Returns 1 RETURNS Prices and returns Let Pt be the price of an asset at time t. Assuming no dividends the net return is Pt Pt − Pt−1 −1= Rt = Pt−1 Pt−1 The simple gross return is Pt = 1 + Rt Pt−1 Returns 2 Example: If Pt−1 = 2 and Pt = 2.1 then 2.1 Pt 1 + Rt = = = 1.05 and Rt = 0.05 Pt−1 2 Returns 3 The gross return over k periods (t − k to t) is 1 + Rt (k) := Pt−1 Pt−k+1 Pt Pt ··· = Pt−k Pt−1 Pt−2 Pt−k = (1 + Rt ) · · · (1 + Rt−k+1 ) Returns are • scale-free‚ meaning that they do not depend
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between the colonies and Britain‚ and how they contributed to the imperial crisis‚ to include an analysis of what event or issue determined "the point of no return" and why? "In 1775‚ war broke out between the British and the American colonists. By 1776‚ the colonists declared themselves independent and in 1783‚ following a prolonged and bloody war‚ Britain was forced to recognize the independence of the United States." Was the American Revolution and thus American independence inevitable? John
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an investor. b. the expected return on a risky asset. c. the expected return on a collection of risky assets. d. the variance of returns for a risky asset. e. the standard deviation of returns for a collection of risky assets. PORTFOLIO WEIGHTS 2. The percentage of a portfolio’s total value invested in a particular asset is called that asset’s: a. portfolio return. b. portfolio weight. c. portfolio risk. d. rate of return. e. investment value.
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Risk and Return: Portfolio Theory and Asset Pricing Models Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model Portfolio Theory • Suppose Asset A has an expected return of 10 percent and a standard deviation of 20 percent. Asset B has an expected return of 16 percent and a standard deviation of 40 percent. If the correlation between A and B is 0.6
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MODELLING ABNORMAL RETURN: A REVIEW ARTICLE Oleh Norman Strong Overview Paper ini memberikan panduan untuk metodologi event study dan menguraikan prosedur pemodelan return abnormal dan masalah yang terkait. Event Study Event study adalah nama yang diberikan pada penelitian empiris atas hubungan antara harga sekuritas dengan kejadian ekonomi (economic events). Kebanyakan event study memfokuskan pada perilaku harga saham dalam rangka untuk menguji apakah perilaku stokastik mereka dipengaruhi oleh pengungkapan
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Returns to Scale Returns to scale is a concept that tries to explain the behaviour of the output in relation to the change in the total scale of operations of the firm. A change of scale of operations means a change in the total size of the firm‚ i.e. a change in both labour and capital of the firm. For determining the returns to scale‚ we need to calculate the Output Elasticity where: Output Elasticity = % change in Output/% change in all inputs The different types of returns to scales
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The documentary Return to the Wild debates the two very different argued reasons of why Chris McCandless went into the wild. The writers choose to uncover the dark secrets of the McCandless family and to reveal the truth as to why Chris travelled into the Alaskan wilderness. The documentary adopts an intense tone in the beginning that shifts to a more light hearted attitude throughout the second half of the film using symbolism‚ cinematography‚ audio‚ and various interviews in order to explain to
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George VI George VI was crowned king of the United Kingdom of Great Britain and Ireland during World War II in 1937‚ and he became a very important leader to the British people. (He was also emperor of India.) He was the second son of King George V‚ a very cruel and judgemental man‚ and Victoria May‚ a mother who would show little affection. He developed a stammer when he was around eight‚ had to wear leg braces to fix his knock knees‚ and he suffered from chronic stomach problems and ill health
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portfolio beta of .90? a. $0 b. $268 c. $482 d. $543 e. $600 EXPECTED RETURN c 60. You recently purchased a stock that is expected to earn 12 percent in a booming economy‚ 8 percent in a normal economy and lose 5 percent in a recessionary economy. There is a 15 percent probability of a boom‚ a 75 percent chance of a normal economy‚ and a 10 percent chance of a recession. What is your expected rate of return on this stock? a. 5.00 percent b. 6.45 percent c. 7.30
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line of returns for Asset B is steeper (has greater slope) than Asset A The slopes of these lines are the betas for each asset: 2.61 for Asset B and 1.48 for Asset A. The greater beta value of Asset B signifies that it is more responsive to market factors and therefore makes it more risky than Asset A. P8-20 Interpreting Beta a. A 15% increase in market return would lead to an 18% (15% x 1.20) increase in the asset’s return. b. An 8% decrease in market return would lead
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