WU Wien. November 23, 2012 AWG Innsbruck. Price and Dividend Implications. of Index Composition Changes. Georg Cejnek, Otto Randl. WU Wien.
|
|
- Monica Randall
- 5 years ago
- Views:
Transcription
1 November 23, 2012 AWG Innsbruck 1/33
2 Agenda (Euro Stoxx 50) 2/33
3 Stock market indices are extremely important in practice Huge market share of passive investing (ETFs) Underlying for derivatives Development of dividend indices Growing importance of long term dividend derivatives Investment bank sales argument positive survivorship bias on index compositon emphasizes single stocks Only few papers look into long term effects on index itself These papers are partly contradictory Focus is almost entirely on prices Needed: Consistent methodology to investigate both prices and dividends on the index level 3/33
4 Euro Stoxx 50 s jan jan jan jan jan jan2012 4/33
5 (1) Abnormal return studies Downward sloping demand curve If securities are not perfect substitutes for each other, additional demand from index inclusion will create permanent price increase, e.g. Shleifer (1986) Price pressure Temporarily, less than perfectly elastic demand curve as liquidity providers want more compensation. Price pressure reverses over time, e.g. Harris and Gurel (1986), Lynch and Mendenhall (1997) Liquidity hypothesis Index inclusion leads to more liquidity. As required liquidity premium shrinks, there is a corresponding (permanent) price increase, e.g. Edmister, Graham and Pirie (1996), Erwin and Miller (1998) 5/33
6 (2) Abnormal return studies (cont.) Information content hypothesis Inclusion of a stock in the index reveals important information on the quality of the stock which should have (permanent) price impact, e.g. Denis, McConnell, Ovtchinnikov and Yu (2003), Jain (1987), Kappou, Brooks and Ward (2008) Long term index studies Siegel and Schwartz (2006) find the orginal S&P 500 companies from 1957 to outperform the rebalanced index by 55bp p.a. Cai and Houge (2008): passive buy-and-hold portfolio outperforms Russell 2000 small cap index ( ) by 222bp p.a. Ranaldo and Häberle (2008) argue that indices are forms of active investment management. Exclusive indices outperform in bull markets. 6/33
7 (3) Momentum and mean reversion of stock prices e.g., Balvers, Wu, and Gilliland (2000) and Balvers and Wu (2006) find mean reversion for stock indices, resp. in combination with momentum effects. payouts Life cycle theory of dividends. Evidence that bigger (book value) and more mature companies pay out more. e.g., Fama and French (2001), Eije and Megginson (2008), Denis and Osobov (2008). 7/33
8 How does periodic rebalancing (together with momentum and mean reversion) affect price indices? Does this also affect dividend indices? Are these effects stronger for more exclusive indices? 8/33
9 Eurostoxx 50 price index and Eurostoxx 50 dividend index from 01/ /2011 Prices and dividends of all member companies (at least at one point in time) and direct descendants Member weights, index divisor Information on corporate actions and stock price adjustments Additional data for added and deleted companies (e.g. book value) 9/33
10 (1) Calculate number of shares: n i,t = weight i,t index t divisor t unadjusted stockprice i,t The stock index can be replicated by index t = 50 i=1 n i,t unadjusted stockprice i,t divisor t Each time when active index composition changes occur, we start construction of a passive portfolio: passivepf t = 50 i=1 n i,t unadjusted stockprice i,t divisor t 10/33
11 (2) Similarly, for dividends the index is constructed: DP t = 50 i=1 n i,t unadjusted dividends i,t divisor t We aggregate daily dividend points (DP t ) over each calendar year: T DI t = DP t t=t 0 As for the price index, we also calculate for the dividend index passive portfolios for each composition change. 11/33
12 (3) Event dates: Whenever at least one company gets replaced by another stock in the index. For each event date, we compare the price and dividend performance of the actual indices and the passive buy-and-hold portfolios, 1, 2 and 3 years following the event. In addition, we perform pairwise comparisons (dividends, prices) and calculate alphas from market factor and Fama French regressions. 12/33
13 Index Passive PF: Summary Statistics Panel A. s. year +1 year +2 year +3 Mean Median Min Max Nr of obs Panel B. Price Index. year +1 year +2 year +3 Mean Median Min Max Nr of obs /33
