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Real option valuation in investment projects

In this study, real option method is used to value real investment project. Furthermore, AHP method is utilized to determine elements that are used in project valuation process. Whereas the investment decision implementation that is made in solar energy sector cannot be carried out with classical approximations, a project case that is valued with real option valuation method can be argued.

5/4/2020 8:43:06 PM +00:00

Mutual fund performance evaluation using data envelopment analysis with higher moments

This paper proposes Data Envelopment Analysis, a nonparametric approach, for the evaluation of mutual fund performance. This method is applied in both mean-variance and higher moment’s framework on data of Greek mutual funds over the period 2007-2010 with encouraging results.

5/4/2020 8:42:23 PM +00:00

Manager attributes and fund performance: Evidence from Taiwan

This paper applies a four-stage data envelopment analysis (DEA) approach proposed by Fried et al. (1999) to measure the operational environment-adjusted efficiency of sixty mutual funds in Taiwan from 2006 to 2010. We adopt the approach for adjusting negative output as suggested by Lovell and Pastor (1995). In addition, the truncated regression model is used to estimate effects of environmental variables on input slacks in the second stage. The efficiency of funds initially lightly declined, rapidly rose during the financial crisis of 2008, and then gradually fell again.

5/4/2020 8:41:29 PM +00:00

Foreign direct investment (FDI) and standard of living in Nigeria

The subject of interrelationship that exists between foreign direct investment (FDI) and standard of living has been an issue of both theoretical and empirical investigations. This study, thus examined the relationship between foreign direct investment and standard of living measured by per capita income (PCI) in Nigeria over 1986 – 2009 period using time series data. The study employed Vector Auto regression (VAR) model because of the fact that the variables are integrated of different orders in their Unit Root Tests.

5/4/2020 8:39:28 PM +00:00

Selectivity and market timing performance in a developing country’s fund industry: Thai equity funds case

Fund selectivity and market timing are two fundamental fund manager’s abilities that determine fund performance. These issues are re-visited to investigate selectivity and market timing aspects of Thai equity funds from 1992 to 2004. Because this time period contains a business cycle, the findings could empirically evidence varying fund manager behaviors under expansion and contraction phases of an economy. Jensen Alpha is employed to examine the selectivity performance.

5/4/2020 6:47:28 PM +00:00

Dividend payout policy, investment opportunity set and corporate financing in the industrial products sector of Malaysia

There are various factors that influence dividend payout policy of corporations; investment opportunity set and corporate financing are among the important ones. Numerous studies have been conducted on the topic of payout policy but less attention is paid on developing countries. In this paper the impact of investment opportunity set and corporate financing on dividend payout policy of Malaysian industrial products sector is investigated. The sample consists of 62 companies which were listed on the main board of Bursa Malaysia.

5/4/2020 6:46:03 PM +00:00

Portfolio optimization is one multiplication, the rest is arithmetic

In this paper we present a rigorous, yet easy to apply method that substitutes those tedious techniques and error prone procedures that are currently used in finding optimal portfolios. Our work is not to support or dispute the applicability of the Mean-Variance optimization method in finance; we simply offer a robust approach to find all the characteristics of any efficient portfolios, with or without bonds. We show that one matrix multiplication provides all the characteristics of all efficient portfolios including risk and return of these optimal portfolios and their corresponding Lagrange multipliers as well as the proportions invested in each asset. The rest is just a few simple elementary arithmetic operations.

3/29/2020 3:20:15 PM +00:00

Are investors willing to buy non-award-wining funds from awarded fund companies?

This study takes Franklin Templeton Investments as an example to investigate investors’ purchase intention of non-award-wining funds from an awarded investment company. We also study the relationships and effects between brand awareness, brand image, brand trust, perceived quality, and purchase intention of non-award-wining funds. The research findings show that brand awareness has both significantly direct and indirect effects on brand trust, and the indirect effects are mainly via brand image and perceived quality. Besides, both brand image and perceived quality have a significantly direct effect on brand trust. Brand trust also has a significantly positive effect on purchase intention. However, both brand image and perceived quality do not have an indirect effect on purchase intention via brand trust.

