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Author: N. Cakici Publisher: Springer ISBN: 1137359072 Category : Business & Economics Languages : en Pages : 347
Book Description
Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Author: N. Cakici Publisher: Springer ISBN: 1137359072 Category : Business & Economics Languages : en Pages : 347
Book Description
Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Author: John M. Griffin Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper examines the relationship between book-to-market equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by Ohlson's (1980) O-score, the difference in returns between high and low book-to-market securities is more than twice as large as that in other firms. This large return differential cannot be explained by the three-factor model or by differences in economic fundamentals. Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the book-to-market effect is largest in small firms with low analyst coverage.
Author: John Y. Campbell Publisher: ISBN: Category : Languages : en Pages : 47
Book Description
This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.
Author: Jean-Pierre Danthine Publisher: Elsevier ISBN: 0080509029 Category : Business & Economics Languages : en Pages : 391
Book Description
The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467. The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor. "This book does admirably what it sets out to do - provide a bridge between MBA-level finance texts and PhD-level texts.... many books claim to require little prior mathematical training, but this one actually does so. This book may be a good one for Ph.D students outside finance who need some basic training in financial theory or for those looking for a more user-friendly introduction to advanced theory. The exercises are very good." --Ian Gow, Student, Graduate School of Business, Stanford University Completely updated edition of classic textbook that fills a gap between MBA level texts and PHD level texts Focuses on clear explanations of key concepts and requires limited mathematical prerequisites Updates includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor
Author: Gaston Michel Publisher: Springer Science & Business Media ISBN: 3834994960 Category : Business & Economics Languages : en Pages : 182
Book Description
Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an alternative modeI which includes the real estate factor performs as well as or better than the Fama-French model in pricing equity returns.
Author: Kenneth L. Fisher Publisher: McGraw Hill Professional ISBN: 0071596305 Category : Business & Economics Languages : en Pages : 290
Book Description
Target the Super Stocks that deliver huge returns One of the most successful investing books ever published, Super Stocks showed investors how to use innovative techniques and fundamental analysis for valuing stocks and predicting future profit margins. You'll gain valuable insight into Fisher's original thinkin for valuing stocks and predicting future profit margins. A pioneer in the use of the Price Sales Ratio-a powerful analytical tool-Fisher regales readers with instructive tales of the businesses he invested in and profited from. Super Stocks gives a historical perspective on how Fisher successfully researched companies and stocks—who he saw and what he asked—to get a better read on profitable returns. “As rich in investment war stories as it is in knowledge.”-The Motley Fool
Author: John Y. Campbell Publisher: ISBN: 9783865580818 Category : Business failures Languages : de Pages : 36
Book Description
"This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistentfirm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress"--National Bureau of Economic Research web site.
Author: Edward I. Altman Publisher: John Wiley & Sons ISBN: 1118046048 Category : Business & Economics Languages : en Pages : 314
Book Description
A comprehensive look at the enormous growth and evolution of distressed debt, corporate bankruptcy, and credit risk default This Third Edition of the most authoritative finance book on the topic updates and expands its discussion of corporate distress and bankruptcy, as well as the related markets dealing with high-yield and distressed debt, and offers state-of-the-art analysis and research on the costs of bankruptcy, credit default prediction, the post-emergence period performance of bankrupt firms, and more.
Author: N. Cakici
Author: N. Cakici
Author: John M. Griffin
Author: Elroy Dimson
Author: 陳俊宏
Author: John Y. Campbell
Author: Jean-Pierre Danthine
Author: Gaston Michel
Author: Kenneth L. Fisher
Author: John Y. Campbell
Author: Edward I. Altman