14 s vs. Price Performance s vs. Price Performance Average Effect Across Events year +1 year +2 year +3 s Stock Index 14/33
15 Index Passive PF: t-tests t-statistics year +1 year +2 year +3 effect Price index effect effect Price index effect Degrees of freedom /33
16 Pairwise Comparison: Summary Statistics Panel A. s. year +1 year +2 year +3 Mean Median Min Max Nr of obs Panel B. Prices. year +1 year +2 year +3 Mean Median Min Max Nr of obs /33
17 Pairwise Comparison: t-tests t-statistics year +1 year +2 year +3 effect Price index effect effect Price index effect Degrees of freedom /33
18 Event Fundamentals Event Day Added Company Deleted Company Total Ratio Ret. Market Equity Earnings / Tot. Equity Cap Lafarge PPR % Iberdrola Bayrische HVB % SAP Aventis % Credit Agricole Volkswagen % Allied Irish Banks Telecom Italia M % Renault Royal Dutch % Vinci Lafarge % Schneider Electrics Allied Irish Banks % Arcelormittal Ahold % Volkswagen Endesa % Deutsche Börse ABN Amro % Alstom Alcatel Lucent % CRH PLC Renault % Anheuser Busch Fortis (Ageas) % Unibail Rodamco Volkswagen % BMW Aegon % Inditex Credit Agricole % Volkswagen Pref Alstom % Mean % 1.94 Median % /33
19 Market Beta Regressions Start date Beta t (β 0) t (β 1) Alpha t-stat 22. Sep Sep Jul Sep Jun Jul Sep Okt Okt Sep Sep Feb Sep Sep Mean /33
20 Fama French Regressions Start date Beta t (β 1) SMB t-stat HML t-stat Alpha t-stat 22. Sep Sep Jul Sep Jun Jul Sep Okt Okt Sep Sep Feb Sep Mean /33
21 Simulate dividends: d t+1 = d t e ηt ( η t N 1 ) 2 σ2 η,ση 2 Simulate price-to-dividend ratios: PD t+1 = PD t e λt λ t = (1 δ) (lnpd lnpd t 1 )+ρ λ t 1 +ǫ t ( ǫ t N 1 ) 2 σ2 ǫ,σǫ 2 21/33
22 (2) Calculate prices as P t = d t PD t Construct market cap weighted price indices Construct dividend indices with same weights as price indices All indices with periodic rebalancing and without rebalancing Compare differences over 10 years 22/33
23 Variants sim 1 sim 2 sim 3 sim 4 nr. sim. runs nr. of companies nr. of index members nr. of periods starting period σ η δ σ ǫ ρ /33
24 : base case (1), price index apply(ergebnisse[, 12:21] ergebnisse[, 2:11], 2, mean) Index 24/33
25 : base case (1), dividend index apply(ergebnisse[, 32:41] ergebnisse[, 22:31], 2, mean) Index 25/33
26 : small index (2), price index apply(ergebnisse[, 12:21] ergebnisse[, 2:11], 2, mean) Index 26/33
27 : small index (2), dividend index apply(ergebnisse[, 32:41] ergebnisse[, 22:31], 2, mean) Index 27/33
28 : more momentum and less mean reversion (3), price index apply(ergebnisse[, 12:21] ergebnisse[, 2:11], 2, mean) Index 28/33
29 : more momentum and less mean reversion (3), dividend index apply(ergebnisse[, 32:41] ergebnisse[, 22:31], 2, mean) Index 29/33
30 : more momentum and less mean reversion (4), small price index apply(ergebnisse[, 12:21] ergebnisse[, 2:11], 2, mean) Index 30/33
31 : more momentum and less mean reversion (4), small dividend index apply(ergebnisse[, 32:41] ergebnisse[, 22:31], 2, mean) Index 31/33
32 - Summary of Eurostoxx 50 price and dividend index On average, Eurostoxx 50 price index outperforms the buy-and-hold portfolios. However, barely statistically significant and decreasing magnitude over time. For dividend index: negative sign, no statistical significance Pairwise comparisons of companies added/removed: no statistical significance for prices and dividends; inconclusive with respect to proxies for life cycle theory of dividends. Market beta regressions: betas close but not equal to one. There seem to be systematic effects left. Fama French regressions capture most of that. results Momentum is positive for rebalanced price index. However, rebalancing generally leads to lower dividends. Exclusive indices tend to exhibit stronger patterns. 32/33
33 - Takeaways Momentum effects can lead rebalanced price indices to outperform buy and hold; mean reversion to underperformance. In contrast to conventional wisdom, rebalancing generally leads to relatively lower levels of dividend indices. Overall, magnitudes are rather small. Exclusive indices tend to exhibit stronger patterns. 33/33
S&P 500 INDEX RECONSTITUTIONS: AN ANALYSIS OF OUTSTANDING HYPOTHESES. Lindsay Catherine Baran
S&P 500 INDEX RECONSTITUTIONS: AN ANALYSIS OF OUTSTANDING HYPOTHESES by Lindsay Catherine Baran A dissertation submitted to the faculty of The University of North Carolina at Charlotte in partial fulfillment
