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Does firm value move too much to be justified by subsequent changes in cash flow?
(ELSEVIER SCIENCE SA, 2008)
The appropriate measure of cash flow for valuing corporate assets is net payout, which is the sum of dividends, interest, and net repurchases of equity and debt. Variation in net payout yield, the ratio of net payout to ...
Explaining the Time Series and Cross-Section Variations of Returns: The Mexican Stock Market-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2004-06-01)
The main objective of this dissertation is to propose an Asset Pricing Model that identifies the risk factors explaining the time series and cross-section variations in the returns of the Mexican Stock Market. This analysis ...
Explaining the Time Series and Cross-Section Variations of Returns: The Mexican Stock Market-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2015)
Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns
(Oxford University Press, 2018-03)
This article proposes tests for slope homogeneity across individuals in quantile regression fixed effects panel data models. The tests are based on the Swamy statistic. We establish the asymptotic null distribution of the ...
Nonparametric tail risk, stock returns, and the macroeconomy
(Cirano, 2016)
This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...
Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-07)
Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important ...
Optimal performance fees and flow of funds in asset management contracts
(2006)
This paper investigates the importance of ow of funds as an implicit incentive in the asset management industry. We build a two-period bi- nomial moral hazard model to explain the trade-o¤s between ow, per- formance and ...
Eleições presidenciais no Brasil e comportamento de fundos de investimento em ações entre 2010 e 2017
(2018-12-06)
Anos de eleição para Presidente costumam gerar grande incerteza no mercado financeiro. O presente trabalho tem como objetivo avaliar a performance de fundos de investimentos em ações durante períodos eleitorais no Brasil. ...
Expected returns of the Dow Industrials, Fama-French model
(Wolfram Demonstrations Project & Contributors, 2016)