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1,276 results on '"Asset return"'

1. Return of Assets of the Criminal Action of Corruption and Some Problems in the Implementation

Author

Nasution, Muhammad Fadli, Striełkowski, Wadim, Editor-in-Chief, Black, Jessica M., Series Editor, Butterfield, Stephen A., Series Editor, Chang, Chi-Cheng, Series Editor, Cheng, Jiuqing, Series Editor, Dumanig, Francisco Perlas, Series Editor, Al-Mabuk, Radhi, Series Editor, Scheper-Hughes, Nancy, Series Editor, Urban, Mathias, Series Editor, Webb, Stephen, Series Editor, Budiartha, I Nyoman Putu, editor, Saptomo, Ade, editor, Verhezen, Peter, editor, Idris, Siti Hafsyah, editor, Angela Soares, Cesaltina, editor, Lisdiyono, Eddy, editor, Santiago, Faisal, editor, Pratomo, Eddy, editor, Sudiro, Ahmad, editor, and Susanto, Anthon Freddy, editor

Published
2023
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2. Relationship between Variations in Valuation Methodologies: Evidence from Polish Construction Market.

Author

VRBKA, Jaromír, KRULICKÝ, Tomáš, and ŠANDEROVÁ, Veronika

Subjects
*NATURAL resources, *ACCOUNTING standards, *CONSTRUCTION materials, *VALUATION, *INTANGIBLE property
Abstract

Making investment decisions in modern conditions is quite complicated. On the example of the construction industry, the article tests the approach based on WACC and WARA analyses. The risk and profitability of the specified markets were analyzed based on the Efficient Frontier method. The Polish market and the group of Euronext markets were selected for comparison. The necessity of calculation of WARA based on only significant assets was determined. The differentiation between WARA and WACC in the Polish construction market can be overcome by maximizing goodwill and intangible assets and minimizing tangible assets. It reveals problems not in the stock market, but in the industry and the economy as a whole, particularly the lack of functioning markets such as the stock market for individual assets. The role of intangibles is different for Euronext markets. On the other hand, the requirement of the international accounting standards to transfer goodwill from assets to "other income" in case of a negative value (bad will) makes adequate consideration of goodwill in the WARA model virtually impossible. Another problem is a calculation of relative weights of assets in conditions of occurrence of both positive and negative values, which creates prerequisites for different approaches and interpretations. Building material that is used in the construction industry tries to improve the environment. the source of building materials are natural resources such as sandstone. [ABSTRACT FROM AUTHOR]

Published
2023
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3. ¿Postconflicto o postpandemia? Selección del beneficio de los descuentos en el impuesto a la renta para inversiones turísticas.

Author

León Cárdenas, Mauricio Javier

Subjects
RETURN on assets, INCOME tax, TOURISM, CORPORATE profits, TAX reform
Abstract

Copyright of Revista Visión Contable is the property of Universidad Autonoma Latinoamericana and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Published
2023
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4. An Analysis of Return States in Iran Stock Market: Hidden Semi-Markov Model Approach

Author

Maysam Rafei and Mahin Shokri

Subjects
asset return, tehran stock exchange, hidden semi markov model, viterbi algorithm, Finance, HG1-9999
Abstract

Objective: Analyzing the behavior of Tehran Stock Market, based on the daily asset return for the duration between 1387 and 1397 has been the main aim of this research.Methods: Tehran Stock Market daily asset return can be considered as a time-series and therefore all existing models can be applied to it. Considering the distributional and temporal properties of such series, it can be shown that the series is stationary. Hence, Hidden Semi-Markov Model, which is widely used for analyzing time series, could be employed to analyze this series.Results: Based on Kolmogorov-Smirnov test and Akaike and Bayesian indices, the best density function for the series is a three parameter Gussian Mixture. Moreover, employing three-state Hidden Semi-Markov Model would be the suitable method for modeling. In addition, it was found that Tehran Stock Market followed three states namely bull, bear, and sidewalk and the definitions for such states have been given, while the probability of being in each state has also been provided.Conclusion: Tehran Stock Market was in sidewalk state around half of the analyzed duration and the luckiest state after both bear and bull states was sidewalk. The market almost never came to bull state after the bear state. Moreover, the chance of getting into bear state from sidewalk was three times more than the chance of getting into the bull market.

