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Author: Steven Sabol Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
Expected returns are what we expect to earn over the next year if we choose to invest today. The expected return is not plucked out of thin air, but is modeled by our hero: The Econometrician. In scholastic seminars, he explains how to interpret expected bond returns, and in client emails, the intuition behind why he expects his models to work for the foreseeable future. He takes the time to review how to decompose expected returns into a real, inflation, liquidity and monetary policy risk premium. He is the hero because he is able to effectively communicate his ideas and expand his framework when new predictors emerge in the literature. Two such predictors include the banks' income gap, put forth by Haddad and Srear (2015), and a related measure, mortgage duration as championed by Hanson (2014). He also finds ways to work in older ideas by establishing simple strategies to look at how other variables related to bond yields influence changes in the shape of the curve. The Econometrician embraces clarity and would argue that, despite its growing popularity among academetricians, the affine term structure model provides absolutely no gain in understanding the source of expected returns for common men.
Author: Steven Sabol Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
Expected returns are what we expect to earn over the next year if we choose to invest today. The expected return is not plucked out of thin air, but is modeled by our hero: The Econometrician. In scholastic seminars, he explains how to interpret expected bond returns, and in client emails, the intuition behind why he expects his models to work for the foreseeable future. He takes the time to review how to decompose expected returns into a real, inflation, liquidity and monetary policy risk premium. He is the hero because he is able to effectively communicate his ideas and expand his framework when new predictors emerge in the literature. Two such predictors include the banks' income gap, put forth by Haddad and Srear (2015), and a related measure, mortgage duration as championed by Hanson (2014). He also finds ways to work in older ideas by establishing simple strategies to look at how other variables related to bond yields influence changes in the shape of the curve. The Econometrician embraces clarity and would argue that, despite its growing popularity among academetricians, the affine term structure model provides absolutely no gain in understanding the source of expected returns for common men.
Author: Antti Ilmanen Publisher: John Wiley & Sons ISBN: 1119860202 Category : Business & Economics Languages : en Pages : 310
Book Description
Elevate your game in the face of challenging market conditions with this eye-opening guide to portfolio management Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least provides an evidence-based blueprint for successful investing when decades of market tailwinds are turning into headwinds. For a generation, falling yields and soaring asset prices have boosted realized returns. However, this past windfall leaves retirement savers and investors now facing the prospect of record-low future expected returns. Emphasizing this pressing challenge, the book highlights the role that timeless investment practices – discipline, humility, and patience – will play in enabling investment success. It then assesses current investor practices and the body of empirical evidence to illuminate the building blocks for improving long-run returns in today’s environment and beyond. It concludes by reviewing how to put them together through effective portfolio construction, risk management, and cost control practices. In this book, readers will also find: The common investor responses so far to the low expected return challenge Extensive empirical evidence on the critical ingredients of an effective portfolio: major asset class premia, illiquidity premia, style premia, and alpha Discussions of the pros and cons of illiquid investments, factor investing, ESG investing, risk mitigation strategies, and market timing Coverage of the whole top-down investment process – throughout the book endorsing humility in tactical forecasting and boldness in diversification Ideal for institutional and active individual investors, Investing Amid Low Expected Returns is a timeless resource that enables investing with serenity even in harsher financial conditions.
Author: Riccardo Rebonato Publisher: ISBN: 1107165857 Category : Business & Economics Languages : en Pages : 781
Book Description
Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
Author: John B. Guerard Publisher: SAS Institute ISBN: 1635266890 Category : Computers Languages : en Pages : 277
Book Description
Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.
Author: Ian Davidson Publisher: Routledge ISBN: 1136283048 Category : Business & Economics Languages : en Pages : 329
Book Description
The book provides a rigorous introduction to corporate finance and the valuation of equity. The first half of the book covers much of the received theory in these areas such as the relationship between the risk of an equity security and the return one can expect from it, the effects of leverage (that is, the borrowing policies of the firm) on the return one can expect from the firm’s shares and the role that dividends, operating cash flows and accounting earnings play in the valuation of equity. The second half of the book is more advanced and deals with the important role that "real options" (that is, as yet unexploited investment opportunities) play in the valuation of equity.
Author: Kenneth J. Singleton Publisher: Princeton University Press ISBN: 1400829232 Category : Business & Economics Languages : en Pages : 497
Book Description
Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Author: David E. Rapach Publisher: Emerald Group Publishing ISBN: 1849505403 Category : Business & Economics Languages : en Pages : 691
Book Description
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Author: Steven Sabol
Author: Steven Sabol
Author: Antti Ilmanen
Author: 
Author: Riccardo Rebonato
Author: John B. Guerard
Author: Ian Davidson
Author: John H. Cochrane
Author: Kenneth J. Singleton
Author: 
Author: David E. Rapach