Understanding Risk and ReturnThis paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the retSocial Science Electronic Publishing
Understanding Risk and Return 来自 EconPapers 喜欢 0 阅读量: 100 作者: JY Campbell 摘要: This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts...
Within the current macroeconomic environment where central banks around globe have started to lower interest rates, bond funds and ETFs have become popular investment choices for all kinds of investors. However, their performance is influenced by a variety ofrisk and return...
The popular measurements can be used to evaluate real-estate risk and returns if you have the information. For the Sharpe ratio, you'd need to know the property's average return and standard deviation. Using the 10-year Treasury rate, you could determine the property's risk-adjusted return....
In cricket, when a batsman has to choose between scoring or defending, one of the important factors they assess is the risk of losing a wicket. If trying to score involves a high risk of losing a wicket, the batsman would most likely defend the delivery.
Portfolio theory is concerned with optimal investment strategies, based on both return and risk, and demonstrates the potential benefits from pooling different investments into a single portfolio. Portfolio theory differs from other methods that focus on risk in medicine as it focuses on the variance ...
We find that past stock market variance forecasts excess stock market returns and that its predictive ability is greatly enhanced if the consumption-wealth ratio is also included in the forecasting equation. While the risk-return tradeoff is found negative if we use the latter as the instrumental ...
The true risk is not merely a bad return in the first year, but a string a bad returns where the cumulative withdrawals add up to something more significant and the portfolio in the aggregate starts to get winnowed down. Accordingly, the chart below shows the relationship betw...
The capital market line (CML) represents portfolios that optimally combine risk and return. CML is a special case of the capital allocation line (CAL) where the risk portfolio is the market portfolio. Thus, the slope of the CML is the Sharpe ratio of the market portfolio. ...
We seek to determine whether a firm specific risk premium (FSRP) exists for private firms. We show that private equity investors price firm specific risk as part of establishing the expected rate of return hurdle rate. Our research is based on survey dat