More informationLiquidity Risk Management for Portfolios
Liquidity Risk Management for Portfolios IPARM China Summit 2011 Shanghai, China November 30, 2011 Joseph Cherian Professor of Finance (Practice) Director, Centre for Asset Management Research & Investments
More informationRisk and Return of Short Duration Equity Investments
Risk and Return of Short Duration Equity Investments Georg Cejnek and Otto Randl, WU Vienna, Frontiers of Finance 2014 Conference Warwick, April 25, 2014 Outline Motivation Research Questions Preview of
More informationConverting TSX 300 Index to S&P/TSX Composite Index: Effects on the Index s Capitalization and Performance
International Journal of Economics and Finance; Vol. 8, No. 6; 2016 ISSN 1916-971X E-ISSN 1916-9728 Published by Canadian Center of Science and Education Converting TSX 300 Index to S&P/TSX Composite Index:
More informationDISCRETIONARY DELETIONS FROM THE S&P 500 INDEX: EVIDENCE ON FORECASTED AND REALIZED EARNINGS Stoyu I. Ivanov, San Jose State University
DISCRETIONARY DELETIONS FROM THE S&P 500 INDEX: EVIDENCE ON FORECASTED AND REALIZED EARNINGS Stoyu I. Ivanov, San Jose State University ABSTRACT The literature in the area of index changes finds evidence
More informationSmart Beta #
Smart Beta This information is provided for registered investment advisors and institutional investors and is not intended for public use. Dimensional Fund Advisors LP is an investment advisor registered
More informationVolatility Appendix. B.1 Firm-Specific Uncertainty and Aggregate Volatility
B Volatility Appendix The aggregate volatility risk explanation of the turnover effect relies on three empirical facts. First, the explanation assumes that firm-specific uncertainty comoves with aggregate
More informationUnderstanding Smart Beta Returns
Understanding Smart Beta Returns October 2018 In this paper, we use a performance analysis framework to analyze Smart Beta strategies against their benchmark. We apply it to Minimum Variance Strategies
More informationEuro Stoxx 50:
DOCUMENTO DE TRABAJO DT-06-12 Euro Stoxx 50: 1997-2005 Shareholder value creation in Europe PABLO FERNÁNDEZ, JOSÉ MARÍA CARABIAS, JULIO AZNAREZ Y ÓSCAR E. CARBONELL Euro Stoxx 50: 1997-2005 Shareholder
More informationOptimal Portfolio Inputs: Various Methods
Optimal Portfolio Inputs: Various Methods Prepared by Kevin Pei for The Fund @ Sprott Abstract: In this document, I will model and back test our portfolio with various proposed models. It goes without
More informationWorking Paper. WP No 583 February, 2005 EUROSTOXX 50: SHAREHOLDER VALUE CREATION IN EUROPE. Pablo Fernández* Alvaro Villanueva**
Working Paper WP No 583 February, 2005 EUROSTOXX 50: 1997-2004. SHAREHOLDER VALUE CREATION IN EUROPE Pablo Fernández* Alvaro Villanueva** * Professor of Financial Management, PricewaterhouseCoopers Chair
More informationEURO STOXX 50 adjustment expected in September 2013
Index Research EURO STOXX 50 adjustment expected in September 2013 Deutsche Post will soon have a Euro STOXX 50 address With regard to the upcoming annual EURO STOXX 50 index adjustment in September 2013,
More informationInformation content of S&P 500 index additions: A reexamination using Russell 1000 reconstitutions
Information content of S&P 500 index additions: A reexamination using Russell 1000 reconstitutions Swaminathan Kalpathy Washington State University swamik@wsu.edu Mukunthan Santhanakrishnan Idaho State
More informationPROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET
International Journal of Business and Society, Vol. 18 No. 2, 2017, 347-362 PROFITABILITY OF CAPM MOMENTUM STRATEGIES IN THE US STOCK MARKET Terence Tai-Leung Chong The Chinese University of Hong Kong
More informationImpact of Changes in the Nasdaq 100 Index Membership
Impact of Changes in the Nasdaq 100 Index Membership Ernest N. Biktimirov* ORCID: 0000-0003-4907-1937 Goodman School of Business, Brock University 1812 Sir Isaac Brock Way, St. Catharines, Ontario, Canada
More informationEURO STOXX 50 Multi-Asset Index Family. January, 2017
50 Multi-Asset Index Family January, 2017 1 1. 50 - ICONIC BLUE-CHIP EUROZONE EQUITY INDEX 2 50 is Europe s leading equity index 50» Launched 1998» 50 blue-chip companies from 12 Eurozone countries» Representative
More informationAnswer FOUR questions out of the following FIVE. Each question carries 25 Marks.
