Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique

2021 ◽  
Author(s):  
Robert (Bob) Korkie ◽  
Harry J. Turtle
Keyword(s):  
Asset Pricing ◽  
Investment Opportunity ◽  
Opportunity Sets

scholarly journals Portfolio Theory forα-Symmetric and Pseudoisotropic Distributions:k-Fund Separation and the CAPM

2015 ◽  
Vol 2015 ◽  
pp. 1-11 ◽  
Author(s):  
Nils Chr. Framstad
Keyword(s):  
Asset Pricing ◽  
Dynamic Models ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Investment Opportunity ◽  
Multivariate Distributions ◽  
Asset Pricing Model ◽  
Intermediate Consumption ◽  
Secondary Interest

The shifted pseudoisotropic multivariate distributions are shown to satisfy Ross’ stochastic dominance criterion for two-fund monetary separation in the case with risk-free investment opportunity and furthermore to admit the Capital Asset Pricing Model under an embedding inLαcondition if1<α≤2, with the betas given in an explicit form. For theα-symmetric subclass, the market without risk-free investment opportunity admits2d-fund separation ifα=1+1/(2d-1),d∈N, generalizing the classical elliptical cased=1, and we also give the precise number of funds needed, from which it follows that we cannot, except degenerate cases, have a CAPM without risk-free opportunity. For the symmetric stable subclass, the index of stability is only of secondary interest, and several common restrictions in terms of that index can be weakened by replacing it by the (no smaller) indices of symmetry/of embedding. Finally, dynamic models with intermediate consumption inherit the separation properties of the static models.

scholarly journals PERAN PROFITABILITAS DALAM MEMEDIASI PENGARUH FINANCIAL LEVERAGE DAN INVESTMENT OPPORTUNITY SET TERHADAP KEBIJAKAN DIVIDEN DI BURSA EFEK INDONESIA

2018 ◽  
pp. 143
Author(s):  
Ni Made Dewi Puspita Sari ◽  
I Gusti Bagus Wiksuana
Keyword(s):  
Dividend Policy ◽  
Stock Exchange ◽  
Secondary Data ◽  
Manufacturing Companies ◽  
Investment Opportunity ◽  
Financial Leverage ◽  
Opportunity Sets ◽  
Analysis Technique ◽  
Investment Opportunity Set

The purpose of this study was to determine the role of profitability in mediating the effect of financial leverage and investment opportunity set on the dividend policy. The populations in this study were manufacturing companies listed on the Indonesia Stock Exchange. The sampling of the research was done by census and the number of samples were 12 companies. The data of research were secondary data obtained from Indonesia Stock Exchange website and Indonesian Capital Market Directory from 2011 to 2015. Testing of research hypothesis was conducted by using path analysis technique by tool of SPSS application.The results showed that financial leverage has a negative and significant effect on dividend policy. Investment opportunity set has negative and insignificant effect on dividend policy. Financial leverage has a positive and significant impact on profitability. Investment opportunity sets also have a positive and significant impact on profitability. Profitability has a positive and significant effect on dividend policy. Profitability is able to mediate the effect of financial leverage and investment opportunity set on dividend policy.

The Determinants of Performance Plan Adoption

1995 ◽  
Vol 10 (3) ◽  
pp. 655-676 ◽  
Author(s):  
John A. Brozovsky ◽  
Parvez R. Sopariwala
Keyword(s):  
Executive Compensation ◽  
Agency Costs ◽  
Stock Options ◽  
Matched Pair ◽  
Logit Analysis ◽  
Investment Opportunity ◽  
Opportunity Sets ◽  
Long Term Performance ◽  
Term Performance

Executive compensation schemes are expected to reduce agency costs by aligning the interests of stockholders and managers. We attempt to determine the characteristics of companies that adopt long-term performance plans. Using a matched-pair design, we conduct a multivariate logit analysis that is weighted to take into account the choice-based nature of the sample. Our results suggest that performance plans may have been adopted to complement the inadequate compensation derived from stock options. In addition, we find that performance plans are more likely to be adopted by companies who have smaller investment opportunity sets and have older managers who are underinvesting in R&D expenditures.

Measuring multidimensional investment opportunity sets with 10-K text

2021 ◽  
Author(s):  
Sudipta Basu ◽  
Xinjie Ma ◽  
Hoa Briscoe-Tran
Keyword(s):  
Information Technology ◽  
Fixed Effects ◽  
Predictive Power ◽  
Investment Opportunity ◽  
Corporate Policies ◽  
Related Variation ◽  
Opportunity Sets ◽  
Dependent Variables ◽  
Out Of Sample ◽  
Specific Factors

We show that firms' investment opportunity sets (IOS) are multidimensional. Analyzing Form 10-K texts, we identify 445 unique keywords that predict firms' future investments during 1995-2009 and combine them into 43 underlying factors. Industry-specific factors include BioPharma, Banking, Information Technology, Oil & Gas and Retail Stores, while more general factors include Equity Intensity, Debt Intensity, Lease, Going Concern and Acquisition. These factors form our multidimensional measures of IOS. They outperform Tobin's Q and/or industry fixed effects, in predicting future out-of-sample (2010-15) investments and related corporate policies, and even inform incrementally over lagged dependent variables. We trace the factors' improved predictive power to their multidimensional nature, which captures IOS-related variation within and between industries, and stability in IOS that allows 10-K texts to be more informative.

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