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Multivariate Dependence Risk And Portfolio Optimization: An Application To Mining Stock Portfolios, Stelios Bekiros, Jose Arreola Hernandez, Shawkat Hammoudeh, Duc Khuong Nguyen 2016 Edith Cowan University

Multivariate Dependence Risk And Portfolio Optimization: An Application To Mining Stock Portfolios, Stelios Bekiros, Jose Arreola Hernandez, Shawkat Hammoudeh, Duc Khuong Nguyen

Duc Khuong Nguyen

This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of the global financial crisis. We apply this methodology to two 20-asset mining (gold and iron ore-nickel) sector portfolios from the Australian Securities Exchange. The pair vine copulas prove to be powerful tools for the modeling of changing dependence risk under three different period scenarios combined with the optimization of portfolios that have complex patterns of dependence. The portfolio optimization results converge, on average, in some stocks.


Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud 2016 Ursinus College

Trading Ahead Of Bad News: Evidence From Short-Sales Of Stocks And The Options Market, Nicholas E. Macksoud

Business and Economics Honors Papers

Throughout the past ten years, the United States Environmental Protection Agency (EPA) has issued hundreds of enforcement actions in the electric, natural gas, and petroleum industries. The vast majority of these citations have been violations of environmental statutes, notably the Clean Air Act (CAA) and the Clean Water Act (CWA). My research evaluates the timing of informed investors’ actions pertaining to the public release of these EPA announcements. Since informed traders have much more leverage in the options market, there seems likely to be a concentration of abnormal put option activity shortly before the time in which the announcements reach ...


Dadupoker.Com Agen Judi Poker Domino Bandarq Online Terpercaya Di Indonesia, ryan anggara 2016 Universitas Negeri Makassar

Dadupoker.Com Agen Judi Poker Domino Bandarq Online Terpercaya Di Indonesia, Ryan Anggara

ryan anggara

Utang atau kewajiban perusahaan Dadupoker.com Agen Judi Poker Domino BandarQ Online Terpercaya di Indonesia dapat dikelompokkan menjadi utang jangka pendek (utang lancar) dan utang jangka panjang.

Utang jangka pendek atau utang lancar adalah utang perusa¬haan yang pelunasannya atau pembayarannya akan dilakukan dalam jangka pendek (satu tahun sejak tanggal neraca) dengan mengguna¬kan aktiva lancar yang dimiliki oleh perusahaan (Munawir, 2001). Utang lancar tersebut meliputi beberapa utang sebagai berikut Utang dagang, yaitu utang yang timbul karena adanya pembelian barang dagangan secara kredit. Utang wesel, yaitu utang yang disertai dengan janji tertulis untuk melakukan  pembayaran sejumlah tertentu pada waktu tertentu ...


Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists, Artur HUGON, Alok KUMAR, An-Ping LIN 2016 Singapore Management University

Analysts, Macroeconomic News, And The Benefit Of Active In-House Economists, Artur Hugon, Alok Kumar, An-Ping Lin

Research Collection School Of Accountancy

Although macroeconomic news has a major impact on corporate earnings, anecdotal evidence suggests that financial analyst research is inefficient with respect to such news. Examining analysts' earnings research, we find that they underreact to negative macroeconomic news. Analysts are not all equal, though, as analysts employed at the same firm as an active macroeconomist underreact much less. We find that the benefit of analyst access to an economist is concentrated in firms that are high in cyclicality relative to their industry, high in cyclicality in general, and that are smaller in size. In addition, analysts who are exposed to more ...


On The Time Scale Behavior Of Equity-Commodity Links: Implications For Portfolio Management, Stelios Bekiros, Duc Khuong Nguyen, Gazi Salah Uddin, Bo Sjo 2016 IPAG Business School, France

On The Time Scale Behavior Of Equity-Commodity Links: Implications For Portfolio Management, Stelios Bekiros, Duc Khuong Nguyen, Gazi Salah Uddin, Bo Sjo

Duc Khuong Nguyen

We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying co-movement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.


On Indexing Commercial Real Estate Properties And Portfolios, Walter Boudry, N. Coulson, Jarl Kallberg, Crocker Liu 2016 Cornell University

On Indexing Commercial Real Estate Properties And Portfolios, Walter Boudry, N. Coulson, Jarl Kallberg, Crocker Liu

Crocker H. Liu

Commercial real estate indices play an important role in performance evaluation and overall investment strategy. However, the issue of how representative they are of the returns on portfolios of commercial properties is an open issue. Our study addresses this topic by analyzing a sample of 12,427 repeat sales transactions between Q4 2000 and Q2 2011. We find that the aggregate real estate indices (Moody’s REAL CPPI) do a good job of tracking real returns when portfolios of more than 20 properties are considered. At this level, tracking is somewhat less effective than our benchmark of the S&P500 ...


Raj Rajaratnam: Cheater, Alicia Baker 2016 Ursinus College

Raj Rajaratnam: Cheater, Alicia Baker

Richard T. Schellhase Essay Prize in Ethics

No abstract provided.


