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نتیجه جستجو - نسبت شارپ

تعداد مقالات یافته شده: 2
ردیف عنوان نوع
1 Choosing factors
انتخاب عامل ها-2018
Our goal is to develop insights about the maximum squared Sharpe ratio for model factors as a metric for ranking asset pricing models. We consider nested and non-nested models. The nested models are the capital asset pricing model, the three-factor model of Fama and French (1993), the five-factor extension in Fama and French (2015), and a six-factor model that adds a momentum factor. The non-nested models examine three issues about factor choice in the six-factor model: (1) cash profitability versus operating profitability as the variable used to construct profitability factors, (2) long-short spread factors versus excess return factors, and (3) factors that use small or big stocks versus factors that use both.
keywords: Asset pricing tests |Factor model |Sharpe ratio |Max squared Sharpe ratio
مقاله انگلیسی
2 The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies
تعامل بین ریسک ، معامله ریسک بازگشتی و پیچیدگی : شواهد و پیامدهای سیاست برای شرکت های برگزاری بانک های ایالات متحده-2017
We examine two aspects of bank risk with an emphasis on the interaction between them. Moreover, throughout the analysis we differentiate between non-complex and complex banks, the latter of which could be seen as exhibiting a further level of risk. We seek to establish how these risk factors interact with bank specific, market structure and economic variables. Key results indicate that earnings volatility (business risk) increases with market power but decreases with size and output, while risk-taking (managerial risk) decreases with market power and increases with size and output. Furthermore, in examining return per unit of risk, results demonstrate that increased return and risk-taking are associated with bank specific factors and the economic environment, whereas decreased risk taking is associated with market structure. This suggests a management of risk, which increases with factors under bank control or improving external environment but decreases with the interaction of competitors. Overall, the results suggest that policy should focus on liq uidity and equity buffers that should operate counter-cyclicality but size and market struc ture per se are not determining factors for higher risk. In terms of the recent financial crisis, it is likely that the great moderation that proceeded the crisis led to higher risk-taking due to higher economic growth but without the necessary buffers being established.
Keywords: Banks | Risk | Earnings | Volatility | Risk-return | Complex | Prospect theory | Market structure | Sharpe ratio
مقاله انگلیسی
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