Ditapis dengan
Speculation and Hedging in Segmented Markets
We analyze a model in which traders have different trading opportunities and learn information from prices. The difference in trading opportunities implies that different traders may have different trading motives when trading in the same market—some trade for speculation and others for hedging—and thus they may respond to the same information in opposite directions. This implies that addin…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Optimal Portfolio Choice with Predictability in House Prices and Transaction …
We develop and solve a model of optimal portfolio choice with transaction costs and predictability in house prices. We model house prices using a process with a time-varying expected growth rate. Housing adjustments are infrequent and characterized by both the wealth-to-housing ratio and the expected growth in house prices. We find that the housing portfolio share immediately after moving to a …
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Bond Supply and Excess Bond Returns
We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the mo…
- Edisi
- Vol. 27 No. 3, Mar 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 956 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2703
Opacity in Financial Markets
This paper studies the implications of opacity in financial markets for investor behavior, asset prices, and welfare. Transparent funds (e.g. mutual funds) and opaque funds (e.g. hedge funds) trade transparent assets (e.g. plain-vanilla products) and opaque assets (e.g. structured products). Investors can observe neither opaque funds' portfolios nor opaque assets' payoffs. Consistent with empir…
- Edisi
- Vol. 27, Number 12, Dec. 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- p. 3502
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2712
Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Reg…
We investigate the effect of ambiguity about hedge fund investment strategies on asset prices and aggregate welfare. We model some traders (mutual funds) as facing ambiguity about the equilibrium trading strategies of other traders (hedge funds). This ambiguity limits the ability of mutual funds to infer information from prices and has negative effects on market outcomes. We use this analysis t…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expect…
- Edisi
- Vol. 27 No. 4, Apr 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1286 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2704
Liquidity Shocks and Stock Market Reactions
We find that the stock market underreacts to stock-level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate significant returns of 0.70% to 1.20% per month that are robust across alternative shock measures and after co…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Household Debt and Social Interactions
Can concern with relative standing, which has been shown to influence consumption and labor supply, also increase borrowing and the likelihood of financial distress? We find that perceived peer income contributes to debt and the likelihood of financial distress among those who consider themselves poorer than their peers. We use unique responses describing perceived peer characteristics from a D…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media
Social media has become a popular venue for individuals to share the results of their own analysis on financial securities. This paper investigates the extent to which investor opinions transmitted through social media predict future stock returns and earnings surprises. We conduct textual analysis of articles published on one of the most popular social media platforms for investors in the Unit…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Investor Networks in the Stock Market
We study the trading behavior of investors in an entire stock market. Using an account level dataset of all trades on the Istanbul Stock Exchange in 2005, we identify investors with similar trading behavior as linked in an empirical investor network (EIN). Consistent with the theory of information networks, we find that central investors earn higher returns and trade earlier than peripheral inv…
- Edisi
- Vol. 27 No. 5, May 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 1614 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- TRFS2705
Risk Choice under High-Water Marks
I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the manager's outside option value is low, investors' termination policy is strict, or management fees are high, then negative returns induce the manager into…
- Edisi
- Vol. 27 No. 7, Jul 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 2266 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2707
Valuing Private Equity
We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation, including management fees and carried interest. We find that the costs of management fees, carried in…
- Edisi
- Vol. 27 No. 7, Jul 2014
- ISBN/ISSN
- 1465-7368
- Deskripsi Fisik
- 2266 p.
- Judul Seri
- The Review of Financial Studies
- No. Panggil
- RFS2707
Alliance Portfolio Configurations and Competitive Action Frequency
We advance competitive dynamics research by introducing alliance portfolio configuration as an important antecedent of competitive action frequency. We propose and test a model for developing effective alliance portfolio configurations that enhance a firm’s ability to discover, conceptualize, and carry out new competitive actions. Our model consists of three overlapping components: (a) opport…
- Edisi
- Vol. 42 No. 4, May 2016
- ISBN/ISSN
- 1557-1211
- Deskripsi Fisik
- 1029 p.
- Judul Seri
- Journal of Management
- No. Panggil
- -
Alliance Capabilities Review and Research Agenda
A significant amount of empirical work has examined the role of alliances in enhancing firms? innovative output and economic performance. Most of this research directly relates organizational and environmental attributes to alliance-related outcomes. However, in recent years, empirical research has begun to recognize the crucial role of alliance capabilities in explaining performance heterogene…
- Edisi
- Vol. 41, No. 1, Jan 2015
- ISBN/ISSN
- 1492063
- Deskripsi Fisik
- 377 p.
- Judul Seri
- Journal of Management
- No. Panggil
- JOM4101
Performance of PT Asuransi Jiwa Manulife Indonesia’s Portfolio: EQUITY1 Uni…
Laporan ini mengalisis kinerja portofolio investasi ekuitas unit link milik PT Asuransi Jiwa Manulife Indonesia, yaitu Portofolio EQUITY1 dan Portofolio EQUITY2. Analisis ini dilakukan dengan tujuan mencari tahu potensi realokasi dana di antara kedua portofolio core strategy PT Asuransi Jiwa Manulife Indonesia dengan jenis aset ekuitas tersebut. Penilaian kinerja dilakukan menggunakan tiga mode…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- x, 60 p. : il. ; 30 cm.
- Judul Seri
- -
- No. Panggil
- S 15363
Risk management : approaches for fixed income markets
Includes bibliographies and index
- Edisi
- -
- ISBN/ISSN
- 471332119
- Deskripsi Fisik
- xxiii, 312 p. : ill. ; 24 cm.
- Judul Seri
- Wiley frontiers in finance
- No. Panggil
- 332.632044 GOL r
Sensitivitas, Factor Returns, dan Volatilitas Islamic Equity Portfolios (IEP)…
Pandemi Covid-19 meninggalkan dampak yang signifikan terhadap kehidupan manusia, termasuk pada pasar saham di seluruh dunia. Di tengah-tengah krisis, perdebatan mengenai sistem keuangan sering kali mencantumkan keuangan syariah, termasuk saham dan portofolio syariah, sebagai alternatif, mengingat perkembangannya yang begitu pesat. Oleh karena itu, penelitian ini bertujuan untuk membandingkan pe…
- Edisi
- -
- ISBN/ISSN
- -
- Deskripsi Fisik
- xi, 121 p. : il. ; 30 cm.
- Judul Seri
- -
- No. Panggil
- S 15347
Asset allocation : balancing financial risk 3rd ed
Includes index and tables
- Edisi
- 3rd ed
- ISBN/ISSN
- 71357246
- Deskripsi Fisik
- xvi, 317 p. : ill. ; 24 cm.
- Judul Seri
- -
- No. Panggil
- 332.6 GIB a
The Four pillars of investing : lessons for building a winning portfolio
Includes bibliographical, index and tables
- Edisi
- -
- ISBN/ISSN
- 9780071747059
- Deskripsi Fisik
- xiv, 331 p. : ill. ; 24 cm.
- Judul Seri
- -
- No. Panggil
- 332.6 BER f
The Speed traders : an insider's look at the new high-frequency phenomenon th…
.“Edgar’s book is fantastic . . . I recommend it highly.” ―Bart Chilton, Commissioner, United States Commodity Futures Trading Commission (CFTC) “I have interviewed the most successful high-frequency traders in New York and Chicago, but I have learned so much more by reading Perez’s book. He covers the most relevant topics we need to know today and tomorrow.” ―Mark Abeshous…
- Edisi
- -
- ISBN/ISSN
- 9780071768283
- Deskripsi Fisik
- v, 248 p. ; 24 cm
- Judul Seri
- -
- No. Panggil
- 332.642 PER s
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