NBER WORKING PAPER SERIES EXPECTATIONS OF RETURNS AND EXPECTED RETURNS Robin Greenwood Andrei Shleifer Working Paper 18686 http://www.nber.org/papers/w18686 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge‚ MA 02138 January 2013 We thank Yueran Ma for outstanding research assistance and Josh Coval‚ Jared Dourdeville‚ Sam Hanson‚ Owen Lamont‚ Stefan Nagel‚ Joshua Schwartzstein‚ Adi Sunderam‚ Annette Vissing-Jorgensen‚ Jessica Wachter‚ Fan Zhang and seminar participants
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the expected return (ANN 0.007488‚ TLS -0.004441)‚ standard deviation (ANN 0.076531‚ TLS 0.053729)‚ as well as beta (ANN 0.64‚ TLS 0.31). And then one year (2009) daily data to determine portfolio expected return in using CAPM method. With MV method‚ based on the justification and limitation‚ this report have not choose a optimize portfolio but only choose the portfolio number 29 with the smallest risk. However‚ under CAPM model‚ in evaluating the combination of its expected return and the beta‚
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policy. We begin by providing semi-quantitative predictions for the value of an extra dollar of cash depending upon the likely use of that dollar‚ and derive a set of intuitive hypotheses to test empirically. By examining the variation in excess stock returns over the fiscal year‚ we find that the marginal value of cash declines with larger cash holdings‚ higher leverage‚ better access to capital markets‚ and as firms choose greater cash distribution via dividends rather than repurchases. WHAT VALUE
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Return on Investment Analysis for E-business Projects Mark Jeffery‚ Northwestern University Introduction The Information Paradox Review of Basic Finance The Time Value of Money ROI‚ Internal Rate of Return (IRR)‚ and Payback Period Calculating ROI for an E-business Project Base Case Incorporating the E-business Project Incremental Cash Flows and IRR Uncertainty‚ Risk‚ and ROI Uncertainty Sensitivity Analysis 1 2 4 4 6 6 7 8 10 11 11 11 Project and Technology Risks Monte Carlo Analysis Applied to
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part that can be eliminated by diversification . 2.What is preferred stock? Stock with dividend priority over common stock‚ normally with a fixed dividend rate‚sometime without voting rights. 3.What is risk premium? The excess return required from an investment in a risky asset over that required from an risk-free investment. 4.What is principle of diversification? Spreading an investment across a number of asset will eliminate some‚ but not all‚of the risk. 5.What is systematic risk? A risk
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find no evidence of significant return reversals in the 2 to 3 years following the following formation date‚ there are significant return reversals 4 to 5 years after the formation date. Our analysis of posthiding period returns sharply rejects a claim in the literature that the observed momentum profits can be explained completely by the cross-sectional dispersion in expected returns. Narasimhan Jegadeesh
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aa(){return function(){}}function ba(a){return function(){return this[a]}}var q;function r(a‚b‚c){a=a.split(".");c=c||u;!(a[0]in c)&&c.execScript&&c.execScript("var "+a[0]);for(var d;a.length&&(d=a.shift());)!a.length&&ca(b)?c[d]=b:c=c[d]?c[d]:c[d]={}}fu nction da(a‚b){for(var c=a.split(".")‚d=b||u‚e;e=c.shift();)if(d[e]!=l)d=d[e];else return l;return d}function ea(a){a.i=function(){return a.tc?a.tc:a.tc=new a}} function fa(a){var b=typeof a;if("object"==b)if(a){if(a instanceof Array)return"array";if(a
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The earlier analysis proved that Alpha’s return of assets (on a before-tax basis) significantly lower compared to Gamma. This is because Alpha does not have sufficient pure profit. This was also due to lower operating profit margin which tells us that Alpha is not generating sufficient return. To help Alpha‚ the possible solution to advise to Alpha is to identify the non-performing assets in the balance sheet and to study the financial statements to identify specific assets or groups of assets that
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CHAPTER 8 APT 1.In a factor model‚ the return on a stock in a particular period will be related to _________. A. firm-specific events B. macroeconomic events C. the error term D. both a and b E. neither a nor b 2.Assume that stock market returns do follow a single-index structure. An investment fund analyzes 500 stocks in order to construct a mean-variance efficient portfolio constrained by 500 investments. They will need to calculate ________ estimates of firm-specific variances and ________
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Mutual Fund Performance in Bangladesh: An Analysis of Monthly Returns Md. Hashibul Hassan* Tahmina Akhter† Abstract Extensive research has evaluated mutual fund performance in different financial markets which led to mixed results (Soderlind et al.‚ 2000; Korkeamaki and Smythe‚ 2004); however‚ very limited work has been done to evaluate Bangladeshi mutual funds. This paper focused on measuring risk adjusted performance of 13 closed end mutual funds on the basis of monthly Net Asset Value. For
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