A market equilibrium model for the management of ordinary share portfolios

1983 ◽  
Vol 110 (01) ◽  
pp. 17-134 ◽  
Author(s):  
R. S. Clarkson
Keyword(s):  
Portfolio Management ◽  
Equilibrium Position ◽  
Market Equilibrium ◽  
Background Information ◽  
Price Model ◽  
Share Prices ◽  
Stage Of Development ◽  
New Information ◽  
Practical Implications ◽  
Ordinary Share

1.1 The price of a particular ordinary share represents an equilibrium position between the views of those participants in the market who wish to buy and those who wish to sell. Most participants, and certainly all institutional investors, have access to a vast amount of background information, and share prices adjust continuously as these participants revise their buying or selling prices in the light of new information or in the light of a changed interpretation of existing information. If an explicit price model can be developed solely from the principle that prices are in equilibrium once all participants in the market have acted on their interpretation of the information available to them, this model will be of considerable assistance in the management of ordinary share portfolios.1.2 This paper describes the construction and application of such a price model and discusses the optimal extent to which mathematical and statistical methods can be employed in portfolio management. A recent paper by Clarkson (1980) describes the stage of development that had been reached at the end of 1978; the present paper expands on the underlying concept of market equilibrium and on the practical implications for the management of institutional portfolios of ordinary shares.

scholarly journals Impacto dos Ratings de crédito nas ações de empresas de capital aberto no Brasil

2017 ◽  
Vol 16 (2) ◽  
pp. 573-602
Author(s):  
Rafaela Augusta Cunha Silveira ◽  
Renata Turola Takamatsu ◽  
Bruna Camargos Avelino
Keyword(s):  
Stock Prices ◽  
Credit Rating ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Final Analysis ◽  
Share Prices ◽  
New Information ◽  
Agency Issues ◽  
Study Methodology ◽  
The Impact

Resumo O rating de crédito expressa uma opinião, por intermédio de escalas, sobre a qualidade do crédito de empresas, utilizado-a como medida de avaliação de risco no mercado. Agências de classificação de risco de crédito, como a Moody’s, divulgam os ratings que atribuem às empresas. Primeiramente, essas agências emitem o new rating, que representa o primeiro rating da companhia, e, posteriormente, essa emissão pode apresentar variações, denominadas upgrades e downgrades, relativas a boas e más notícias, respectivamente. Além disso, os ratings podem ser colocados em uma Watchlist quando, em breve, pode haver uma mudança do rating para downgrade ou para upgrade. O objetivo com este estudo consistiu, diante do que foi tratado, em abordar o impacto do rating de crédito sobre os preços das ações de empresas listadas na bolsa de valores brasileira. Para alcançar o objetivo proposto, foi analisada uma amostra de 44 empresas comercializadas na BM&FBovespa e 65 ratings nacionais de longo prazo emitidos pela Moody’s entre 2000 e 2015. Utilizou-se a metodologia de estudo de eventos, com os retornos normais calculados pelo modelo de retornos ajustados ao risco e ao mercado, e o Teste-F e o Teste-T para verificar a significância dos resultados. As análises finais evidenciaram que os preços das ações não são afetados de forma significativa pelas divulgações dos new ratings, downgrades, upgrades, on watch – possible downgrades e on watch – possible upgrades em nenhuma janela do evento, indicando que os ratings, para a amostra analisada, não trazem novas informações ao mercado.Palavras-chave: Ações. Rating. Estudo de eventos. Retornos anormais. Abstract Credit ratings are used as a mean to investors get new information on the companies by reducing the information asymmetry in the market. Thus, the rating is an important mean of business information with investors, enabling share prices relating to companies react to it. Branches of credit rating as Moody's, disclose the ratings they assign to companies. First, the agency issues the new rating, which represents the company's first rating, then this issue may vary, upgrades and downgrades calls relating to good and bad news respectively. In addition, the ratings could be placed in a Watchlist when, soon there may be a change to the rating downgrade or upgrade. The purpose of this study was to discuss the impact that the credit rating has on stock prices of companies listed on the Brazilian stock exchange. For a sample of 44 companies traded on BM&FBovespa and 65 long-term national ratings issued by Moody's between 2000 and 2015, we used the event study methodology, with normal returns calculated by the model of returns adjusted for risk and market the F-Test and T-Test to test the significance of the results. The final analysis showed that stock prices are not significantly affected by the disclosures of new ratings, downgrades, upgrades, on watch – possible downgrades and on watch – possible upgrades in any event window, indicating that the ratings do not bring new information to the market.Keywords: Stocks. Rating. Event studies. Abnormal returns.

