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Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago
Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago
Carlo Drago
In questo lavoro riscontriamo un aumento del rischio sistematico dei titoli del mercato immobiliare americano nell’anno 2007 seguito da un ritorno ai valori iniziali nell’anno 2009 e si evidenzia la possibile presenza di break strutturali. Per valutare il suddetto rischio sistematico è stato scelto il modello a tre fattori di Fama e French ed è stata studiata la relazione tra l’extra rendimento dell’indice REIT, utilizzato come proxy dell’andamento dei titoli immobiliari americani, e l’extra rendimento dell’indice S&P500 rappresentativo del rendimento del portafoglio di mercato. I risultati confermano la presenza di un “Asymmetric REIT Beta Puzzle” coerentemente con alcuni precedenti studi …
A Note On Empirical Sample Distribution Of Journal Impact Factors In Major Discipline Groups, Sudhanshu K. Mishra
A Note On Empirical Sample Distribution Of Journal Impact Factors In Major Discipline Groups, Sudhanshu K. Mishra
Sudhanshu K Mishra
What type of statistical distribution do the Journal Impact Factors follow? In the past, researchers have hypothesized various types of statistical distributions underlying the generation mechanism of journal impact factors. These are: lognormal, normal, approximately normal, Weibull, negative exponential, combination of exponentials, Poisson, Generalized inverse Gaussian-Poisson, negative binomial, generalized Waring, gamma, etc. It is pertinent to note that the major characteristics of JIF data lay in the asymmetry and non-mesokurticity. The present study, frequently encounters Burr-XII, inverse Burr-III (Dagum), Johnson SU, and a few other distributions closely related to Burr distributions to best fit the JIF data in subject groups …
What Do The Ibbottson Historical Studies Really Prove About Firm Size, Risk And Return?, Michael Sack Elmaleh
What Do The Ibbottson Historical Studies Really Prove About Firm Size, Risk And Return?, Michael Sack Elmaleh
Michael Sack Elmaleh
I deny that the Ibbottson historical studies prove that small and medium caps outperform large caps because they are more risky. First, I question whether covariance measures are necessarily a good proxy for risk. The higher levels of volatility associated with small and medium cap versus large cap may be a statistical artifact: the greater number of transactions associated with large caps as compared to small caps may account for this difference. Secondly, higher returns on small and medium caps may be a function of less efficient information distribution for these securities as compared to large caps. Finally, can we …
The Income Method Of Valuation: A False Analogy Between Bonds And Stocks, Michael Sack Elmaleh
The Income Method Of Valuation: A False Analogy Between Bonds And Stocks, Michael Sack Elmaleh
Michael Sack Elmaleh
The discounting of future income streams by a risk adjusted rate of return by proponents of the income method reflects a misplaced faith in the ability to project accurately future income streams and pick out the “right” rate of return. Future income streams are fairly reliably predictable when analyzing a debt instrument. However, equity investment future income streams are notoriously unpredictable. Similarly assessing the risk associated with realizing returns from a fixed security is comparatively easy in comparison with assessing the risks associated with equity returns. The widely used Beta has not proved to be a very stable measure of …