3/29/2020 3:15:42 PM +00:00

Evaluation of investment and return in informal sector: A case of Chitwan district

Developing counties, like Nepal is still in tense to maintain the level of political stability, economic growth, development, and employment which are the main issues in one side of the economy and on the other, the majority of the people find shelter in the informal sector in the absence of sluggish growing formal sector. Most of the people are engaged in informal economies that have created varying effects on them in terms of employment and income generations. The latter seems to be determined mainly by the household property, level of literacy, the number of persons employed in any unit and investment. However, there is no apparent differentiation in the income earnings between males and females, the latter seems to be more efficient and articulate in many ways. Income earnings have been higher in the urban location than that of the rural sector. Income level and the determining factors seem to vary among different location and sexes. This study tries to compare the nature and characteristics of informal sector both at national as well as international levels. The government must play effective policy as well as to uplift informal economy for the economic development as a whole. To identify the informal sector properly in Nepal, a national wide survey that covers overall aspects should be considered before taking any step.

11/29/2019 8:59:04 PM +00:00

Lecture Investments (6/e) - Chapter 27: Futures markets

Chapter 27 The theory of active portfolio management presents the following content: Lure of active management, market timing, with imperfect ability to forecast, superior selection ability, treynor-black model.

8/15/2019 12:49:38 PM +00:00

Lecture Investments (6/e) - Chapter 26: Futures markets

This chapter presents the following content: Determinants of portfolio policies, matrix of objectives, constraints on investment policies, managing portfolios of individual investors, tax sheltering for individual investors, future trends in portfolio management,...

8/15/2019 12:49:30 PM +00:00

Lecture Investments (6/e) - Chapter 25: Futures markets

In this chapter, we look beyond domestic markets to survey issues of international and extended diversification. In one sense, international investing may be viewed as no more than a straightforward generalization of our earlier treatment of portfolio selection with a larger menu of assets from which to construct a portfolio.

8/15/2019 12:49:22 PM +00:00

Lecture Investments (6/e) - Chapter 24: Futures markets

How can we evaluate the performance of a portfolio manager? It turns out that even average portfolio return is not as straightforward to measure as it might seem. In addition, adjusting average returns for risk presents a host of other problems. In this chapter, we begin with the measurement of portfolio returns. From there we move on to conventional approaches to risk adjustment. We identify the problems with these approaches when applied in various situations.

8/15/2019 12:49:13 PM +00:00

Lecture Investments (6/e) - Chapter 23: Futures markets

The previous chapter provided a basic introduction to the operation of futures markets and the principles of futures pricing. This chapter explores both pricing and risk management in selected futures markets in more depth. Most of the growth has been in financial futures, which now dominate trading, so we emphasize these contracts.

8/15/2019 12:49:05 PM +00:00

Lecture Investments (6/e) - Chapter 22: Futures markets

This chapter describes the workings of futures markets and the mechanics of trading in these markets. We show how futures contracts are useful investment vehicles for both hedgers and speculators and how the futures price relates to the spot price of an asset. We also show how futures can be used in several risk-management applications. This chapter deals with general principles of future markets. Chapter 23 describes specific futures markets in greater detail.

8/15/2019 12:48:56 PM +00:00

Lecture Investments (6/e) - Chapter 21: Option valuation

In this chapter, we turn our attention to option valuation issues. To understand most option valuation models requires considerable mathematical and statistical background. Still, many of the ideas and insights of these models can be demonstrated in simple examples, and we will concentrate on these.

8/15/2019 12:48:48 PM +00:00

Lecture Investments (6/e) - Chapter 20: Options markets: Introduction

This chapter is an introduction to options markets. It explains how puts and calls work and examines their investment characteristics. Popular option strategies are considered next. Finally, we examine a range of securities with embedded options such as callable or convertible bonds, and we take a quick look at some so-called exotic options.

8/15/2019 12:48:39 PM +00:00

Lecture Investments (6/e) - Chapter 19: Financial statement analysis

In this chapter, we show how investors can use financial data as inputs into stock valuation analysis. We start by reviewing the basic sources of such data-the income statement, the balance sheet, and the statement of cash flows. We next discuss the difference between economic and accounting earnings.

8/15/2019 12:48:30 PM +00:00

Lecture Investments (6/e) - Chapter 18: Equity valuation models

This chapter describes the valuation models that stock market analysts use to uncover mispriced securities. The models presented are those used by fundamental analysts, those analysts who use information concerning the current and prospective profitability of a company to assess its fair market value.

