Статьи
Всего статей в данном разделе : 14
Опубликовано на портале: 03-10-2003
Richard Roll
Journal of Financial Economics.
1977.
Vol. 4.
No. 2.
P. 129-176.
Testing the two-parameter asset pricing theory is difficult (and currently infeasible).
Due to a mathematical equivalence between the individual return/beta'linearity
relation and the market portfolio's mean-variance efficiency, any valid test presupposes
complete knowledge of the true market portfolio's composition. This implies, inter
alia, that every individual asset must be included in a correct test. Errors of inference
inducible by incomplete tests are discussed and some ambiguities in published tests
are explained.



Опубликовано на портале: 25-09-2007
Fred D. Arditti
Journal of Financial and Quantitative Analysis.
1971.
Vol. 6.
No. 3.


Churning Bubbles [статья]
Опубликовано на портале: 14-03-2005
Franklin Allen, Gary Gorton
Review of Economic Studies.
1993.
Vol. 60.
No. 4.
P. 813-836.
Are stock prices determined by fundamentals or can "bubbles" exist? An important
issue in this debate concerns the circumstances in which deviations from fundamentals
are consistent with rational behaviour. When there is asymmetric information between
investors and portfolio managers, portfolio managers have an incentive to churn;
their trades are not motivated by changes in information, liquidity needs or risk
sharing but rather by a desire to profit at the expense of the investors that hire
them. As a result, assets can trade at prices which do not reflect their fundamentals
and bubbles can exist.



Investing in equity mutual funds [статья]
Опубликовано на портале: 03-10-2003
Lubos Pastor, Robert F. Stambaugh
Journal of Financial Economics.
2002.
Vol. 63.
No. 3.
P. 351-380.
Authors construct optimal portfolios of equity funds by combining historical returns
on funds and passive indexes with prior views about asset pricing and skill. By including
both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy
from managerial skill. Modest confidence in a pricing model helps construct portfolios
with high Sharpe ratios. Investing in active mutual funds can be optimal even for
investors who believe managers cannot outperfofm passive indexes. Optimal portfolios
exclude hot-hand funds even for investors who believe momentum is priced. Our large
universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.



Опубликовано на портале: 12-11-2004
Benjamin F. King
Journal of Business.
1966.
Vol. 39.
No. 1.
P. 139-190.
The analysis of the interdependence of an ensemble of security prices changes carries
with it implications for such seemingly diverse financial topics as (1) methods of
portfolio selection, (2) the design of index numbers, and (3) the theory of cost
of capital. The concluding section of this work will attempt to relate these subjects
to the principal statistical results in addition to suggesting further research that
can capitalize on the present finding.



Mutual Fund Performance [статья]
Опубликовано на портале: 25-09-2007
William F. Sharpe
Journal of Business.
1966.
Vol. 39.
No. 1 part 2.
P. 119-138.


Опубликовано на портале: 03-10-2003
Shmuel Kandel, Robert F. Stambaugh
Journal of Financial Economics.
1987.
Vol. 18.
No. 1.
P. 61-90.
A framework is presented for investigating the mean-variance efficiency of an unobservable
portfolio based on its correlation with a proxy portfolio. A sensitivity analysis
derives the highest correlation between the proxy and a portfolio that reverses the
inference of a test of SHarpe-Lintner tangency. For example, the maximum correlation
between the value-weighted NYSE-AMEX portfolio and a portfolio inferred tangent ranges
from 0.76 to 0.48. We also test whether the correlation between the proxy and the
tangent portfolio exceeds a given level. This hypothesis is often rejected for the
NYSE-AMEX proxy at a correlation of 0.7.


Price Momentum and Trading Volume [статья]
Опубликовано на портале: 02-11-2007
Charles M.C. Lee, Bhaskaran Swaminathan
Journal of Finance.
2000.
Vol. 55.
No. 5.
P. 2017-2069.
This study shows that past trading volume provides an important link between ‘momentum’ and ‘value’ strategies. Specifically, we find that firms with high (low) past turnover ratios exhibit many glamour (value) characteristics, earn lower (higher) future returns, and have consistently more negative (positive) earnings surprises over the next eight quarters. Past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects reverse over the next five years, and high (low) volume winners (losers) experience faster reversals. Collectively, our findings show that past volume helps to reconcile intermediate-horizon ‘underreaction’ and long-horizon ‘overreaction’ effects


Опубликовано на портале: 25-09-2007
Ira Horowitz
Journal of Business.
1966.
Vol. 39.
No. 4.


Опубликовано на портале: 15-11-2004
John Lintner
Review of Economics and Statistics.
1965.
Vol. 47.
No. 1.
P. 13-37.
The effects of risk and uncertainty upon asset prices, upon rational decision rules
for individuals and institutions to use in selecting security portfolios, and upon
the proper selection of projects to include in corporate capital budgets have increasingly
engaged the attention of professional economists and other students of the capital
markets and of business finance in recent years. The first two sections of this paper
deal with the problem of selecting optimal security portfolios by risk-averse
investors who have the alternative of investing in risk-free securities with a positive
return (or borrowing at the same rate of interest) and who can self short if whey
wish. In section III we develop various significant equilibrium properties within
the risk asset portfolio. However unceelisic the latter assumption may be, it
enables, in section IV, to derive a set of (stable) equilibrium market prices which
at least fully and explicity reflect the presence of uncertainty per se
(as distinct from the effects of diverse expectations), and to derive further implications
of such uncertainty. The next section considers some of the implications of these
results for the normative aspects of the capital budgeting decisions of a company
whose stock is traded in the market. The final section of the paper briefly examines
the complications introduced by institutional limits on amounts which either individuals
or corporations may borrow at given rates, by rising costs of borrowed funds, and
certain other "real world" complications.



Опубликовано на портале: 11-08-2004
Василий Леонидович Перминов
Данный библиографический список рекомендуется при изучении дисциплины «Портфельный
анализ».


Опубликовано на портале: 13-10-2003
William F. Sharpe, Gordon J. Alexander, George Bailey
Периодика. Список составлен группой авторов: У.Ф.Шарп, Г.Дж.Александер, Дж.В.Бэйли.
Рекомендуется использовать при изучении дисциплины "Управление инвестиционным потрфелем".


Опубликовано на портале: 13-10-2003
Eugene F. Brigham, Louis C. Gapenski
Данный библиографический список, опубликованный в журнале "Financial Management",
может использоваться при изучении дисциплины "Рынок
ценных бумаг".


Опубликовано на портале: 02-12-2008
Вячеслав Дмитриевич Жакевич
Социологические исследования.
2008.
№ 10.
С. 88-96.
После распада СССР все республики, входившие ранее в его состав, столкнулись с демографическими проблемами. По международным оценкам, распад СССР привел к появлению около 30 млн. мигрантов [1]. В центре внимания европейских исследовательских центров стала актуальной ситуация в области международной миграции в странах, непосредственно граничащих со странами ЕС (Беларусь, Молдова, Россия и Украина), а также в некоторых других странах СНГ (Армения, Грузия). В зависимости от складывающихся в них социально-экономических и политических обстоятельств демографическую ситуацию определяли разные факторы: низкий уровень рождаемости (Беларусь, Россия, Украина), высокий уровень миграции (Грузия, Армения, Молдова). Различные тенденции естественного и механического движения населения в итоге вели к уменьшению населения.