UNIVERSITY OF EAST ANGLIA School of Economics Main Series PGT Examination 2017-18 FINANCIAL MARKETS ECO-7012A Time allowed: 2 hours Answer FOUR questions out of the following FIVE. Each question carries
More informationMarket reactions to changes in the Nasdaq-100 Index membership. Yuanbin Xu, BBA. Master of Science in Management (Finance)
Market reactions to changes in the Nasdaq-100 Index membership Yuanbin Xu, BBA Master of Science in Management (Finance) Submitted in partial fulfillment of the requirements for the degree of Master of
More informationApplied Macro Finance
Master in Money and Finance Goethe University Frankfurt Week 2: Factor models and the cross-section of stock returns Fall 2012/2013 Please note the disclaimer on the last page Announcements Next week (30
More informationFTSE ActiveBeta Index Series: A New Approach to Equity Investing
FTSE ActiveBeta Index Series: A New Approach to Equity Investing 2010: No 1 March 2010 Khalid Ghayur, CEO, Westpeak Global Advisors Patent Pending Abstract The ActiveBeta Framework asserts that a significant
More informationA TALE OF TWO BENCHMARKS
INDEX RESEARCH & DESIGN September 2010 A TALE OF TWO BENCHMARKS It is well documented that the returns of two leading small-cap benchmarks, the S&P SmallCap 600 and the Russell 2000, have diverged over
More informationLiquidity as risk factor
Liquidity as risk factor A research at the influence of liquidity on stock returns Bachelor Thesis Finance R.H.T. Verschuren 134477 Supervisor: M. Nie Liquidity as risk factor A research at the influence
More informationAnalysis of Firm Risk around S&P 500 Index Changes.
San Jose State University From the SelectedWorks of Stoyu I. Ivanov 2012 Analysis of Firm Risk around S&P 500 Index Changes. Stoyu I. Ivanov, San Jose State University Available at: https://works.bepress.com/stoyu-ivanov/13/
More informationQuantitative vs. Fundamental Institutional Money Managers: An Empirical Analysis
Quantitative vs. Fundamental Institutional Money Managers: An Empirical Analysis Josef Lakonishok and Bhaskaran Swaminathan LSV Asset Management May 2010 Executive Summary The performance of quantitative
More informationPrice Response to Factor Index Additions and Deletions
Price Response to Factor Index Additions and Deletions Joop Huij and Georgi Kyosev* Abstract Abnormal price reaction around S&P 500 index changes has been considered as strong evidence that long term demand
More informationWP Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index. Ken L. Bechmann
WP 2002-2 Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index af Ken L. Bechmann INSTITUT FOR FINANSIERING, Handelshøjskolen i København Solbjerg Plads 3, 2000
More informationOnline Appendix to. The Structure of Information Release and the Factor Structure of Returns
Online Appendix to The Structure of Information Release and the Factor Structure of Returns Thomas Gilbert, Christopher Hrdlicka, Avraham Kamara 1 February 2017 In this online appendix, we present supplementary
More informationModule 3: Factor Models
Module 3: Factor Models (BUSFIN 4221 - Investments) Andrei S. Gonçalves 1 1 Finance Department The Ohio State University Fall 2016 1 Module 1 - The Demand for Capital 2 Module 1 - The Supply of Capital
More informationWhat Does Risk-Neutral Skewness Tell Us About Future Stock Returns? Supplementary Online Appendix
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? Supplementary Online Appendix 1 Tercile Portfolios The main body of the paper presents results from quintile RNS-sorted portfolios. Here,
More informationWorking Paper. WP No 547 March, 2004 SHAREHOLDER VALUE CREATION IN EUROPE. EUROSTOXX 50: Pablo Fernández * Alvaro Villanueva **
CIIF Working Paper WP No 547 March, 2004 SHAREHOLDER VALUE CREATION IN EUROPE. EUROSTOXX 50: 1997-2003 Pablo Fernández * Alvaro Villanueva ** * Professor of Financial Management, PricewaterhouseCoopers
More informationManager Comparison Report June 28, Report Created on: July 25, 2013
Manager Comparison Report June 28, 213 Report Created on: July 25, 213 Page 1 of 14 Performance Evaluation Manager Performance Growth of $1 Cumulative Performance & Monthly s 3748 3578 348 3238 368 2898
More informationDecimalization and Illiquidity Premiums: An Extended Analysis
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2015 Decimalization and Illiquidity Premiums: An Extended Analysis Seth E. Williams Utah State University
More informationThe CAPM Strikes Back? An Investment Model with Disasters
The CAPM Strikes Back? An Investment Model with Disasters Hang Bai 1 Kewei Hou 1 Howard Kung 2 Lu Zhang 3 1 The Ohio State University 2 London Business School 3 The Ohio State University and NBER Federal
More informationAsset Allocation with Exchange-Traded Funds: From Passive to Active Management. Felix Goltz
Asset Allocation with Exchange-Traded Funds: From Passive to Active Management Felix Goltz 1. Introduction and Key Concepts 2. Using ETFs in the Core Portfolio so as to design a Customized Allocation Consistent
