Всего статей в данном разделе : 11
Опубликовано на портале: 03-10-2003Richard 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: 25-09-2007Fred D. Arditti Journal of Financial and Quantitative Analysis. 1971. Vol. 6. No. 3.
Churning Bubbles [статья]
Опубликовано на портале: 14-03-2005Franklin 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: 03-10-2003Lubos 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: 12-11-2004Benjamin 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: 25-09-2007William F. Sharpe Journal of Business. 1966. Vol. 39. No. 1 part 2. P. 119-138.
Опубликовано на портале: 03-10-2003Shmuel 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: 02-11-2007Charles 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: 25-09-2007Ira Horowitz Journal of Business. 1966. Vol. 39. No. 4.
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets [статья]
Опубликовано на портале: 15-11-2004John 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: 02-12-2008Вячеслав 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 . 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.