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نتیجه جستجو - قیمت های دارایی

تعداد مقالات یافته شده: 5
ردیف عنوان نوع
1 Leverage constraints and asset prices: Insights from mutual fund risk taking
محدودیت های اهرم بندی و قیمت های دارایی: بینش هایی از به خطر افتادن سرمایه دوطرفه-2018
Prior theory suggests that time variation in the degree to which leverage constraints bind affects the pricing kernel. We propose a measure for this leverage constraint tightness by inverting the argument that constrained investors tilt their portfolios to riskier assets. We show that the average market beta of actively managed mutual funds—intermediaries facing leverage restrictions—captures their desire for leverage and thus the tightness of constraints. Consistent with theory, it strongly predicts returns of the betting-against-beta portfolio, and is a priced risk factor in the cross-section of mutual funds and stocks. Funds with low exposure to the factor outperform high-exposure funds by 5% annually, and for stocks this difference reaches 7%. Our results show that the tightness of leverage constraints has important implications for asset prices.
keywords: Leverage constraints |Asset prices |Betting-against-beta |Mutual fund performance |Cross-section of stock returns
مقاله انگلیسی
2 The time horizon of price responses to quantitative easing
افق زمانی واکنش های قیمت به سهولت کمّی-2018
Studies of how quantitative easing (QE) impacts asset prices typically look for effects in one- or two-day windows around QE announcements. This methodology underestimates the impact of QE on asset classes whose responses happen outside of this short time frame. We document that QE announcements by the Fed, ECB, and the Bank of England are associated with: quick price reactions of medium- and long-term government bonds; but with reactions in equity and equity implied volatility that occur over several weeks. Robustness checks using past monetary policy episodes and the cross-section of US industry returns confirm these results.
keywords: Quantitative easing |Monetary policy |Asset purchases |Asset prices
مقاله انگلیسی
3 Non-myopic betas
بتاهای غیر نزدیک بین-2018
An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfolio (non-myopic betas), which is identified nonparametrically from equilibrium. Non-myopic betas are priced in the cross-section of stocks, producing increasing and economically significant risk-return relation. In the model with funding constraints, low non-myopic beta stocks deliver higher risk-adjusted returns. Empirically, a betting against non-myopic beta portfolio generates superior performance relative to common factor models and is negatively correlated with the market betting against beta portfolio.
keywords: Asset prices |Beta |CAPM |Hedging |Strategic asset allocation
مقاله انگلیسی
4 Momentum and funding conditions
اندازه حرکت و شرایط سرمایه گذاری-2018
We find evidence linking return momentum with macroeconomic conditions, namely, the funding environment. We show that winners outperform losers by a significant amount in restrictive funding states, while in expansive states, winners and losers perform similarly. This pattern is consistent with changing investor preferences for winners and losers following signaled shifts in funding availability. One plausible channel for this relation is the interaction between stock-level illiquidity and funding conditions. We find that liquidity risk is significantly priced during restrictive states, especially in loser stocks. Furthermore, loser stocks become more illiquid during restrictive conditions. Both effects help explain the relative performance difference between losers and winners across funding environments. Moreover, the funding environment influences the relationship between momentum and firm characteristics, after controlling for the influence of sentiment, market states and return dispersion. Overall, transitions in funding states appear to encourage investors to revise their factor pricing decisions, which produces inter-temporal variation in momentum.
keywords: Momentum |Funding conditions |Asset prices
مقاله انگلیسی
5 Tradability of output, business cycles and asset prices
قابلیت تجاری بودن خروجی، چرخه های کسب و کار و قیمت های دارایی-2018
I examine the effect of a firm’s tradability, the proportion of output that is exported abroad, on its stock returns over business cycles from 1947–2015. Firms with higher tradability have more cyclical asset returns, even after controlling for the real exchange rate. Returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict changes in the real dollar exchange rate and trade volumes. The empirical patterns are consistent with the relative price adjustment of tradable and non-tradable goods to business cycles primarily driven by supply shocks.
keywords: Tradability |Cyclicality |Real exchange rate |Relative price adjustment
مقاله انگلیسی
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