Pathological Fire-Setting 1951–1991: A Review

1994 ◽  
Vol 34 (1) ◽  
pp. 4-20 ◽  
Author(s):  
W Barnett ◽  
M Spitzer
Keyword(s):  
State Of The Art ◽  
Research Field ◽  
Theoretical Interpretation ◽  
Original Research ◽  
Medline Search ◽  
New Information ◽  
Poor Understanding ◽  
Conventional Literature ◽  
Practical Implications ◽  
Fire Setting

The purpose of this article is to review the whole literature on pathological fire-setting and related fields since 1951 in order to present a state of the art picture of our contemporary knowledge about this phenomenon. Papers were initially selected by using a Medline search. From the articles obtained in this way the references had to be pursued, because many relevant papers and books in this research field of different scientific and practical disciplines are not listed in conventional literature services. Finally, only those contributions were selected which provided new information when published, by original research, theoretical interpretation or practical implications. The last forty years have brought a growing body of data and understanding — especially concerning pathogical fire-setting by children — etiology, and therapy, which often proves successful. The situation remains unclear for arson by psychologically disturbed adults and we still have a poor understanding of arson without apparent motive. There is a conflict of opinion as to whether adult fire-setters are suitable for therapy and therapeutic efforts dealing with psychologically disturbed adults are rare. With increasing knowledge about child fire-setting and its successful treatment, etiological and therapeutic models for adult fire-setting behaviour may be developed. Research into the latter area should focus on both biographical and social conditions of development from childhood on as well as biological measures. Both will be reviewed here.

Propeller thrust force contribution to airplane longitudinal stability

2018 ◽  
Vol 90 (9) ◽  
pp. 1474-1478
Author(s):  
Miodrag Milenković-Babić
Keyword(s):  
Stability Analysis ◽  
Thrust Force ◽  
Standard Procedure ◽  
Longitudinal Stability ◽  
Content Type ◽  
Additional Information ◽  
New Information ◽  
Practical Implications ◽  
Theoretical Results ◽  
Propeller Thrust

Purpose This paper aims to present the new information about propeller thrust force contribution to airplane longitudinal stability analysis. Design/methodology/approach The method presented in this paper is empirical, shows how propeller thrust force derivative can be obtained and gives some additional information about misinterpretation of the propeller thrust effects that are present in the current literature. Findings New information about propeller thrust force contribution to airplane longitudinal stability analysis has been presented. This information should enable more precise insight in aircraft stability analysis and better understanding of the physical process that occurs during maneuver flight. Practical implications The information presented in this paper is new and specific to the propeller aircraft configuration. The methods used here are standard procedure to evaluating propeller thrust force derivative. Originality/value The information in this paper presents theoretical results. The method for calculating thrust force contribution to the airplane longitudinal stability is given depending on the propeller type and should enable good engineering results.

Practical Implications of the 2016 Revision of the World Health Organization Classification of Lymphoid and Myeloid Neoplasms and Acute Leukemia

2017 ◽  
Vol 35 (23) ◽  
pp. 2708-2715 ◽  
Author(s):  
John P. Leonard ◽  
Peter Martin ◽  
Gail J. Roboz
Keyword(s):  
Acute Leukemia ◽  
Clinical Trial Design ◽  
Daily Practice ◽  
World Health ◽  
Myeloid Neoplasms ◽  
New Information ◽  
Health Organization ◽  
Key Aspects ◽  
Practical Implications

A major revision of the WHO classification of lymphoid and myeloid neoplasms and acute leukemia was released in 2016. A key motivation for this update was to include new information available since the 2008 version with clinical relevance for the diagnosis, prognosis, and therapy of patients. With > 100 entities described, it is important for the clinician to understand features that may be important in daily practice, whereas researchers need to incorporate the new classification scheme into study development and analysis. In this review, we highlight the key aspects of the 2016 update with particular importance to routine patient care and clinical trial design.

The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market

2020 ◽  
Vol 28 (Supp01) ◽  
pp. 99-111
Author(s):  
Bao Quoc Ta ◽  
Thao Vuong
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Market Equilibrium ◽  
Management Model ◽  
Optimal Portfolios ◽  
Allocation Model ◽  
Allocation Process ◽  
Allocation Decisions

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

Remarks about factors shaping the heliosphere

2018 ◽  
Vol 92 (3) ◽  
pp. 329-335
Author(s):  
Romana Ratkiewicz ◽  
Wojciech Konior ◽  
Jan Kotlarz
Keyword(s):  
Status Report ◽  
Physical Processes ◽  
Content Type ◽  
General Review ◽  
New Information ◽  
Conceptual Paper ◽  
First Time ◽  
Practical Implications ◽  
Theoretical Results

Purpose The purpose of the paper is to give a brief description of the new topic introduced for the first time at the EASN Conferences. Design/methodology/approach The topic concerns the heliosphere, the nearest surrounding of the Sun and thus the nearest vicinity of the Earth. The heliosphere is created due to the interaction between the solar wind and the local interstellar medium. Findings This paper does not include any new information about the heliosphere and only introduces a new topic to this journal. It is briefly shown how heliospheric structures are formed, what factors affect a shape of the heliosphere, what measurements are made by Ulysses, Voyager and IBEX space missions (important for the heliosphere modeling) and how obtained data are used to validate theoretical results. Practical implications To categorize the paper under one of these classifications, research paper, viewpoint, technical paper, conceptual paper, case study, literature review or general review, the authors chose a paper type, general review, as the closest category to this paper. However, it is not a purpose of this paper to provide an extensive review of the community efforts to investigate the physical processes in the vicinity of the heliosphere interface. This is mostly a status report. Originality/value As the new topic in this journal, the article introduces in detail only a small number of aspects connected with heliosphere models. Interplanetary and interstellar magnetic field structures are primarily described. Other factors are only mentioned.

