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Range-Based Volatility, Expected Stock Returns, And The Low Volatility Anomaly, Benjamin M. Blau, Ryan J. Whitby
Range-Based Volatility, Expected Stock Returns, And The Low Volatility Anomaly, Benjamin M. Blau, Ryan J. Whitby
Economics and Finance Faculty Publications
One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models …
Determining Fair Market Value For Duke’S Sporting Goods Store, Michael Goldman, Daniel A. Rascher
Determining Fair Market Value For Duke’S Sporting Goods Store, Michael Goldman, Daniel A. Rascher
Sport Management
Shelley Valdez is a recent finance team hire at Duke’s Sporting Goods Store. She has 1 week to identify, gather, and analyze relevant information to calculate the financial value of the business, using the income and market approaches. She has also been asked to consider Duke’s liquidation value, and comment on the strategic options these calculations point to, before a board meeting of the owners next week.