This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to small-caps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mut...
Economist Chester Spatt tackled two of the top controversies to hit Wall Street during his three year as chief economist at the Securities and Exchange Commission. Spatt, who returned to a professorship at Carnegie Mellon University last week, analyzed the economics of expensing stocks options and mutual-fund market timing and late trading practices. His job was to create economic models to assess the extent of financial damage to investors from rules violations, to devise penalties and to draft rules that would protect investors.
We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with the timing of downgrades. These risk measures are based on the Capital Asset Pricing Model (CAPM) and use the estimated parameters of the regime-switching models. We observe a noticeable switch from a low-volatility to a high-volatility regime one day before the day of downgrades. On average the volatility in stock returns triples around the time of downgrades, and the stock return process remains in the high-volatility regime for about three days. Using our proposed risk measure we find that stoc...
....49*d% to 12.91"d% (where "d" is the daily market price of risk) for the 10 days prior to the day of...
LONDON (Reuters) - Asset managers are launching an increasing number of active commodity funds designed to reduce exposure to collapsing prices in an asset class that can undergo wild swings. Controlling losses is the Holy Grail for commodity asset managers as they seek to attract pension funds that are starting to see the risk of staying fully invested in index funds of such volatile assets.
... little risk at a time or quickly exiting markets that are selling off. Both are seeing strong deman...Fulcrum also uses market timing models that generate signals for getting in and ou...
...Who Migrates? E. The Timing of Migration F. Genetics, Learning, and Navigation...(7) helped bring to a close the unregulated market hunting of waterfowl and shorebirds and the more f...These few statues, however, provide models of what such goals might resemble, and scientists ...
A free-fall in commodities and an unexpected jump in unemployment claims put financial markets on edge Thursday, dragging the stock market lower. Oil prices fell nearly $10, or 9 percent, to close below $100 a barrel for the first time since mid-March. Silver lost 8 percent to settle at $34.41; the metal already had its biggest one- day drop in three decades on Tuesday and is nearly $16 off its high of $50 reached last week. And gold fell 2.3 percent to $1,474.90 an ounce. Commodities like oil and cotton had risen by more than 25 percent over the past year. Some, like silver, remain up nearly 100 percent over this time last year, despite Thursday's decline. Thursday's pullback indicated that some speculators were locking in their gains and that other investors were protecting profits be...
EPA and NHTSA, on behalf of the Department of Transportation, are issuing this joint proposal to further reduce greenhouse gas emissions and improve fuel economy for light-duty vehicles for model years 2017-2025. This proposal extends the National Program beyond the greenhouse gas and corporate average fuel economy standards set for model years 2012-2016. On May 21, 2010, President Obama issued a Presidential Memorandum requesting that NHTSA and EPA develop through notice and comment rulemaking a coordinated National Program to reduce greenhouse gas emissions of light-duty vehicles for model years 2017- 2025. This proposal, consistent with the President's request, responds to the country's critical need to address global climate change and to reduce oil consumption. NHTSA is proposing C...
... of vehicles that are currently in the marketplace. The agencies' believe there is a wide range o..., technological feasibility, reasonable timing for manufacturers to implement technologies, and e... related to their product plans for vehicle models and fuel efficiency improving technologies and ass...
Reverse supply chains process used product returns to recover value by re-processing them via remanufacturing operations. When remanufacturing is feasible, the longer the return flows are delayed during the active (primary) market demand period of the product, the lower the value that can be recovered through these operations. In fact, in order to recover the highest value from remanufactured products, the collection rates, return timings, and reusability rates should be matched with the active market demand and supply. With these motivations, this paper is aimed at developing analytical models for the efficient use of returns in making production, inventory, and remanufacturing decisions during the active market. More specifically, we consider a stylistic setting where a collector coll...
... events are not always spelled out in EWR models, which are either based on simplified rational cho...(6) EWR tries to estimate the magnitude and timing of risks of emerging threats; it analyzes the natu... and accountability, government and market efficiency, democratic participation, and politica...
The extreme volatility of stock market values has been the subject of a large body of literature. Previous research focused on the short run because of a widespread belief that in the long run the market reverts to well-established fundamentals. The authors' research suggests this belief should be questioned. First, they show actual dividends cannot account for the secular trends of stock market values. They then consider a more comprehensive measure of capital income, which displays large secular fluctuations that roughly coincide with changes in stock market trends. Under perfect foresight, however, this measure fails to properly account for stock market movements. The authors thus abandon the perfect foresight assumption and instead assume that forecasts of future capital income are ...
... (consumption-based) asset- pricing models have a hard time explain- ing high-frequency fluct... size of the increase is too small and its timing is way off. Figure 5 suggests that the stock marke...
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