8/15/2019 12:48:22 PM +00:00

Lecture Investments (6/e) - Chapter 16: Managing bond portfolios

In this chapter we turn to various strategies that bond portfolio managers can pursue, making a distinction between passive and active strategies. A passive investment strategy takes market prices of securities as fairly set. Rather than attempting to beat the market by exploiting superior information or insight, passive managers act to maintain an appropriate risk–return balance given market opportunities.

8/15/2019 12:48:13 PM +00:00

Lecture Investments (6/e) - Chapter 15: The term structure of interest rates

In this chapter we explore the pattern of interest rates for different-term assets. We attempt to identify the factors that account for that pattern and determine what information may be derived from an analysis of the so-called term structure of interest rates, the structure of interest rates for discounting cash flows of different maturities.

8/15/2019 12:48:05 PM +00:00

Lecture Investments (6/e) - Chapter 14: Bond prices and yields

In the previous chapters on risk and return relationships, we have treated securities at a high level of abstraction. We assumed implicitly that a prior, detailed analysis of each security already had been performed, and that its risk and return features had been assessed. in this chapter, we turn now to specific analyses of particular security markets. We examine valuation principles, determinants of risk and return, and portfolio strategies commonly used within and across the various markets.

8/15/2019 12:47:57 PM +00:00

Lecture Investments (6/e) - Chapter 13: Empirical evidence on security returns

Lecture Investments (6/e) - Chapter 13: Empirical evidence on security returns. This chapter includes contents: Investments & financial assets, role of financial assets and markets, crisis in corporate governance, financial system clients and their needs, meeting the needs of participants,....

8/15/2019 12:47:48 PM +00:00

Lecture Investments (6/e) - Chapter 12: Market efficiency and behavioral finance

In this chapter we explore the reasoning behind what may seem a surprising conclusion. We show how competition among analysts leads naturally to market efficiency, and we examine the implications of the efficient market hypothesis for investment policy. We also consider empirical evidence that supports and contradicts the notion of market efficiency.

8/15/2019 12:47:40 PM +00:00

Lecture Investments (6/e) - Chapter 11: Arbitrage pricing theory and multifactor models of risk and return

Chapter 11, Arbitrage pricing theory and multifactor models of risk and return. In this chapter, we show how such no-arbitrage conditions together with the factor model introduced in Chapter 10 allow us to generalize the security market line of the CAPM to gain richer insight into the risk-return relationship.

8/15/2019 12:47:32 PM +00:00

Lecture Investments (6/e) - Chapter 10: Index models

This chapter a simplifying assumption that at once eases our computational burden and offers significant new insights into the nature of systematic risk versus firm-specific risk. This abstraction is the notion of an “index model,” specifying the process by which security returns are generated.

8/15/2019 12:47:23 PM +00:00

Lecture Investments (6/e) - Chapter 9: The capital asset pricing model

The capital asset pricing model, almost always referred to as the CAPM, is a centerpiece of modern financial economics. The model gives us a precise prediction of the relationship that we should observe between the risk of an asset and its expected return. Chapter 9 provides knowledge of the capital asset pricing model.

8/15/2019 12:47:15 PM +00:00

Lecture Investments (6/e) - Chapter 8: Optimal risky portfolios

In chapter 8 we discussed optimal risky portfolios. That decision governs how an investor chooses between risk-free assets and “the” optimal portfolio of risky assets. This chapter explains how to construct that optimal risky portfolio. We begin with a discussion of how diversification can reduce the variability of portfolio returns. After establishing this basic point, we examine efficient diversification strategies at the asset allocation and security selection levels.

8/15/2019 12:47:06 PM +00:00

Lecture Investments (6/e) - Chapter 7: Capital allocation between the risky and the risk-free asset

Lecture Investments (6/e) - Chapter 7 Capital allocation between the risky and the risk-free asset presents the following content: allocating capital - risky & risk free assets, expected returns for combinations, possible combinations, variance for possible combined portfolios, combinations without leverage,...

8/15/2019 12:46:58 PM +00:00

Lecture Investments (6/e) - Chapter 6: Risk and risk aversion

Lecture Investments (6/e) - Chapter 6 Risk and risk aversion presents the following content: Risk - uncertain outcomes, risky investments with risk-free, risk aversion & utility, dominance principle, utility and indifference curves,...

8/15/2019 12:46:50 PM +00:00