More informationBenchmarking & the Road to Unconstrained
Benchmarking & the Road to Unconstrained 24 April 2012 PIA Hiten Savani Investment Director hiten.savani@fil.com +44 (0) 20 7074 5234 Agenda Two Important Trends Increasing polarisation of demand between
More informationEvolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
March 2012 Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets Kent Hargis Portfolio Manager Low Volatility Equities Director of Quantitative Research Equities This information
More informationThe Hidden Costs of Changing Indices
The Hidden Costs of Changing Indices Terrence Hendershott Haas School of Business, UC Berkeley Summary If a large amount of capital is linked to an index, changes to the index impact realized fund returns
More informationTHE LONG-TERM PRICE EFFECT OF S&P 500 INDEX ADDITION AND EARNINGS QUALITY
THE LONG-TERM PRICE EFFECT OF S&P 500 INDEX ADDITION AND EARNINGS QUALITY Abstract. This study suggests that inclusion of a firm to the S&P 500 index strengthens managerial incentives for high-quality
More informationReturns on Small Cap Growth Stocks, or the Lack Thereof: What Risk Factor Exposures Can Tell Us
RESEARCH Returns on Small Cap Growth Stocks, or the Lack Thereof: What Risk Factor Exposures Can Tell Us The small cap growth space has been noted for its underperformance relative to other investment
More informationGetting Smart About Beta
Getting Smart About Beta December 1, 2015 by Sponsored Content from Invesco Due to its simplicity, market-cap weighting has long been a popular means of calculating the value of market indexes. But as
More informationCapital Asset Pricing Model - CAPM
Capital Asset Pricing Model - CAPM The capital asset pricing model (CAPM) is a model that describes the relationship between systematic risk and expected return for assets, particularly stocks. CAPM is
More informationStocks with Extreme Past Returns: Lotteries or Insurance?
Stocks with Extreme Past Returns: Lotteries or Insurance? Alexander Barinov Terry College of Business University of Georgia June 14, 2013 Alexander Barinov (UGA) Stocks with Extreme Past Returns June 14,
More informationInvestment Performance of Common Stock in Relation to their Price-Earnings Ratios: BASU 1977 Extended Analysis
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2015 Investment Performance of Common Stock in Relation to their Price-Earnings Ratios: BASU 1977 Extended
More informationRESEARCH LETTER. September Risk parity allocation to major asset classes through investable risk premia IN BRIEF AUTHORS:
September 2017 Risk parity allocation to major asset classes IN BRIEF Last winter, Finaltis published a trilogy of research letters focused on anomalies, risk premia and risk factors within European equities
More informationFAMILY OWNERSHIP CONCENTRATION AND FIRM PERFORMANCE: ARE SHAREHOLDERS REALLY BETTER OFF? Rama Seth IIM Calcutta
FAMILY OWNERSHIP CONCENTRATION AND FIRM PERFORMANCE: ARE SHAREHOLDERS REALLY BETTER OFF? Rama Seth IIM Calcutta INTRODUCTION The share of family firms contribution to global GDP is estimated to be in the
More informationUS Small Caps : Smoke and Mirrors.
US Small Caps : Smoke and Mirrors. julien.messias@uncia-am.com The aim of this quick study is to check whether the well-known outperformance of US Small Caps over US Large Caps : - Is true - Is persistent
More informationin-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationSize Matters, if You Control Your Junk
Discussion of: Size Matters, if You Control Your Junk by: Cliff Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz, and Lasse H. Pedersen Kent Daniel Columbia Business School & NBER AFA Meetings 7
More informationDiscount Rates. John H. Cochrane. January 8, University of Chicago Booth School of Business
Discount Rates John H. Cochrane University of Chicago Booth School of Business January 8, 2011 Discount rates 1. Facts: How risk discount rates vary over time and across assets. 2. Theory: Why discount
More informationInternet Appendix for: Change You Can Believe In? Hedge Fund Data Revisions
Internet Appendix for: Change You Can Believe In? Hedge Fund Data Revisions Andrew J. Patton, Tarun Ramadorai, Michael P. Streatfield 22 March 2013 Appendix A The Consolidated Hedge Fund Database... 2
More informationGoing Beyond Style Box Investing
Going Beyond Style Box Investing NCPERS Presented by Erin Doyle Orekhov, Client Portfolio Manager May 22, 2017 For financial professional or qualified institutional investor use only. Not for inspection
More informationISTOXX EUROPE FACTOR INDICES HARVESTING EQUITY RETURNS WITH BOND- LIKE VOLATILITY
May 2017 ISTOXX EUROPE FACTOR INDICES HARVESTING EQUITY RETURNS WITH BOND- LIKE VOLATILITY Dr. Jan-Carl Plagge, Head of Applied Research & William Summer, Quantitative Research Analyst, STOXX Ltd. INNOVATIVE.
