(option-)implied correlationreturn predictabilityidiosyncratic riskoption-implied informationcontemporaneous betasImplied correlation, jointly extracted from index and stock options, is a robust predictor of long-term market returns. We document that its predictive power stdoi:10.2139/ssrn.3114063Adrian Buss...
2 Thus, economically large and statistically significant alphas are associated with the short-term reversal strategy in the US market. These results negate the weak form of market efficiency, as risk-adjusted abnormal returns can be earned by using the recent history of stock prices.3 However, a...
Does duration of competitive advantage drive long-term returns in the stock market? The purpose of this article was to develop a new indicator to estimate the aggregate long-term expected return on stocks. There is not a widely used method... JA Forsyth,S Mongrut 被引量: 0发表: 2022年 加...
The company’s net long-term debt to adjusted EBITDA ratio declined sequentially from 2.4X to 2.2X during the quarter. Leadership maintained its guidance for fiscal 2024, expecting total net sales of approximately $9.60 billion, from $9.73 billion in 2023. Click here to download our most recent...
Therefore, the probable long-term average return for Investment A is 6.5%. Calculating the Expected Return of a Portfolio Calculating expected return is not limited to calculations for a single investment. It can also be calculated for a portfolio. The expected return for an investment portfolio ...
Historical data provides valuable insights into the expected returns across different asset classes. Over the long term, stocks have consistently outperformed bonds, reflecting the higher risk associated with equity investments. For example, theS&P 500has delivered an average annual return of about 8.4%...
Expected Equity Returns In 2001, one of the largest pension plans in the United States asked Bear Stearns Asset Manage- ment to undertake a study to determine which stock traits govern long-term performance. To calculate the ERISA-required expected rate of return on plan assets, the pension ...
(1991). A variance decomposition for stock return. The Economic Journal, 101, 157–179. Article Google Scholar Campbell, J., & Ammer, J. (1993). What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance, 48, 3–37. Article Google...
Because the expected market return figure is merely a long-term weighted average of historical returns and is therefore not guaranteed, it's dangerous for investors to make investment decisions based on expected returns alone. Market Risk Premium ...
This includes technological innovation across different industries, financial reforms, reforms in financial services to support the real economy, and long-term healthy development policies for the real estate sector. The development of real estate will be guided by the principle of "guaranteed housing ...