Mutual Funds最新文献_第9页

The Commodity Risk Premium and Neural Networks 商品风险溢价与神经网络

Mutual Funds Pub Date : 2021-03-31 DOI: 10.2139/ssrn.3816170

H. Rad, Rand Kwong Yew Low, J. Miffre, R. Faff

引用次数: 5

Public Pension Portfolios in a World of Low Rates and Low Risk Premiums 低利率和低风险溢价世界中的公共养老金投资组合

Mutual Funds Pub Date : 2021-03-31 DOI: 10.2139/ssrn.3869703

H. Ren, Sarah Siwinski, C. Yu, Andrew Ang

引用次数: 1

An Examination of Target Date Fund Glidepath Construction 目标日期基金滑行道建设审查

Mutual Funds Pub Date : 2021-03-28 DOI: 10.2139/ssrn.3829960

M. C. Faria

引用次数: 0

Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2021 Edition 股票风险溢价(ERP):决定因素，估计和影响- 2021版

Mutual Funds Pub Date : 2021-03-23 DOI: 10.2139/ssrn.3825823

A. Damodaran

{"title":"Equity Risk Premiums (ERP): Determinants, Estimation, and Implications – The 2021 Edition","authors":"A. Damodaran","doi":"10.2139/ssrn.3825823","DOIUrl":"https://doi.org/10.2139/ssrn.3825823","url":null,"abstract":"The equity risk premium is the price of risk in equity markets, and it is not just a key input in estimating costs of equity and capital in both corporate finance and valuation, but it is also a key metric in assessing the overall market. Given its importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. We begin this paper by looking at the economic determinants of equity risk premiums, including investor risk aversion, information uncertainty and perceptions of macroeconomic risk. In the standard approach to estimating the equity risk premium, historical returns are used, with the difference in annual returns on stocks versus bonds, over a long period, comprising the expected risk premium. We note the limitations of this approach, even in markets like the United States, which have long periods of historical data available, and its complete failure in emerging markets, where the historical data tends to be limited and volatile. We look at two other approaches to estimating equity risk premiums – the survey approach, where investors and managers are asked to assess the risk premium and the implied approach, where a forward-looking estimate of the premium is estimated using either current equity prices or risk premiums in non-equity markets. In the next section, we look at the relationship between the equity risk premium and risk premiums in the bond market (default spreads) and in real estate (cap rates) and how that relationship can be mined to generate expected equity risk premiums. We close the paper by examining why different approaches yield different values for the equity risk premium, and how to choose the “right” number to use in analysis.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"38 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76822806","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Finding the Patterns of IRA Investment Decision Among Europeans Aged 50+ with Formal Education and Primary Residence Before the Fall of Communism. Evidence from SHARE-ERIC (Wave 7) 共产主义垮台前欧洲50岁以上受过正规教育和主要居住地的个人退休账户投资决策模式。来自SHARE-ERIC (Wave 7)的证据

Mutual Funds Pub Date : 2021-03-22 DOI: 10.2139/ssrn.3810495

Daniel Homocianu, A. Plopeanu

{"title":"Finding the Patterns of IRA Investment Decision Among Europeans Aged 50+ with Formal Education and Primary Residence Before the Fall of Communism. Evidence from SHARE-ERIC (Wave 7)","authors":"Daniel Homocianu, A. Plopeanu","doi":"10.2139/ssrn.3810495","DOIUrl":"https://doi.org/10.2139/ssrn.3810495","url":null,"abstract":"This paper deals with the analysis of determinants of the decision of investing in Individual Retirement Accounts (IRA) among Europeans aged 50 and over, starting from the SHARE-ERIC data set (Wave 7), filtered on dominant residences and full-time education before the fall of the Iron Curtain in Europe. Using more than 33.000 records, it validates the assumption that schooling and living place in former communist countries count for such financial behavior. Further, it brings two particular models with good accuracy of classification starting from the latter criterion. We applied many methods and techniques based on data mining and variable selection tools, probit and binary logistic regression analysis with average marginal effects, automatic cross-validations, mixed-effects modeling with random effects on countries, and prediction nomograms. We found that some influences from the same financial category as the dependent variable, such as having life insurance or ever investing in mutual funds or stocks count the most when dealing with investing in IRA. More, the younger respondents, those with computer skills required by their jobs, and those who have gone through at least a period of high stress were more likely to invest using such an instrument, no matter their residence and education. Besides, more educated people, those who suffered in their past by some form of discrimination, the relaxed, happier, more independent, and more interpersonal confident individuals were more prone to choose to invest this way. Moreover, this paper also confirms some country-level influences related to stock market capitalization to GDP ratio and Worldwide Governance Indicators.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89168914","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Does the Shiller CAPE Predict a Crash of the S&P 500? 希勒CAPE预测标准普尔500指数崩盘吗?

Mutual Funds Pub Date : 2021-03-17 DOI: 10.2139/ssrn.3806507

G. Lechner

引用次数: 2

Portfolio selection with parsimonious higher comoments estimation 具有精简高评论估计的投资组合选择

Mutual Funds Pub Date : 2021-03-14 DOI: 10.2139/ssrn.3455400

Nathan Lassance, F. Vrins

引用次数: 13

Crowding of International Mutual Funds 国际共同基金的拥挤

Mutual Funds Pub Date : 2021-03-13 DOI: 10.2139/ssrn.3803917

Tanja Artiga González, T. Dyakov, Justus Inhoffen, Evert Wipplinger

引用次数: 0

Investors Preference for Mutual Fund Investment in Oman 阿曼投资者对共同基金投资的偏好

Mutual Funds Pub Date : 2021-03-09 DOI: 10.2139/ssrn.3801092

Shahebaz S. Khan, Meer Mazhar Ali, Mohammed Abdul Imran Khan

{"title":"Investors Preference for Mutual Fund Investment in Oman","authors":"Shahebaz S. Khan, Meer Mazhar Ali, Mohammed Abdul Imran Khan","doi":"10.2139/ssrn.3801092","DOIUrl":"https://doi.org/10.2139/ssrn.3801092","url":null,"abstract":"The research study was based on primary as well as secondary data, however primary data collected was given more importance since it is an overhearing factor in attitude studies. One of the most important users of research methodology is that it helps in identifying the problem, collecting, analyzing the required information data and providing an alternative solution to the problem. It also helps in collecting the vital information that is required by the top management to assist them for better decision making both days to day decision and critical ones. This study has attempted to understand the financial behavior of Mutual Fund investors in connection with the preferences of Brand (AMC), Products, and Channels etc. Many people do not have invested in mutual fund due to a lack of awareness although they have money to invest. As the awareness and income are growing the number of mutual funds investors are also growing. “Brand” plays an important role in investment. People invest in those companies where they have faith or they are well known for them. There are many AMCs in Salalah, Oman but only some are performing well due to Brand awareness. Distribution channels are also important for investment in a mutual fund. Banks are the most preferred channel for investment in a mutual fund. They can change investors’ mind from one investment option to others. Many investors directly invest their money through AMC.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81733873","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Safe Haven Assets - The Bigger Picture 避险资产-更大的图景

Mutual Funds Pub Date : 2021-03-09 DOI: 10.2139/ssrn.3800872

D. Baur, T. Dimpfl, Konstantin Kuck

引用次数: 6