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519 full-text articles. Page 1 of 18.

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.


Effect Of Leadership Style, Motivation, And Giving Incentives On The Performance Of Employees—Pt. Kurnia Wijaya Various Industries, Teddy Chandra, Elqadri Zainal Mustafa, priyono iyon priyono, management, rahayu puji suci poppy poppy, management 2015 Pelita Indonesia School of Business

Effect Of Leadership Style, Motivation, And Giving Incentives On The Performance Of Employees—Pt. Kurnia Wijaya Various Industries, Teddy Chandra, Elqadri Zainal Mustafa, Priyono Iyon Priyono, Management, Rahayu Puji Suci Poppy Poppy, Management

Teddy Chandra

This study aims to identify and examine the importance of leadership style, motivation, and incentives to 
improve employee performance. Variables examined as factors that affect performance of employees were style
of leadership (X1), motivation (X2), and the provision of incentives (X3). 
The population of this study was all employees in the Sales Department MT PT. Kurnia Wijaya Various
Industries, amounting to 20 people. Data collection techniques were documentation and questionnaires. This
study also used multiple linear regressions to analyze the data. 
It indicates that the level of the relationship between leadership style (X1), motivation (X2), and the provision of
incentives ...


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.


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 ...


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

Jan A. deRoos

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 ...


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

Jan A. deRoos

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 ...


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

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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

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 ...


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

Andrey D. Ukhov

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

Andrey D. Ukhov

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

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 ...


Portfolio Optimization: A Modeling Perspective, Camarie Campfield 2015 Western Oregon University

Portfolio Optimization: A Modeling Perspective, Camarie Campfield

Honors Senior Theses/Projects

Investing is critical in the business world and is an avenue to make profit for many. Making the decisions of what to invest in involves intricate mathematics in order to reduce risk. We investigate portfolio optimization, which is a branch of economic and financial modeling that typically has the goal of maximizing an investment's expected return. We explore a linear programming approach to a decision model for a first time investor. Our results are compared to our expectation and different outcomes are computed based on adjusting our models used for calculating rates of return and failure rates in order ...


Volatility And Risk Management In European Electricity Futures Markets, Jim Hanly, Lucia Morales 2015 Dublin Institute of Technology

Volatility And Risk Management In European Electricity Futures Markets, Jim Hanly, Lucia Morales

Articles

This paper estimates and applies a risk management strategy for electricity spot exposures using futures hedging. We apply our approach to three of the most actively traded European electricity markets, Nordpool, APXUK and Phelix. We compare both optimal hedging strategies and the hedging effectiveness of these markets for two hedging horizons, weekly and monthly using both Variance and Value at Risk (VaR). We find significant differences in both the Optimal Hedge Ratios (OHR’s) and the hedging effectiveness of the different electricity markets. Better performance is found for the Nordpool market while the poorest performer in hedging terms is Phelix ...


The Role Of Real Estate Investment In Insurance Company Portfolios, Jarl Kallberg, Crocker Liu, D. Greig 2015 New York University

The Role Of Real Estate Investment In Insurance Company Portfolios, Jarl Kallberg, Crocker Liu, D. Greig

Crocker H. Liu

[Excerpt] An area of ongoing debate in the area of long-term investment has been what is the appropriate role of real estate in an institutional portfolio, Numerous studies using a mean-variance setting have suggested that pension funds should allocate more of their capital to real estate with a 20 percent maximum suggested. However, these conclusions are tenuous because of the severe difficulties in determining the risk and return on real estate that realistically captures the illiquidity and other aspects of real estate pricing.

Perhaps, because of these problems, real estate investment by major insurance companies has been relatively small. While ...


An Examination Of The Asian Crisis: Regime Shifts In Currency And Equity Markets, Jarl Kallberg, Crocker Liu, Paolo Pasquariello 2015 New York University

An Examination Of The Asian Crisis: Regime Shifts In Currency And Equity Markets, Jarl Kallberg, Crocker Liu, Paolo Pasquariello

Crocker H. Liu

Using a nonparametric technique for the identification of regime shifts, we find breaks in the structural relations between currency and equity returns and return volatility in Indonesia, Malaysia, the Philippines, South Korea, Taiwan, and Thailand during the recent Asian crisis. Volatility breaks occurred in late 1994 and 1997, while return breaks were concentrated in early 1998. After the estimated breaks, many Asian equity markets became more responsive to the volatility of the corresponding domestic exchange rate. We find that information spillover and portfolio rebalancing, rather than common information shocks, represented major channels for the transmission of breaks across countries.


The Predictability Of Returns On Equity Reits And Their Co-Movement With Other Assets, Crocker Liu, Jianping Mei 2015 Cornell University

The Predictability Of Returns On Equity Reits And Their Co-Movement With Other Assets, Crocker Liu, Jianping Mei

Crocker H. Liu

Recent evidence suggests that the variation in the expected excess returns is predictable and arises from changes in business conditions. Using a multifactor latent variable model with time-varying risk premiums, we decompose excess returns into expected and unexpected excess returns to examine what determines movements in expected excess returns for equity REITs are more predictable than all other assets examined, due in part to cap rates which contain useful information about the general risk condition in the economy. We also find that the conditional risk premiums (expected excess returns) on EREITs move very closely with those of small cap stocks ...


My Experience With Fundamental Analysis, Nicolas Chapman 2015 University of Connecticut - Storrs

My Experience With Fundamental Analysis, Nicolas Chapman

Honors Scholar Theses

In finance, there are several overarching schools of thought when viewing equity prices in the stock market, such as technical and fundamental analysis. I find the most enjoyment in quantitative matters, so naturally most of my experience with the stock market includes fundamental analysis. Proponents of this methodology purport that there is a true value of a security based on its financials, and that it will trade around that number eventually. Perhaps the most successful investor who uses fundamental analysis is Warren Buffett. Specifically, he believes in valuing a company’s equity by gauging their cash flows and projecting how ...


Investment Strategies Amongst Property And Casualty Insurance Companies, Ryan J. Conforti 2015 University of Connecticut

Investment Strategies Amongst Property And Casualty Insurance Companies, Ryan J. Conforti

Honors Scholar Theses

The purpose of this work is to take an in-depth look into the investment side of property and casualty insurance. Many P&C companies have thrived over the past century, and much of this success can be attributed to investment income. This thesis will examine how investment philosophy changes from firm to firm, while also looking at how strategies have changed over time. It will also look into the insurance “float,” and examine how investors such as Warren Buffett have utilized this instrument to their favor. Investing is a huge aspect of property and casualty insurance, and this piece will ...


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