An Analysis Of The Relationship Between Security Information Technology Enhancements And Computer Security Breaches And Incidents, Linda Betz 2016 Nova Southeastern University

An Analysis Of The Relationship Between Security Information Technology Enhancements And Computer Security Breaches And Incidents, Linda Betz

CEC Theses and Dissertations

Financial services institutions maintain large amounts of data that include both intellectual property and personally identifiable information for employees and customers. Due to the potential damage to individuals, government regulators hold institutions accountable for ensuring that personal data are protected and require reporting of data security breaches. No company wants a data breach, but finding a security incident or breach early in the attack cycle may decrease the damage or data loss a company experiences. In multiple high profile data breaches reported in major news stories over the past few years, there is a pattern of the adversary being inside ...


Systemic Risk Of European Financial Institutions: Estimation And Ranking By The Marginal Expected Shortfall, Abdelkader Derbali 2015 Higher Institute of Management of Sousse

Systemic Risk Of European Financial Institutions: Estimation And Ranking By The Marginal Expected Shortfall, Abdelkader Derbali

Abdelkader Derbali

No abstract provided.


The Determinants Of The Capital Structure : Empirical Evidence From Indonesian Stock Exchange Companies, Teddy Chandra 2015 Pelita Indonesia School of Business

The Determinants Of The Capital Structure : Empirical Evidence From Indonesian Stock Exchange Companies, Teddy Chandra

Teddy Chandra

The purpose of this study was to analyze the factors affecting capital structure in Indonesia. The
variables used were DER as the dependent variable and as independent variables are
profitability, growth opportunity, fixed asset tangibility, size, dividend payout ratio and shortterm
debt to total assets. The sample used in this study is a company registered in LQ-45. And
selected by using purposive sampling. Thus obtained 38 companies as a sample. The analytical
method used is linear regression.
The results obtained from this study is the variable profitability, tangibility fixed assets and short
term debt to total assets that have a ...


Management And Investment Risk Diversification Indices, David Jenkins 2015 Unaffiliated

Management And Investment Risk Diversification Indices, David Jenkins

David Randall Jenkins

“Section 4975(e)(2)(G) Management and Investment Risk Diversification Standards” determined the retirement plan (self-dealing activity, incidental benefit) bright line was quantified and defined by public policy’s management and investment risk diversification standards. The bright line determination is an ordinal distinction. Ordinal policy compliant determinations, however, beg cardinal scale measurements. To that end, this paper contributes transitive (greatest: least) retirement plan management and investment risk diversification cardinal indices.


Generalized Systematic Risk, Ohad Kadan, Fang Liu, Suying Liu 2015 Washington University in St. Louis

Generalized Systematic Risk, Ohad Kadan, Fang Liu, Suying Liu

Fang Liu

We generalize the concept of .systematic risk to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital Asset Pricing Model, two-fund separation, and the security market line. Second is an axiomatic approach resulting in a systematic risk measure as the unique solution to a risk allocation problem. Both approaches lead to similar results extending the traditional beta to capture multiple dimensions of risk. The results lend themselves naturally to empirical investigation.


Diversification Benefits Of Reit Preferred And Common Stock: New Evidence From A Utility Based Framework, Walter Boudry, Jan deRoos, Andrey Ukhov 2015 Cornell University

Diversification Benefits Of Reit Preferred And Common Stock: New Evidence From A Utility Based Framework, Walter Boudry, Jan Deroos, Andrey Ukhov

Walter I. Boudry

We study the diversification benefits of REIT preferred and common stock using a utility based framework in which investors segment based on risk aversion. Taking the view of a long run investor, we conduct our analysis using data from 1992 to 2012. We examine optimal mean-variance portfolios of investors with different levels of risk aversion given access to different classes of assets and establish two main results. First, REIT preferred and common stock provides significant diversification benefits to investors. REIT common stock helps low risk aversion investors attain portfolios with higher returns, while REIT preferred stock helps high risk aversion ...


Attribution Analysis Tool, Walter Boudry, Matthew Green, Crocker Liu, Andrey Ukhov 2015 Cornell University School of Hotel Administration

Attribution Analysis Tool, Walter Boudry, Matthew Green, Crocker Liu, Andrey Ukhov

Walter I. Boudry

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Scroll down to "Additional Files" to access the calculator.

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The attribution analysis spreadsheet is developed based on the model discussed in the Center for Real Estate and Finance at Cornell report called "Measuring the Value Added of Hotel REIT Managers Using MSA Benchmarks: A Return-Based Attribution Analysis Approach" by Walter I. Boudry, Crocker H. Liu, and Andrey D. Ukhov.

Attribution analysis also known as style analysis allows investors and managers to assess the extent to which managers add value to their firm’s common stock returns. Given a set of passive indices, the excel worksheet constructs a benchmark portfolio that ...