Published
2020
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5. Overlapping momentum portfolios

Author

Alvaro Remesal, Miguel De Jesus, and Iván Blanco

Subjects
History, Economics and Econometrics, Polymers and Plastics, Autocorrelation, Financial market, Concurrence, Asset return, Industrial and Manufacturing Engineering, Computer Science::Computational Engineering, Finance, and Science, Economics, Momentum investing, Econometrics, Portfolio, Capital asset pricing model, Business and International Management, Stock (geology), Finance
Abstract

Different momentum investors use different time horizons, or formation periods, to evaluate prior stock performance. We show that this heterogeneity has important consequences on asset returns. We provide evidence that heightened trading pressure due to the concurrence of the heterogeneous momentum investors contributes to enhanced return autocorrelation. In particular, U.S. "overlapping" momentum stocks - stocks that are in the intersection of the 6-month and 12- month momentum portfolios - display superior medium-term returns to the momentum strategy that neglects the overlap. The differential returns of the "overlapping" momentum portfolio are robust to the inclusion of a broad set of risk factors and interpretations. The results provide insights on the underlying mechanisms of under and over-reaction in financial markets as the result of limited information investment rules and slow information diffusion.

Published
2023

6. A simple joint model for returns, volatility and volatility of volatility

Author

Yashuang (Dexter) Ding

Subjects
Economics and Econometrics, Heteroscedasticity, Applied Mathematics, Gaussian, Estimator, Asset return, symbols.namesake, Discrete time and continuous time, Simple joint, symbols, Economics, Econometrics, Volatility (finance), Empirical evidence
Abstract

We propose a model that allows for conditional heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture all stylised facts of asset returns even with Gaussian innovations and is simple to implement. Moreover, we show that our model converges weakly to the GARCH-type diffusion as the length of the discrete time intervals between observations goes to zero. Empirical evidence shows that our model has a better fit, a more efficient parameter estimator as well as more accurate volatility and VaR forecasts than other common GARCH-type models.

Published
2023

7. A First Glance at Fourier Method

Author

Mancino, Maria Elvira, Recchioni, Maria Cristina, Sanfelici, Simona, Bank, Peter, Series editor, Barrieu, Pauline, Series editor, Bergomi, Lorenzo, Series editor, Cont, Rama, Series editor, Cvitanic, Jakša, Series editor, Grasselli, Matheus R., Series editor, Kou, Steven, Series editor, Ludkowski, Mike, Series editor, Piterbarg, Vladimir, Series editor, Touzi, Nizar, Series editor, Mancino, Maria Elvira, Recchioni, Maria Cristina, and Sanfelici, Simona

Published
2017
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8. Introduction

Author

Mancino, Maria Elvira, Recchioni, Maria Cristina, Sanfelici, Simona, Bank, Peter, Series editor, Barrieu, Pauline, Series editor, Bergomi, Lorenzo, Series editor, Cont, Rama, Series editor, Cvitanic, Jakša, Series editor, Grasselli, Matheus R., Series editor, Kou, Steven, Series editor, Ludkowski, Mike, Series editor, Piterbarg, Vladimir, Series editor, Touzi, Nizar, Series editor, Mancino, Maria Elvira, Recchioni, Maria Cristina, and Sanfelici, Simona

Published
2017
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9. Value-at-Risk

Author

Mostafa, Fahed, Dillon, Tharam, Chang, Elizabeth, Kacprzyk, Janusz, Series editor, Mostafa, Fahed, Dillon, Tharam, and Chang, Elizabeth

Published
2017
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10. Time Series Modelling

Author

Mostafa, Fahed, Dillon, Tharam, Chang, Elizabeth, Kacprzyk, Janusz, Series editor, Mostafa, Fahed, Dillon, Tharam, and Chang, Elizabeth

Published
2017
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12. Multi-Period Models: Empirical Tests

Author

Barucci, Emilio, Fontana, Claudio, Avellaneda, Marco, Series editor, Barone-Adesi, Giovanni, Series editor, Broadie, Mark, Series editor, Davis, Mark, Series editor, Derman, Emanuel, Series editor, Klüppelberg, Claudia, Series editor, Schachermayer, Walter, Series editor, Barucci, Emilio, and Fontana, Claudio

Published
2017
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14. THE IMPACT OF SOLVENCY AND BUSINESS ACTIVITY ON PROFITABILITY OF MINING COMPANIES IN UKRAINE.