More informationAssessing the reliability of regression-based estimates of risk
Assessing the reliability of regression-based estimates of risk 17 June 2013 Stephen Gray and Jason Hall, SFG Consulting Contents 1. PREPARATION OF THIS REPORT... 1 2. EXECUTIVE SUMMARY... 2 3. INTRODUCTION...
More informationProfitability of CAPM Momentum Strategies in the US Stock Market
MPRA Munich Personal RePEc Archive Profitability of CAPM Momentum Strategies in the US Stock Market Terence Tai Leung Chong and Qing He and Hugo Tak Sang Ip and Jonathan T. Siu The Chinese University of
More informationGrowth/Value, Market-Cap, and Momentum
Growth/Value, Market-Cap, and Momentum Jun Wang Robert Brooks August 2009 Abstract This paper examines the profitability of style momentum strategies on portfolios based on firm growth/value characteristics
More informationPrice and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index
1 Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index Ken L. Bechmann Copenhagen Business School, Denmark This paper considers the effects of changes in the composition
More informationFUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE?
FUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE? Florian Albrecht, Jean-Francois Bacmann, Pierre Jeanneret & Stefan Scholz, RMF Investment Management Man Investments Hedge funds have attracted significant
More informationAn Online Appendix of Technical Trading: A Trend Factor
An Online Appendix of Technical Trading: A Trend Factor In this online appendix, we provide a comparative static analysis of the theoretical model as well as further robustness checks on the trend factor.
More informationWhen do enhanced indexation managers add alpha? In previous papers, 1 we identified market circumstances that seem to have a positive
When do enhanced indexation managers add alpha? In previous papers, 1 we identified market circumstances that seem to have a positive Ingrid Tierens New York: 212-357-441 Originally published: October
More informationThe study of enhanced performance measurement of mutual funds in Asia Pacific Market
Lingnan Journal of Banking, Finance and Economics Volume 6 2015/2016 Academic Year Issue Article 1 December 2016 The study of enhanced performance measurement of mutual funds in Asia Pacific Market Juzhen
More informationFactor Exposure: Smart Beta ETFs vs Mutual Funds
Factor Exposure: Smart Beta ETFs vs Mutual Funds August 16, 2018 by Nicolas Rabener of FactorResearch SUMMARY Investors can express factor views via smart beta ETFs or mutual funds Some mutual funds offer
More informationVolume 35, Issue 2. Comovement and index fund trading effect: evidence from Japanese stock market. Hirofumi Suzuki Sumitomo Mitsui Banking Corporation
Volume 35, Issue 2 Comovement and index fund trading effect: evidence from Japanese stock market Hirofumi Suzuki Sumitomo Mitsui Banking Corporation Abstract We examine comovement in two famous Japanese
More informationShort Term Alpha as a Predictor of Future Mutual Fund Performance
Short Term Alpha as a Predictor of Future Mutual Fund Performance Submitted for Review by the National Association of Active Investment Managers - Wagner Award 2012 - by Michael K. Hartmann, MSAcc, CPA
More informationLiquidity Creation as Volatility Risk
Liquidity Creation as Volatility Risk Itamar Drechsler, NYU and NBER Alan Moreira, Rochester Alexi Savov, NYU and NBER JHU Carey Finance Conference June, 2018 1 Liquidity and Volatility 1. Liquidity creation
More informationAN EMPIRICAL EXAMINATION OF NEGATIVE ECONOMIC VALUE ADDED FIRMS
The International Journal of Business and Finance Research VOLUME 8 NUMBER 1 2014 AN EMPIRICAL EXAMINATION OF NEGATIVE ECONOMIC VALUE ADDED FIRMS Stoyu I. Ivanov, San Jose State University Kenneth Leong,
More informationOptimal Debt-to-Equity Ratios and Stock Returns
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2014 Optimal Debt-to-Equity Ratios and Stock Returns Courtney D. Winn Utah State University Follow this
More informationBehind the Scenes of Mutual Fund Alpha
Behind the Scenes of Mutual Fund Alpha Qiang Bu Penn State University-Harrisburg This study examines whether fund alpha exists and whether it comes from manager skill. We found that the probability and
More informationInformation Release and the Fit of the Fama-French Model
Information Release and the Fit of the Fama-French Model Thomas Gilbert Christopher Hrdlicka Avraham Kamara Michael G. Foster School of Business University of Washington April 25, 2014 Risk and Return
More informationArbitrage Pricing Theory and Multifactor Models of Risk and Return
