Impact of implied moments of returns' distribution on the dynamics of returns
Analysis of results of portfolio sorting into ten decile and long-short portfolios and subsequent future monthly returns at random dates compared with days when FOMC statement or rate decision was announced. Long-short Feng-measure portfolio over time.
Подобные документы
Research of a dynamic model for 3 and 4 moments of distribution of returns - bevel and kurtosis. Risk of the Russian and American stock markets. The return on a portfolio of high dividend stocks. The size of the dividend as a potential additional utility.
дипломная работа, добавлен 27.08.2020The purpose of the research was using liquidity-adjusted Capital Asset Pricing Model (CAPM) proposed by Acharya and Pedersen to figure out how does the liquidity effect on asset returns in crisis time is different from the liquidity effect in stable time.
курсовая работа, добавлен 11.07.2016Mergers and acquisitions of high-tech companies. Motives of these processes. Analysis of changes in abnormal returns. Determinants of the effectiveness of mergers and acquisitions. Example description and methodology. Regression analysis and results.
дипломная работа, добавлен 10.12.2019Research and characterization of the main features of households portfolio choice and investigate the composition of savings rather than the aggregate of it. Review and analysis of the participation rate of Russian households on financial markets.
дипломная работа, добавлен 21.08.2016Analysis of the main differences between economic systems of two countries (they are completely different in their economic substance), including the GDP growth rate, exchange rate, interest rate short-term government debt, unemployment and trade deficit.
реферат, добавлен 17.06.2014Research on short-term and long-term relationship between the index of the Istanbul stock exchange and the performance of the real economy, including GDP. Identify long-term equilibrium relationship between stock prices and macroeconomic variables.
статья, добавлен 26.09.2016Accounting of Income & Profits of enterprise. The balance sheet & the income statement. The law of diminishing returns. Multiple inputs, the production function. The Critical Factors of Social Enterprise Profitability. Business factors, trade-off factors.
курсовая работа, добавлен 25.11.2012Methodological bases of selection for commercialization of innovative projects from the formed portfolio by types of innovation changes. Use of scenario modeling taking into account the retrospective analysis of the direction of the vector effect.
статья, добавлен 04.02.2019The performance indicators for the evaluation of products and services. Ensure the competitiveness of enterprises in the formation of the export portfolio for a mechanical engineering enterprise, attractiveness rating structure of market segments.
статья, добавлен 14.09.2016Comparative study of two models of portfolio optimization: Brandt and Santa-Clara, Black-Litterman. Objective function and statistical inference in the Brandt and Santa-Clara model. The market equilibrium and investor’s views in the Black-Litterman model.
дипломная работа, добавлен 11.11.2015- 11. Проблемы разработки системы обобщающих показателей и нормативов основных матриц портфолио-анализа
Рассмотрение методики проведения Portfolio-анализа и разработка маркетинговых стратегий будущего развития компании. Три базовых стратегических направления создания и реализации конкурентных преимуществ. Характеристика матрицы BCG, ее преимущества.
реферат, добавлен 14.01.2014 The comparison on the limited terrain of models of economic growth. Positive net investment is the passive result of an optimal allocation decision. Defining the rate of profit. A short-run technology, Cobb-Douglas relation. Classical saving function.
статья, добавлен 10.09.2012Evidence and explanation of the value premium. Combining value and momentum strategies. Value and momentum measures. Value portfolio construction. Combo portfolio construction. Hypotheses and asset pricing models. Dealing with non-normal distributions.
дипломная работа, добавлен 22.01.2016Research on trends in the impact of COVID-19 on China's FMCG and services industry. Study of deep changes in enterprises during this period. Preparation for future risks, incentive for e-commerce, short-term negative impact on certain industries.
статья, добавлен 21.11.2022Тhe short and long-run relationships between Istanbul Stock Exchange Index and some measures of aggregate real activity including GDP, treasury bills rates, exchangerates in economy. The impulse response functions and variance decompositions reveal.
статья, добавлен 27.09.2016Exchange rates as one of the main indicators of the global economy. The factors that determine the dynamics of exchange rates. Econometric analysis of the dynamics of the Russian ruble nominal exchange rate and factors affecting it at different periods.
дипломная работа, добавлен 28.08.2016The entrepreneur’s behavior, and its influence on the company’s risks and performance. Problem of the long-term strategy. Investigation of entrepreneur’s activities in the company’s life cycle. The investigate motives towards business in the long-term.
дипломная работа, добавлен 29.06.2017The initial public offering. Security sales by public companies. Private placements and public issues. The first stage market value balance sheet. Venture capital investments. Average initial ipo returns. Underwriting spreads and new share price.
презентация, добавлен 02.08.2013The real impact of new export pipelines on the local economy and nature. Linking the gas pipeline to increased long-term economic activity. Study of the level of harmful emissions. Analysis of the low degree of reliability of state statistics data.
курсовая работа, добавлен 19.08.2020- 20. New model of understanding income distribution through graduation of normalized Gini mean difference
Topical problem as income and wealth inequality in the context of professional competence. transformation of Gini index, reflecting income inequality, into index M. The notion of "graduation", i.e. rate of wage rate scale customary at time wage system.
реферат, добавлен 30.09.2016 Uncertainties, huge investments, late returns on investment and high risks - the main features of innovation process. Smart specialization as an innovation strategy in terms of national or regional domain, which is aimed on economic transformation.
дипломная работа, добавлен 30.06.2017Clustering financial time series: an application to mutual funds style analysis. Clustering stock market data for portfolio management. Relation between financial market structure and the real economy. Correlation clustering in general weighted graphs.
статья, добавлен 10.05.2018Consideration of additional variables based on investor sentiment that affects market performance on national stock exchanges. General characteristics of statistical evidence of the presence of local football sentiment, familiarity with the features.
курсовая работа, добавлен 07.12.2019Confirmation of the Prebisch-Singer hypothesis for selected commodities in the long term and some of the symptoms of Dutch disease in period 2000-2016 in Botswana, Canada, Nigeria and Norway. Price as channel of resource curse transfer in the short term.
статья, добавлен 05.10.2018The approaches to the selection for the commercialization of innovative projects of the generated portfolio by innovation type. The changing factors that generate effects influencing the level of enterprise innovation capacity and business opportunities.
статья, добавлен 30.10.2016