The Risk Adjusted Performance Of Asset Flippers

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The Risk-Adjusted Performance of Asset Flippers

Author : Marco Giacoletti
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Risk-Adjusted Performance of Asset Flippers by : Marco Giacoletti

Download or read book The Risk-Adjusted Performance of Asset Flippers written by Marco Giacoletti and published by . This book was released on 2018 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using data from the housing market of Los Angeles County, we show that experienced asset flippers earn sizable abnormal performance with respect to both investments in the U.S. stock market and in a passive mutual fund tracking a representative U.S. REIT index. Abnormal performance is positive even after adjusting returns for a conservative estimate of the additional compensation for the specific risks of local real estate investment activities. Experienced flippers outperform their inexperienced competitors when trading comparable houses over the same time frame, but face decreasing returns to the scale of their asset portfolios.

Non-normality of Asset Returns in the Assessment of Risk-adjusted Performance

Author : Sean F. Reid
Publisher :
ISBN 13 :
Total Pages : 1232 pages
Book Rating : 4.:/5 (518 download)

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Book Synopsis Non-normality of Asset Returns in the Assessment of Risk-adjusted Performance by : Sean F. Reid

Download or read book Non-normality of Asset Returns in the Assessment of Risk-adjusted Performance written by Sean F. Reid and published by . This book was released on 2002 with total page 1232 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of the Economics of Corporate Finance

Author :
Publisher : Elsevier
ISBN 13 : 0128240067
Total Pages : 472 pages
Book Rating : 4.1/5 (282 download)

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Book Synopsis Handbook of the Economics of Corporate Finance by :

Download or read book Handbook of the Economics of Corporate Finance written by and published by Elsevier. This book was released on 2023-08-15 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Private Equity and Entrepreneurial Finance, volume 1 of the new series, Handbook of the Economics of Corporate Finance, provides comprehensive and accessible updates of central theoretical and empirical issues in corporate finance. The demand for these updates reflects the rapid evolution of corporate finance research, which has become a dominant field in financial economics. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. The dense roadmaps are intended to make the economics of corporate finance and governance accessible not only to doctoral students but also researchers not intimately familiar with this important field. Provides the authority and expertise of leading contributors from an international board of authors Presents the latest release in the Handbook of the Economics of Corporate Finance series Updated release includes the latest information on Private Equity and Entrepreneurial Finance

Risk-adjusted Performance

Author : Henry Oswald De Villiers
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.:/5 (192 download)

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Book Synopsis Risk-adjusted Performance by : Henry Oswald De Villiers

Download or read book Risk-adjusted Performance written by Henry Oswald De Villiers and published by . This book was released on 2005 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Risk-adjusted Portfolio Performance

Author : Smith, Barney and Company
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (588 download)

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Book Synopsis Risk-adjusted Portfolio Performance by : Smith, Barney and Company

Download or read book Risk-adjusted Portfolio Performance written by Smith, Barney and Company and published by . This book was released on 1971 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Fat-Tailed and Skewed Asset Return Distributions

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0471758906
Total Pages : 385 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Fat-Tailed and Skewed Asset Return Distributions by : Svetlozar T. Rachev

Download or read book Fat-Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2005-09-15 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

The Trend is Our Friend

Author : Andrew Clare
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Trend is Our Friend by : Andrew Clare

Download or read book The Trend is Our Friend written by Andrew Clare and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the effectiveness of applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. The application of trend following offers a substantial improvement in risk-adjusted performance compared to traditional buy-and-hold portfolios. We also find it to be a superior method of asset allocation than risk parity. We believe the discipline of trend following overcomes many of the behavioural biases investors succumb to, such as regret and herding. The other side of behavioural biases is that they may be exploited by investors: the clearest example of this is momentum investing where herding leads to continuation of returns and has been identified across many asset classes. Also, momentum and trend following have often been used interchangeably although the former is a relative concept and the latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum portfolios but with much reduced volatility and drawdowns due to trend following. We compare the performance of selected strategies using measures based on the utility function of a representative investor. These results reinforce the superiority of combining trend following with momentum strategies. We observe that a flexible asset allocation strategy that allocates capital to the best performing instruments irrespective of asset class enhances this further.