Measuring The Value Added Of Reit Managers Using Msa Benchmarks: A Return-Based Attribution Analysis Approach, Walter Boudry, Crocker Liu, Andrey Ukhov 2015 Cornell University

Measuring The Value Added Of Reit Managers Using Msa Benchmarks: A Return-Based Attribution Analysis Approach, Walter Boudry, Crocker Liu, Andrey Ukhov

Walter I. Boudry

An interesting, important, and challenging financial question both in academic research and in practice is how to determine asset managers’ investment performance. That is, how much can be attributed to luck or serendipitous timing and how much is skill? In this paper we demonstrate how return-based style analysis, known as attribution analysis, can be used to ascertain the extent to which managers of REITs add value to their firm’s stock returns. Developed by William F. Sharpe, a Nobel Laureate, the attribution analysis technique was originally used to analyze a manager’s investment style based on the individual’s equity ...


Diversification Benefits Of Reit Preferred And Common Stocks: A Long-Run Empirical Analysis, Walter Boudry, Jan deRoos, Andrey Ukhov 2015 Cornell University

Diversification Benefits Of Reit Preferred And Common Stocks: A Long-Run Empirical Analysis, Walter Boudry, Jan Deroos, Andrey Ukhov

Walter I. Boudry

We study the diversification benefits of REIT preferred and common stocks. Taking the view of a long run investor, we conduct our analysis using data from 1992 to 2012. We examine optimal mean-variance portfolios of an investor given access to different classes of assets and establish five main results. First, preferred stock provides significant diversification benefits to all equity investors. Second, preferred stock appears to be a bond substitute. Third, preferred stock provides a venue for risk reduction for constrained investors who have access to bonds. Fourth, REITs provide an important value dimension to investors. Finally, REITs allow long only ...


Preferred Stock: Some Insights Into Capital Structure, Jarl Kallberg, Crocker Liu, Sriram Villupuram 2015 Thunderbird School of Global Management

Preferred Stock: Some Insights Into Capital Structure, Jarl Kallberg, Crocker Liu, Sriram Villupuram

Crocker H. Liu

This study analyzes the reactions of equity holders and bondholders to the announcement of 427 preferred stock issues. We document an average equity announcement effect of –0:65%. This reaction is positively influenced by a number of measures of firm creditworthiness and transparency and is higher for bank issuers. The equity market reaction is negatively influenced by convertibility (and the moneyness of the embedded option) and by the firm’s accounting treatment of the issue (specifically if the issue is classified as equity). We find that average credit default swap spreads decrease by 50 basis points after the issue announcement ...


Attribution Analysis Tool, Walter Boudry, Matthew Green, Crocker Liu, Andrey Ukhov 2015 Cornell University School of Hotel Administration

Attribution Analysis Tool, Walter Boudry, Matthew Green, Crocker Liu, Andrey Ukhov

Crocker H. Liu

****************************************************************************

Scroll down to "Additional Files" to access the calculator.

****************************************************************************

The attribution analysis spreadsheet is developed based on the model discussed in the Center for Real Estate and Finance at Cornell report called "Measuring the Value Added of Hotel REIT Managers Using MSA Benchmarks: A Return-Based Attribution Analysis Approach" by Walter I. Boudry, Crocker H. Liu, and Andrey D. Ukhov.

Attribution analysis also known as style analysis allows investors and managers to assess the extent to which managers add value to their firm’s common stock returns. Given a set of passive indices, the excel worksheet constructs a benchmark portfolio that ...


Measuring The Value Added Of Reit Managers Using Msa Benchmarks: A Return-Based Attribution Analysis Approach, Walter Boudry, Crocker Liu, Andrey Ukhov 2015 Cornell University

Measuring The Value Added Of Reit Managers Using Msa Benchmarks: A Return-Based Attribution Analysis Approach, Walter Boudry, Crocker Liu, Andrey Ukhov

Crocker H. Liu

An interesting, important, and challenging financial question both in academic research and in practice is how to determine asset managers’ investment performance. That is, how much can be attributed to luck or serendipitous timing and how much is skill? In this paper we demonstrate how return-based style analysis, known as attribution analysis, can be used to ascertain the extent to which managers of REITs add value to their firm’s stock returns. Developed by William F. Sharpe, a Nobel Laureate, the attribution analysis technique was originally used to analyze a manager’s investment style based on the individual’s equity ...


The Composition Of Market Proxy In Reits Risk Premium Estimation, Xiaolong Liu, Peng Liu 2015 Renmin University

The Composition Of Market Proxy In Reits Risk Premium Estimation, Xiaolong Liu, Peng Liu

Peng Liu

A market portfolio is constructed in this paper that is in the spirit of Roll (1977). It consists of equity assets, fixed-income securities, and real estate, and tests whether the real estate investment trust (REIT) risk premium that is estimated using an equity index alone is robust to the misspecification of the market portfolio. The results show that REIT betas increase significantly relative to a more complete market proxy. Moreover, adding real estate to the market portfolio accounts for a significant portion of the bias in the estimated REIT market risk premium.


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