Author

Vyhovska, N. G., Polchanov, A. Y., Ostapchuk, T. P., and Dovgaliuk, V. V.

Subjects
MINING corporations, BUSINESS conditions, FINANCIAL statements, ECONOMIC impact, SOCIAL impact, EUROPEAN Sovereign Debt Crisis, 2009-2018
Abstract

Copyright of Scientific Bulletin of National Mining University is the property of National Mining University, State Higher Educational Institution and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Published
2020
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15. SOMA in Financial Modeling

Author

Pekár, Juraj, Čičková, Zuzana, Brezina, Ivan, Kacprzyk, Janusz, Series editor, Davendra, Donald, editor, and Zelinka, Ivan, editor

Published
2016
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23. Value-at-Risk and Modified Value-at-Risk under Asset Liability by Using Time Series Approach.

Author

Sukono, Betty Subartini, Herlina Napitupulu, Yuyun Hidayat, Adam Sukma Putra, and Abdul Talib Bon

Subjects
VALUE at risk, STOCK prices, ASSET management, TIME series analysis, ECONOMIC models
Abstract

Proper risk measurement can be useful in determining investment decision choices in the financial asset market. There are several models for measuring risk, including Value-at-Risk (VaR) and Modified Value-at-Risk (MVaR). Which of the two risk measures are more appropriately applied to analyze multiple stock prices, depending on the behavior pattern of each return of the financial assets analyzed. This paper aims to choose a more appropriate risk measurement model, if the return of financial assets has a certain behavior pattern. It is assumed that the return of financial assets follows the asset-liability model. Similarly, it is assumed that the return data on financial assets follows the time series pattern. In this paper, we formulate VaR and MVaR risk measurement models under liability assets. Furthermore, an analysis of the comparison between VaR and MVaR is carried out under the asset-liability model, using a time series approach. The evaluation of the performance of a risk measure has been done using the Lopez II approach. The results of the analysis show that some stocks are more suitable to be measured by VaR, and others are more suitable to be measured based on MVaR. So, to choose a more appropriate risk measure, it depends on the behavior pattern of stock returns. [ABSTRACT FROM AUTHOR]

Published
2019

24. Can Risk Be Shared across Investor Cohorts? Evidence from a Popular Savings Product

Author

Johan Hombert and Victor Lyonnet

Subjects
Price elasticity of demand, History, Economics and Econometrics, Polymers and Plastics, business.industry, media_common.quotation_subject, Monetary economics, Asset return, Industrial and Manufacturing Engineering, Market risk, Life insurance, Accounting, Risk sharing, Economics, Survey data collection, Business and International Management, business, Sophistication, health care economics and organizations, Financial services, Finance, media_common
Abstract

This paper shows how one of the most popular savings products in Europe -- life insurance financial products -- shares market risk across investor cohorts. Insurers smooth returns by varying reserves that offset fluctuations in asset returns. Reserves are passed on between successive investor cohorts, causing redistribution across cohorts. Using regulatory and survey data on the 1.4 trillion euro French market, we estimate this redistribution to be quantitatively large: 1.4% of savings value per year on average, or 0.8% of GDP. These findings challenge a large theoretical literature that assumes inter-cohort risk sharing is impossible. We develop and provide evidence for a model in which the elasticity of investor demand to predictable returns determines the amount of risk sharing that is possible. The evidence is consistent with low elasticity, sustaining inter-cohort risk sharing despite predictable returns. Demand elasticity is higher for investors with a larger investment amount, suggesting that low investor sophistication enables inter-cohort risk sharing.

Published
2022

28. Capital Growth Theory

Author

Evstigneev, Igor V., Hens, Thorsten, Schenk-Hoppé, Klaus Reiner, Evstigneev, Igor V., Hens, Thorsten, and Schenk-Hoppé, Klaus Reiner

Published
2015
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29. CAPM Continued

Author

Evstigneev, Igor V., Hens, Thorsten, Schenk-Hoppé, Klaus Reiner, Evstigneev, Igor V., Hens, Thorsten, and Schenk-Hoppé, Klaus Reiner

Published
2015
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32. Copulae and Value at Risk