Arbitrage Pricing Theory and Multifactor Models of Risk and Return Recap : CAPM Is a form of single factor model (one market risk premium) Based on a set of assumptions. Many of which are unrealistic One
More informationThe Value Premium and the January Effect
The Value Premium and the January Effect Julia Chou, Praveen Kumar Das * Current Version: January 2010 * Chou is from College of Business Administration, Florida International University, Miami, FL 33199;
More informationThe Impact of S&P 500 Index Revisions on Credit Default Swap Market
The Impact of S&P 500 Index Revisions on Credit Default Swap Market By Lindsay Baran Department of Finance Kent State University Ying Li School of Business University of Washington Bothell Chang Liu Department
More informationVAA Value Strategy PLUS
VAA Value Strategy PLUS The Key to Success: Value stocks with the PLUS of hedging and systematic premium income Marketing documents The Basis of the Investment Strategy "Collateral Security Margin" Benjamin
More informationA Review of the Historical Return-Volatility Relationship
A Review of the Historical Return-Volatility Relationship By Yuriy Bodjov and Isaac Lemprière May 2015 Introduction Over the past few years, low volatility investment strategies have emerged as an alternative
More informationSmart Beta. or Smart Alpha?
Smart Beta or Smart Alpha? Kenneth Winther Senior Vice President, kenneth.winther@tryg.dk, Tryg External lecturer, kw.fi@cbs.dk, Copenhagen Business School 1 26. november 2015 Smart beta in a nutshell
More informationSeasonality in Value vs. Growth Stock Returns and the Value Premium
Seasonality in Value vs. Growth Stock Returns and the Value Premium George Athanassakos*, Professor of Finance University of Western Ontario, London, Canada ABSTRACT Employing data from each of the three
More informationThe Effect of Kurtosis on the Cross-Section of Stock Returns
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2012 The Effect of Kurtosis on the Cross-Section of Stock Returns Abdullah Al Masud Utah State University
More informationOn the Changes to the Index Inclusion Effect with Increasing Passive Investment Management
University of Pennsylvania ScholarlyCommons Joseph Wharton Scholars Wharton School 2016 On the Changes to the Index Inclusion Effect with Increasing Passive Investment Management Cameron Scari University
More informationEmpirical Study on Market Value Balance Sheet (MVBS)
Empirical Study on Market Value Balance Sheet (MVBS) Yiqiao Yin Simon Business School November 2015 Abstract This paper presents the results of an empirical study on Market Value Balance Sheet (MVBS).
More informationShould Benchmark Indices Have Alpha? Revisiting Performance Evaluation. Martijn Cremers (Yale) Antti Petajisto (Yale) Eric Zitzewitz (Dartmouth)
Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation Martijn Cremers (Yale) Antti Petajisto (Yale) Eric Zitzewitz (Dartmouth) How Would You Evaluate These Funds? Regress 3 stock portfolios
More informationPerformance evaluation of managed portfolios
Performance evaluation of managed portfolios The business of evaluating the performance of a portfolio manager has developed a rich set of methodologies for testing whether a manager is skilled or not.
More informationEDHEC Asset Management Days. Workshop B: Revisiting Managed Futures & Commodities
EDHEC Asset Management Days Workshop B: Revisiting Managed Futures & Commodities Monday March 12th 12:00 1:15pm Chaired By: Valere Costello CEO, Invesdex Workshop Structure Presentation: 20 min Panelist
More informationpassion for total return
Is smart beta really that smart, inexpensive and good for investors? Dr. Andreas Sauer, CFA Munich, September 2015 passion for total return The source of beta and is there really dumb" beta? origins of
More informationIndex Design and Implications for Index Tracking: Evidence from S&P 500 Index Funds
Published in Journal of Portfolio Management, Forthcoming 2004 Index Design and Implications for Index Tracking: Evidence from S&P 500 Index Funds Implications for Index Management Alex Frino is a professor
More informationTable I Descriptive Statistics This table shows the breakdown of the eligible funds as at May 2011. AUM refers to assets under management. Panel A: Fund Breakdown Fund Count Vintage count Avg AUM US$ MM
More informationLiquidity and IPO performance in the last decade
Liquidity and IPO performance in the last decade Saurav Roychoudhury Associate Professor School of Management and Leadership Capital University Abstract It is well documented by that if long run IPO underperformance
More informationWhy Allocate to Active Mid Cap?
