Contents 1.0 Introduction and Motivation 2 2.0 Methodology 5 2.1. Descriptive Statistics 5 2.2 Matrix of pairwise correlation. 6 3.0 Model Specification 6 3.1 Linear Regression Model. 6 3.2 The Regression Specification Error Test 8 3.3 Non-linear models 9 3.4 Autocorrelation. 10 3.5 Heteroskedasticity Test 10 4.0 Hypothesis Testing 11 5.0 Binary (Dummy) Variables 11 6.0 Conclusion 13 Reference List 13 1.0 Introduction and Motivation Crude oil is one of the world’s most important natural
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markets ● understand the concept of return‚ and be able to distinguish between realised returns and expected returns ● understand the relationship between expected return and risk ● understand the basic notion of uncertainty and be able to calculate sample variance ● understand the role and importance of the normal distribution. Key points 1 Investing involves allocating wealth to yield future returns. 2 Investments are typically measured according to risk and return. 3 The investment process can be
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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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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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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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to examine and test the January Effect as a trading strategy. The January Effect is well documented in the literature since Rozeff and Kinney (RK) 1976. Their study showed share returns appear to be abnormally high in January in the United States. In Australia‚ Brown et al (BKKM) 1983 demonstrated that ASX share returns peak in January and July. This trend appears to persist over time and markets across the world so it could be an exploitable trading strategy‚ taking advantage of market inefficiency
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1980‚ Quarterly dividend and earnings announcements and stockholders ’ returns: An empirical analysis‚ Journal of Finance 35‚ 1-12. Ariel‚ Robert A.‚ 1987‚ A monthly effect in stock returns‚ Journal of Financial Economics 18‚ 161-174. ‚ 1990‚ High stock returns before holidays: Existence and evidence on possible causes‚ Journal of Finance 45‚ 1611-1626. Asquith‚ Paul‚ 1983‚ Merger bids‚ uncertainty and stock holder returns‚ Journal of Financial Economics 11‚ 51-83. and David W. Mullins‚ 1983‚ The
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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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Required Rate of Return on Equity 3 3. Beta 3 4. Capital Asset Pricing Model 4 5.1 Limitations of CAPM 4 5.2 The APT Model 4 5.3 The Three-Factor Model 4 5.4 Required Rate of Return using APT or Three-Factor 5 Model 5. Bonds 5 6.5 How bond prices are determined 5 6.6 The Rate of Return on the bonds 6 6. Conclusion 7. Appendices 6.1 Appendix 1 – after tax rate of return on bonds 7
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