A Jigsaw Puzzle of Basic Risk-Adjusted Performance Measures

Author : Hendrik Scholz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis A Jigsaw Puzzle of Basic Risk-Adjusted Performance Measures by : Hendrik Scholz

Download or read book A Jigsaw Puzzle of Basic Risk-Adjusted Performance Measures written by Hendrik Scholz and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1997, Modigliani and Modigliani developed the risk-adjusted performance measure RAP (often called M-squared) which is by now widely accepted in theory and practice. Their measure has further increased investorsiquest; awareness of risk-adjusted performance measurement. However, this measure uses the standard deviation as the relevant measure of risk, and, therefore, is relevant only to investors who invest their entire savings into a single fund. In this article the authors present a jigsaw puzzle of basic risk-adjusted performance measures which helps to better understand the key links between these measures. In doing so they include a hardly known measure: the market risk-adjusted performance (MRAP). While closely related to the Modigliani measure, the MRAP measures returns relative to market risk instead of total risk. Thus, the MRAP is suitable for investors who invest in many different assets.

Risk-adjusted Measures of Security and Portfolio Performance

Author : William F. Sharpe
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (845 download)

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Book Synopsis Risk-adjusted Measures of Security and Portfolio Performance by : William F. Sharpe

Download or read book Risk-adjusted Measures of Security and Portfolio Performance written by William F. Sharpe and published by . This book was released on 1971 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Models Or Stars

Author : Richard B. Evans
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Models Or Stars by : Richard B. Evans

Download or read book Models Or Stars written by Richard B. Evans and published by . This book was released on 2018 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how third party ratings and mandatory benchmark disclosure affect aggregate risk adjustment by retail investors. Morningstar changed its ratings methodology in June 2002. Before the change, the ratings were based on a risk-adjusted performance ranking of all US equity funds and highly correlated to CAPM alphas. After the change, the ranking was calculated within size and book-to-market categories, effectively controlling for these exposures and increasing the rating's correlation to Fama-French (FF3) alphas. Flows strongly correlate with CAPM alphas before the change, but are strongly related to FF3 alphas after. Flows to a matched subset of institutional separate accounts with the same manager and strategy strongly correlate with FF3 before and after the change, but are unrelated to CAPM. Over the broader time period, we find investor flows increasingly respond to FF3 alphas, and this broad trend is explained in part by the ratings' methodology change and improvements in self-declared fund benchmarks, the latter as a result of greater competition. Our results suggest that instead of employing asset pricing models, the average retail investor appears to rely on third-party certification and fund benchmark disclosure to indirectly risk-adjust. Moreover, improvements in rating methodologies and increasing competition drive higher level of sophistication in the risk-adjustment model implied by retail fund flows.

BlackRock's Guide to Fixed-Income Risk Management

Author : BlackRock, Inc.
Publisher : John Wiley & Sons
ISBN 13 : 1119884888
Total Pages : 455 pages
Book Rating : 4.1/5 (198 download)

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Book Synopsis BlackRock's Guide to Fixed-Income Risk Management by : BlackRock, Inc.

Download or read book BlackRock's Guide to Fixed-Income Risk Management written by BlackRock, Inc. and published by John Wiley & Sons. This book was released on 2023-10-25 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: An irreplaceable roadmap to modern risk management from renowned experts on the subject Edited by a co-founder and the former Chief Risk Officer of BlackRock—the world’s largest asset manager—BlackRock’s Guide to Fixed-Income Risk Management delivers an insightful blueprint to the implementation of a comprehensive investment risk management framework for buy-side firms. Leveraging the unprecedented academic and professional experience of current and former senior leaders in BlackRock’s risk and portfolio management functions, as well as trading, financial modeling, and analytics experts, the book serves a practitioner’s guide to investment risk management, leveraging BlackRock’s risk management framework. The included chapters combine to provide chief investment officers, risk managers, portfolio managers, researchers, and compliance professionals an approach to investment risk management well-suited for today's and tomorrow's markets. The book also presents: Critical elements that underpin a strong risk management program and culture Fixed income risk management concepts and theories that can be applied to other asset classes Lessons learned from financial crises and the COVID-19 Pandemic Ideal for undergraduate students and students and scholars of business, finance, and risk management, BlackRock’s Guide to Fixed-Income Risk Management is a one-of-a-kind combination of modern theory with proven, practical risk management strategies.

The Asset Growth Anomaly and the Role of Limits to Arbitrage

Author : FY Eric Lam
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Asset Growth Anomaly and the Role of Limits to Arbitrage by : FY Eric Lam

Download or read book The Asset Growth Anomaly and the Role of Limits to Arbitrage written by FY Eric Lam and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several studies have documented that companies that increase capital investments or grow their total assets subsequently earn substantially lower risk-adjusted returns. While some studies attribute this phenomenon to investors' initial underreactions to overinvestments pursued by managers who are empire building, others attribute it to investors' initial overreactions to shifts in future business prospects implied by asset expansions. This paper examines the role of the limits to arbitrage in the negative effect of capital investment or asset growth on subsequent stock returns. We hypothesize that if the negative effect is due to investors' initial mis-reactions, the effect should be more pronounced when there are more severe limits to arbitrage. Our empirical evidence appears to support our hypothesis.