Why Allocate to Active Mid Cap? As of 12/31/09 Executive Summary Going Passive LCV with an Active MCV Allocation TS&W Thesis Passive allocations to large cap miss the most fertile alpha opportunities by
More informationEURO STOXX 50 Corporate Bond Index. April, 2018
EURO STOXX 50 Corporate Bond Index April, 2018 1 1. EURO STOXX 50 - ICONIC BLUE-CHIP EUROZONE EQUITY INDEX 2 EURO STOXX 50 is Europe s leading equity index EURO STOXX 50» Launched 1998» 50 blue-chip companies
More informationDebt/Equity Ratio and Asset Pricing Analysis
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies Summer 8-1-2017 Debt/Equity Ratio and Asset Pricing Analysis Nicholas Lyle Follow this and additional works
More informationMarket Reactions to Changes in the Dow Jones Industrial Average Index
Market Reactions to Changes in the Dow Jones Industrial Average Index Ernest N. Biktimirov* Goodman School of Business, Brock University 1812 Sir Isaac Brock Way, St. Catharines, Ontario, Canada L2S 3A1
More informationPortfolio performance and environmental risk
Portfolio performance and environmental risk Rickard Olsson 1 Umeå School of Business Umeå University SE-90187, Sweden Email: rickard.olsson@usbe.umu.se Sustainable Investment Research Platform Working
More informationTop 5 Compensation Cost, Holdings & Future Stock Returns. By Stephen F. O Byrne and S. David Young
Top 5 Compensation Cost, Holdings & Future Stock Returns By Stephen F. O Byrne and S. David Young In this article, we show that top 5 performance adjusted compensation cost and top 5 holdings predict future
More informationEarnings signals in fixed-price and Dutch auction self-tender offers
Journal of Financial Economics 49 (1998) 161 186 Earnings signals in fixed-price and Dutch auction self-tender offers Erik Lie *, John J. McConnell School of Business Administration, College of William
More informationDOES INDEX INCLUSION IMPROVE FIRM VISIBILITY AND TRANSPARENCY? *
DOES INDEX INCLUSION IMPROVE FIRM VISIBILITY AND TRANSPARENCY? * John R. Becker-Blease Whittemore School of Business and Economics University of New Hampshire 15 College Road Durham, NH 03824-3593 jblease@cisunix.unh.edu
More informationReal Estate Ownership by Non-Real Estate Firms: The Impact on Firm Returns
Real Estate Ownership by Non-Real Estate Firms: The Impact on Firm Returns Yongheng Deng and Joseph Gyourko 1 Zell/Lurie Real Estate Center at Wharton University of Pennsylvania Prepared for the Corporate
More informationThe Compelling Case for Value
The Compelling Case for Value July 2, 2018 SOLELY FOR THE USE OF INSTITUTIONAL INVESTORS AND PROFESSIONAL ADVISORS 0 Jan-75 Jan-77 Jan-79 Jan-81 Jan-83 Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97
More informationFama-French in China: Size and Value Factors in Chinese Stock Returns
Fama-French in China: Size and Value Factors in Chinese Stock Returns November 26, 2016 Abstract We investigate the size and value factors in the cross-section of returns for the Chinese stock market.
More informationComplete Dividend Signal
Complete Dividend Signal Ravi Lonkani 1 ravi@ba.cmu.ac.th Sirikiat Ratchusanti 2 sirikiat@ba.cmu.ac.th Key words: dividend signal, dividend surprise, event study 1, 2 Department of Banking and Finance
More informationHow Good Are Analysts at Handling Crisis? - A Study of Analyst Recommendations on the Nordic Stock Exchanges during the Great Recession
Stockholm School of Economics Department of Finance Bachelor s Thesis Spring 2014 How Good Are Analysts at Handling Crisis? - A Study of Analyst Recommendations on the Nordic Stock Exchanges during the
More informationHigh Dividend Stocks In Rising Interest Rate Environments
High Dividend Stocks In Rising Interest Rate Environments July 2016 Disclosure: This research is provided for educational purposes only and is not intended to provide investment or tax advice. All numbers
More informationKeywords: Equity firms, capital structure, debt free firms, debt and stocks.
Working Paper 2009-WP-04 May 2009 Performance of Debt Free Firms Tarek Zaher Abstract: This paper compares the performance of portfolios of debt free firms to comparable portfolios of leveraged firms.
More information