Author

Franke, Jürgen, Härdle, Wolfgang Karl, Hafner, Christian Matthias, Axler, Sheldon, Series editor, Capasso, Vincenzo, Series editor, Casacuberta, Carles, Series editor, MacIntyre, Angus, Series editor, Ribet, Kenneth, Series editor, Sabbah, Claude, Series editor, Süli, Endre, Series editor, Woyczynski, Wojbor A., Series editor, Franke, Jürgen, Härdle, Wolfgang Karl, and Hafner, Christian Matthias

Published
2015
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36. Risk Evaluation of Banking Index with Volatility Estimation through Stochastic Volatility Model: A Semiparametric Bayesian Approach

Author

Rasoul Sajjad and Zahra Abtahi

Subjects
asset return, dirichlet process, mcmc algorithm, stochastic volatility model, var, Finance, HG1-9999
Abstract

Estimation of the return distribution has a crucial role in Risk measurement and since the precision of risk measures depends on the precision of the return distribution, truly estimation of return distribution has attracted a huge attention. Although using Stochastic Volatility models with parametric assumptions for estimation and illustration of the volatilities has been common in research, these assumptions usually result in careless estimations. So in the following research a semiparametric approach has been used for estimation of the volatility by using a normal mixture dirichlet process. In this paper the distribution of the logarithm of the squared returns of banking index of Tehran Stock Exchange has been estimated by using mixtures of normal family and employing an MCMC algorithm. Finally, the results has been compared to the Basic stochastic volatility model. The results show that when the return distribution is skewed, estimates of volatility using the model can differ dramatically from those using a Normal return distribution. Furthermore, when return distribution is similar to a normal distribution, the results of this model are similar to the results of the parametric model.

Published
2017
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37. Correlation of Outliers in Multivariate Data

Author

Kaszuba, Bartosz, Bock, Hans-Hermann, Editor-in-chief, Gaul, Wolfgang, Editor-in-chief, Baier, Daniel, Series editor, Vichi, Maurizio, Editor-in-chief, Critchley, Frank, Series editor, Decker, Reinhold, Series editor, Diday, Edwin, Series editor, Greenacre, Michael, Series editor, Lauro, Carlo Natale, Series editor, Meulman, Jacqueline, Series editor, Monari, Paola, Series editor, Nishisato, Shizuhiko, Series editor, Ohsumi, Noboru, Series editor, Opitz, Otto, Series editor, Ritter, Gunter, Series editor, Schader, Martin, Series editor, Weihs, Claus, Editor-in-chief, Spiliopoulou, Myra, editor, Schmidt-Thieme, Lars, editor, and Janning, Ruth, editor

Published
2014
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42. Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed

Author

Hendrik Kohrs, Frank Schuhmacher, and Benjamin R. Auer

Subjects
Return distribution, 050208 finance, 021103 operations research, Strategy and Management, 05 social sciences, 0211 other engineering and technologies, 02 engineering and technology, Variance (accounting), Management Science and Operations Research, Asset return, 0502 economics and business, Econometrics, Portfolio, Mean variance, Asset (economics), Selection (genetic algorithm), Mathematics
Abstract

We show that, in the presence of a risk-free asset, the return distribution of every portfolio is determined by its mean and variance if and only if asset returns follow a specific skew-elliptical distribution. Thus, contrary to common belief among academics and practitioners, skewed returns do not allow a rejection of mean-variance analysis. Our work differs from Chamberlain's [Chamberlain G (1983) A characterization of the distributions that imply mean-variance utility functions. J. Econom. Theory 29(1):185–201.] by focusing on the returns of portfolios, where the weights over the risk-free asset and the risky assets sum to unity. Furthermore, it extends Meyer's [Meyer J, Rasche RH (1992) Sufficient conditions for expected utility to imply mean-standard deviation rankings: Empirical evidence concerning the location and scale condition. Econom. J. (London) 102(410):91–106.] by introducing elliptical noise into their generalized location-scale framework. To emphasize the relevance of our skew-elliptical model, we additionally provide empirical evidence that it cannot be rejected for the returns of typical portfolios of common stocks or popular alternative investments. This paper was accepted by Kay Giesecke, finance.

Published
2021

44. How Well Does It Work?

Author

Rogers, L. C. G., Bergomi, Lorenzo, Series editor, Cvitanic, Jakša, Series editor, Grasselli, Matheus, Series editor, Korn, Ralf, Series editor, Touzi, Nizar, Series editor, and Rogers, L. C. G.

Published
2013
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