{"title":"Is U.S. Small Cap a Viable Alternative to U.S. Private Equity?","authors":"Bruce J. Grantier","doi":"10.2139/ssrn.1392874","DOIUrl":"https://doi.org/10.2139/ssrn.1392874","url":null,"abstract":"A number of academic papers have indicated that returns for private equity funds, on average, have not outperformed public equities in the United States. This contradicts the risk premium one might expect with private equity, given the liquidity, transparency limitations, and additional origination costs associated with private equity investments. In this paper, Brandes Institute Advisory Board member Bruce Grantier examines the academic research and historical performance (both on an asset class and manager value-added basis) to evaluate small cap as an alternative investment to private equity.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"81 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116700654","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}
{"title":"Differences in Global Exposure among Industries - February 2009","authors":"Msci Inc.","doi":"10.2139/ssrn.1367130","DOIUrl":"https://doi.org/10.2139/ssrn.1367130","url":null,"abstract":"This latest research bulletin in the GEM2 Series considers the degree of global exposure of different industries at the global level, and constructs a measure that is based on the GEM2 Model. It then examines how differences in global exposure across industries are related to style, return and risk characteristics.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131102063","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}
{"title":"Examining Risk in GCC Markets - February 2009","authors":"Msci Inc.","doi":"10.2139/ssrn.1346046","DOIUrl":"https://doi.org/10.2139/ssrn.1346046","url":null,"abstract":"In this Research Bulletin, we review the recent risk environment in Gulf Cooperation Council (GCC) countries using the new and enhanced Barra Global Equity Model (GEM2). The main finding of this paper is that despite the segmented nature of the GCC markets, correlations of GCC countries' stocks with Developed and Emerging Markets have increased. Despite higher correlations and the large exposure of GCC markets to the Financial sector, risk forecasts for GCC markets have grown considerably less over the past year than for either Developed or Emerging Markets.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115202452","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}
{"title":"A Study of Optimal Stock & Options Strategies","authors":"M. Dash, K. V, Deepa K.M., S. S.","doi":"10.2139/ssrn.1293203","DOIUrl":"https://doi.org/10.2139/ssrn.1293203","url":null,"abstract":"Derivatives, which were originally introduced as financial instruments to hedge financial risk, are now increasingly used for speculative purposes as well. The diverse uses of derivatives arise from the skewing effect that options strategies have on the returns distribution of portfolios. In particular, it is widely believed that the performance of pure-stock portfolios can be enhanced by incorporating different options strategies, the most popular strategies being covered-call writing and protective-put buying.The present study considers a class of stock and options strategies, involving a long or short position in a stock, combined with a long or short position in an option. The study applies these strategies to a sample of one hundred and twenty-seven stocks listed in National Stock Exchange F&O segment, using corresponding stock options and tries to find out which of these strategies yields maximum returns. It also tries to relate the optimal strategies and the returns from the optimal strategies to the characteristics of the distribution of returns of the underlying stock.The findings of the study indicate the strategies that were optimal in two senses: one type of strategy that was optimal at the lowest strike price and whose payoff decreased with increase in strike price, and the other type of strategy that was optimal at the highest strike price and whose payoff increased with increase in strike price. It was found that only the standard deviation, skewness, and kurtosis of the returns distribution of the underlying stock affected the optimal strategy.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131094474","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}
{"title":"Catching Fallen Angels (and Other Expensive Credit Events)","authors":"L. Goldberg, A. Zapp","doi":"10.2139/ssrn.822888","DOIUrl":"https://doi.org/10.2139/ssrn.822888","url":null,"abstract":"We examine the efficacy of the I-squared incomplete information credit model in a broad context that is relevant to fund and asset managers. Using a rigorous statistical analysis, we show that I-squared is a powerful forecaster of the following events: - Rating agency downgrades - Investment grade to high yield downgrades - High yield defaults These statistical results translate directly into useful portfolio construction techniques. For example, we show that the number of high-yield defaults in a portfolio can be reduced dramatically by excluding a very small number of names.","PeriodicalId":335960,"journal":{"name":"MSCI Research Paper Series","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134294592","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}
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