The behaviour of the distributions of stock returns: an analysis of the European market using the Pearson system of continuous probability distributions

2012 ◽  
Vol 22 (20) ◽  
pp. 1743-1752 ◽  
Author(s):  
F. Pizzutilo
Keyword(s):  
Stock Returns ◽  
Probability Distributions ◽  
European Market ◽  
Pearson System

Robust stock and bond allocation with end-of-horizon effects

2019 ◽  
Vol 53 (1) ◽  
pp. 1-28
Author(s):  
Michael Dziecichowicz ◽  
Aurélie C. Thiele
Keyword(s):  
Stock Returns ◽  
Portfolio Management ◽  
Time Horizon ◽  
Optimal Allocation ◽  
Probability Distributions ◽  
Poor Performance ◽  
Dynamic Allocation ◽  
Fund Management ◽  
Worst Case ◽  
Precise Knowledge

We propose an approach to portfolio management over a finite time horizon that (i) does not require the precise knowledge of the underlying probability distributions, instead relying on range forecasts for the stock returns, and (ii) allows the fund manager to capture the degree of the investor’s risk aversion through a single, intuitive parameter called the budget of uncertainty. This budget represents the worst-case number of time periods with poor performance that the investor is willing to plan for. An application of this setting is target-date funds for pension fund management. We describe an efficient procedure to compute the dynamic allocation between (riskless) bonds and (riskier) stocks at each time period, and we illustrate the risk-to-time-horizon tradeoff on optimal allocation tables, which can easily be provided to fund participants to help them select their strategy. The proposed approach refines rules implemented by practitioners and provides an intuitive framework to incorporate risk in applications with end of horizon effects. In contrast with existing literature providing robust fund management approaches to mathematically sophisticated finance professionals, our goal is to provide a simple framework for less quantitative fund participants who seek to understand how stock return uncertainty and planned retirement date affect the optimal stock-vs-bond allocation in their portfolio. We extend our procedure to the case when the investor’s wealth is penalized for falling short of performance benchmarks across the time horizon. We also discuss the case where the manager can invest in multiple stocks. Numerical results are provided.

The empirical distribution of stock returns: evidence from an emerging European market

2001 ◽  
Vol 8 (6) ◽  
pp. 367-371 ◽  
Author(s):  
Richard D. F. Harris ◽  
C. Coskun Küçüközmen
Keyword(s):  
Stock Returns ◽  
Empirical Distribution ◽  
European Market

Asteroid and Comet Impact Speeds upon Mars: Significance for Panspermia and the Supply of Organics

1997 ◽  
Vol 161 ◽  
pp. 197-201 ◽  
Author(s):  
Duncan Steel
Keyword(s):  
Probability Distributions ◽  
Regions Of Interest ◽  
Significant Fraction ◽  
Organic Chemicals ◽  
Impact Speed ◽  
The Mean ◽  
The Impact

AbstractWhilst lithopanspermia depends upon massive impacts occurring at a speed above some limit, the intact delivery of organic chemicals or other volatiles to a planet requires the impact speed to be below some other limit such that a significant fraction of that material escapes destruction. Thus the two opposite ends of the impact speed distributions are the regions of interest in the bioastronomical context, whereas much modelling work on impacts delivers, or makes use of, only the mean speed. Here the probability distributions of impact speeds upon Mars are calculated for (i) the orbital distribution of known asteroids; and (ii) the expected distribution of near-parabolic cometary orbits. It is found that cometary impacts are far more likely to eject rocks from Mars (over 99 percent of the cometary impacts are at speeds above 20 km/sec, but at most 5 percent of the asteroidal impacts); paradoxically, the objects impacting at speeds low enough to make organic/volatile survival possible (the asteroids) are those which are depleted in such species.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Geographic Concentration of Firm’s Income-Producing Assets and Stock Returns

2018 ◽  
Author(s):  
Stanimira Milcheva ◽  
Yildiray Yildirim ◽  
Zhu Bing
Keyword(s):  
Stock Returns ◽  
Geographic Concentration
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