63 slides

Pricing Risk

Pricing Risk. Chapter 10. Outline. Measuring risk and return Expected return and return Variance Realized versus expected return Empirical distribution of returns The risk return tradeoff Computing average returns and volatility of returns from historical data

698 views • 45 slides

The Macroeconmic Consequences of Financial Imperfections

The Macroeconmic Consequences of Financial Imperfections. ????? ??? ?? ????? 695515058 ??? 695515046 ??? 695515025 ??? 694515006 ???. Introduce. The discussion so far has focused on the microeconomic approach to banking

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616 views • 40 slides

Chapter 21

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5. P 0 =66.25; D 1 = 5.30 g =4% R e =? R e = 12%

5. P 0 =66.25; D 1 = 5.30 g =4% R e =? R e = 12%. 9. W e =.55; W d =.45;P 0 =43; D 1 = 1.30; g=3% R e =?; C r = 7%; YTM=6.8%; T=34% ; . 11. WACC=? EBIT=2mln; T=34%; R e = 14; D=4mln; R d =9% Vl =10,788571.43. 12. EBIT=300,000; 100000sh*18; D=600,000; Intr =8%; ROE=?.

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5. P 0 =66.25; D 1 = 5.30 g =4% R e =? R e = 12%

5. P 0 =66.25; D 1 = 5.30 g =4% R e =? R e = 12%. 9. W e =.55; W d =.45;P 0 =43; D 1 = 1.30; g=3% R e =?; C r = 7%; YTM=6.8%; T=34% ;. 11. WACC=? EBIT=2mln; T=34%; R e = 14; D=4mln; R d =9% Vl =10,788571.43. 12. EBIT=300,000; 100000sh*18; D=600,000; Intr =8%; ROE=?.

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EMPRICIAL EVIDENCE : CAPM AND APT

EMPRICIAL EVIDENCE : CAPM AND APT. (Asset Pricing and Portfolio Theory). Contents. Arbitrage Pricing Theory How can the CAPM be tested by using time series approach by using cross sectional approach Fama and MacBeth (1973) approach. Arbitrage Pricing Theory. CAPM : Time Series Tests.

599 views • 33 slides

Credit Risk

Credit Risk. Yiling Lai 2008/10/3. Outline. Introduction Credit Ratings Historical Default Probabilities Recovery Rates Estimating Default Probability from Bond Prices Comparison of Default Probability Estimates. Introduction.

841 views • 31 slides

(5)

(5). EFN and Capacity Usage (overhead 27). Suppose Rosengarten is operating at 80% capacity: 1. sales at full capacity 1000/.8=1250 2. What is the capital intensity ratio at full capacity? 3300/1250 =2.64 3. What is EFN? 300-185=115 565-450=115

493 views • 28 slides

Variations on Minimum Variance

Variations on Minimum Variance. Ruben Falk, Capital IQ Quantitative Research. March 2011. Agenda. Quick overview of the tools employed in constructing the Minimum Variance (MinVar) Portfolio

381 views • 21 slides

Capital Asset Pricing Model (CAPM)

Capital Asset Pricing Model (CAPM). Assumptions Investors are price takers and have homogeneous expectations One period model Presence of a riskless asset No taxes, transaction costs, regulations or short-selling restrictions (perfect market assumption)

1.66k views • 18 slides

Evaluating Portfolio Performance

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Modelling transformations accounting for fixed capital

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Genetic Programming in Statistical Arbitrage

Genetic Programming in Statistical Arbitrage. Philip Saks PhD Seminar 17.10.2007. Contents. Introduction Genetic Programming Clustering of Financial Data Data Framework Results Conclusion. Introduction.

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Capital Market Theory (Chap 9,10 of RWJ)

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Experiment

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Ch. 25 PORTFOLIO RETURN MEASURES I. Single period A. Holding period return (over period t) r t = Dividend yield

Ch. 25 PORTFOLIO RETURN MEASURES I. Single period A. Holding period return (over period t) r t = Dividend yield + capital gains yield = D t /P 0 + (P t - P 0 )/P 0 = (P t + D t - P 0 ) / P 0 where r t = return earned during period t

316 views • 4 slides