Structuring stock investment funds with a limited number of qualified students

2019 ◽  
Vol 46 (4) ◽  
pp. 499-512
Author(s):  
David A. DeBoeuf
Keyword(s):  
Portfolio Management ◽  
Portfolio Performance ◽  
Investment Funds ◽  
Classroom Structure ◽  
Entrance Exam ◽  
Content Type ◽  
Student Preparedness ◽  
Stock Investment ◽  
Short Period ◽  
Practical Implications

Purpose The purpose of this paper is to outline the problems encountered by a student-managed investment program (SMIP) when the pool of qualified finance majors is limited in number. Restructuring the program to a single-semester course and opening the class to motivated/intelligent non-finance majors increased the number of applicants, but resulted in alternative difficulties, particularly time constraints and inadequate student preparedness. A prerequisite exam and regimented classroom structure were the solutions. Design/methodology/approach The paper discusses the problems encountered and solutions devised to address the early year difficulties experienced by a newly developed SMIP at a relatively small university. The core of the paper chronicles the classroom approach to solving the main problem of a single-semester portfolio management course, the handling of an investment learning curve in a short period of time. Findings Though empirically limited due to the program’s infancy, portfolio performance has been encouraging and student feedback exceptional. Regarding the former, stocks purchased by the fund have created greater wealth in total than that of equal dollar investments in an S&P500 index fund. Practical implications Universities interested in running a student-managed fund should feel secure in a one-semester approach, regardless of talent pool size, as measured by the number of motivated, intelligent finance majors. Originality/value Aside from the uniqueness of requiring a mastery of entrance exam investing materials prior to the first class, this paper’s outline of core portfolio management activities includes several strategies and methods meant to streamline the process within a groupthink design.

Shaping the event portfolio management field: premises and integration

2020 ◽  
Vol 32 (11) ◽  
pp. 3523-3544
Author(s):  
Vassilios Ziakas ◽  
Donald Getz
Keyword(s):  
Portfolio Management ◽  
Industrial Development ◽  
Common Ground ◽  
Academic Disciplines ◽  
Complex Nature ◽  
Multiple Stakeholders ◽  
Content Type ◽  
Stage Of Development ◽  
Scoping Literature Review ◽  
New Ideas

Purpose This paper aims to examine how various academic disciplines shape the field of event portfolio management. Given the complex nature of portfolios comprising different genres that are studied separately from their respective disciplinary realms, the academic event portfolio landscape remains fragmented. This is against the nature of portfolios, which requires inter-disciplinarity and novel integration of genres, stakeholders and perspectives. Design/methodology/approach Based on a scoping literature review, this conceptual paper sets up a common ground for the academic study and industrial development of event portfolio management. Findings A comprehensive view of event portfolio literature across disciplines reveals its hypostasis as a compound transdisciplinary field. The authors suggest a set of foundational premises whereby they identify 22 principal thematic areas that comprise this emerging field. Practical implications The establishment of event portfolio management as a distinct field will help in the osmosis and diffusion of new ideas, models and best practices to run and leverage portfolios. The portfolio perspective highlights the need for cohesive learning to design comprehensive systems of events, implement joint strategies, solidify social networks, coordinate multiple stakeholders and develop methods of holistic evaluation. Originality/value By examining comprehensively event portfolio management as a transdisciplinary field, the authors have been able to identify principal research directions and priorities. This comprehensive analysis provides a synergistic ground, which at this embryonic stage of development, can be used to set out joint trajectories and reciprocal foci across the whole span of scholarship studying planned series of events.

Investing in change

2017 ◽  
Vol 33 (10) ◽  
pp. 7-9
Keyword(s):  
Information Sharing ◽  
Design Methodology ◽  
Reading Time ◽  
Content Type ◽  
Share Prices ◽  
The Road ◽  
Oak Trees ◽  
Bona Fide ◽  
Pertinent Information ◽  
Practical Implications

Purpose This paper aims to review the latest management developments across the globe and pinpoint practical implications from cutting-edge research and case studies. Design/methodology/approach This briefing is prepared by an independent writer who adds their own impartial comments and places the articles in context. Findings The Financial Times newspaper, founded in London in 1888, started life in competition with a rival financial daily, as well as its distinctive pink paper, sought to differentiate itself by being the friend of the “honest financier, the bona fide investor”. From such admirable roots do oak trees grow, and the newspaper is worth well over $1bn itself after a storied history as one of the cornerstones of business and economics. But aside from the share prices, inside gossip, and educated opinion on performance in the financial centers of the road, have you ever stopped to wonder why so many people still read it in an era of instant data and information sharing? Practical implications The paper provides strategic insights and practical thinking that have influenced some of the world’s leading organizations. Originality/value The briefing saves busy executives and researchers hours of reading time by selecting only the very best, most pertinent information and presenting it in a condensed and easy-to-digest format.

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