The Trend is Our Friend

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)

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Book Synopsis The Trend is Our Friend by :

Download or read book The Trend is Our Friend written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Index Funds

Author : Mark T. Hebner
Publisher : IFA Publishing, Inc.
ISBN 13 : 0976802309
Total Pages : 411 pages
Book Rating : 4.9/5 (768 download)

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Book Synopsis Index Funds by : Mark T. Hebner

Download or read book Index Funds written by Mark T. Hebner and published by IFA Publishing, Inc.. This book was released on 2007 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial services industry has a dark secret, one that costs global investors about $2.5 trillion per year. This secret quietly drains the investment portfolios and retirement accounts of almost every investor. In 1900, French mathematician, Louis Bachelier, unsuspectingly revealed this disturbing fact to the world. Since then, hundreds of academic studies have supported Bachelier's findings. This book offers overwhelming proof of this, and shows investors how to obtain their optimal rate of return by matching their risk capacity to an appropriate risk exposure. A globally diversified portfolio of index funds is the optimal way to accomplish this. Index Funds is the treatment of choice for wayward investors. Below market returns in investment portfolios and pension accounts are the result of investors gambling with their hard earned money. This 12-Step Program will put active investors on the road to recovery. Each step is designed to bring investors closer to embracing a prudent and sound strategy of buying, holding, and rebalancing an index portfolio.

Real Estate Economics

Author : Nicholas G. Pirounakis
Publisher : Routledge
ISBN 13 : 0415676347
Total Pages : 514 pages
Book Rating : 4.4/5 (156 download)

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Book Synopsis Real Estate Economics by : Nicholas G. Pirounakis

Download or read book Real Estate Economics written by Nicholas G. Pirounakis and published by Routledge. This book was released on 2013 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real Estate Economics: A point-to-point handbook introduces the main tools and concepts of real estate (RE) economics. It covers areas such as the relation between RE and the macro-economy, RE finance, investment appraisal, taxation, demand and supply, development, market dynamics and price bubbles, and price estimation. It balances housing economics with commercial property economics, and pays particular attention to the issue of property dynamics and bubbles – something very topical in the aftermath of the US house-price collapse that precipitated the global crisis of 2008. This textbook takes an international approach and introduces the student to the necessary ‘toolbox’ of models required in order to properly understand the mechanics of real estate. It combines theory, technique, real-life cases, and practical examples, so that in the end the student is able to: • read and understand most RE papers published in peer-reviewed journals; • make sense of the RE market (or markets); and • contribute positively to the preparation of economic analyses of RE assets and markets soon after joining any company or other organization involved in RE investing, appraisal, management, policy, or research. This book should be particularly useful to third-year students of economics who may take up RE or urban economics as an optional course, to postgraduate economics students who want to specialize in RE economics, to graduates in management, business administration, civil engineering, planning, and law who are interested in RE, as well as to RE practitioners and to students reading for RE-related professional qualifications.

Maximizing the Volatility Return

Author : Daniel Mantilla-Garcia
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Maximizing the Volatility Return by : Daniel Mantilla-Garcia

Download or read book Maximizing the Volatility Return written by Daniel Mantilla-Garcia and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-term performance of any portfolio can be decomposed as the sum of the weighted average long-term return of its assets plus the volatility return of the portfolio. Hence, maximizing the volatility return of portfolios of assets with similar characteristics, such as factor portfolios, yields an important increase in performance and risk-adjusted return relative to market-cap weighted factor portfolios. Partitioning a universe of assets into homogeneous groups and applying a block-wise maximum volatility return strategy (MVR) also yields a more efficient index than standard market-cap and equal-weighted indices.

Hedge Fund Alpha: A Framework For Generating And Understanding Investment Performance

Author : John M Longo
Publisher : World Scientific
ISBN 13 : 9814469920
Total Pages : 333 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Hedge Fund Alpha: A Framework For Generating And Understanding Investment Performance by : John M Longo

Download or read book Hedge Fund Alpha: A Framework For Generating And Understanding Investment Performance written by John M Longo and published by World Scientific. This book was released on 2009-03-20 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment performance. This book takes an exclusive look at the latter, including an analysis of the areas that are most likely to generate strong investment returns — namely, the emerging markets of Brazil, Russia, India and China. The book will be invaluable to not only financial professionals, but anyone interested in learning about hedge funds and their future.