exam7. Explain the Fama-French three-factor model. Is beta a useful measure of risk in this model? Should we rationally expect small stocks to outperform large stocks in the future? Value stocks to outperform growth stocks? Fama and French’s three factor model attempts to explain the variation of stock prices through a multifactor model that includes a size factor‚ small-minus-big (i.e. small stocks may be more sensitive to changes in business conditions than large stocks) and BE/ME factor‚ high-minus-low
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Business Strategy and Performance DFA’s business strategy relies on a few basic principles. First‚ and most importantly‚ markets are efficient. This is the pillar on which the firm is based and is supported by the fact that the fund does not use technical analysis to execute trades. Second‚ the firm believes in sound academic research. This research (from Fama‚ French‚ and Bonz) has directed the firm to invest in stocks below the 20th percentile in market cap and those with high book-to-market
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negative weight in the market G) i‚ more idiosyncratic risk than market portfolio Question 6 A) The return data of the four funds is given below. It is clear that DFA has the best risk adjusted returns as captured by the Sharpe ratio. It has the disproportionately high returns for the risk taken. So‚ in order of performance‚ the funds are enlisted below: 1) DFA 2) Diversified 3) T. Rowe Price 4) Goldman B) Using CAPM I gave regressed excess stock return with excess market
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. . . . . . . . . . . . . . . . Deterministic nite automata 2.6.1 2.6.2 Converting an NFA to a DFA . . . . . . . . . . . . . . . . Solving set equations . . . . . . . . . . . . . . . . . The subset construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.7 2.8 Size versus speed 2.8.1 2.8.2 Minimisation of DFAs Example . . . . . . .
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Understanding market efficiency. 3 Prof. Doron Avramov‚ The Jerusalem School of Business Administration‚ The Hebrew University of Jerusalem‚ Investment Management Syllabus: Contents Analyzing performance of mutual funds; Comparing properties of mutual funds and hedge funds; Examining evidence on profitable trading strategies in global and domestic markets‚ especially‚ the size‚ value‚ price momentum‚ earnings momentum‚ and volatility effects in stock prices; Forming optimal portfolios
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RSM330 Assignment 2 – Group Work Due: March 20‚ 2015 in class & online Question 1: Fundamental Analysis (Total 20 Marks) (a) i. These two companies are both in the Auto Parts and Equipment industry. ii. The auto industry sells discretionary goods‚ which consumers can afford to purchase more of in a booming economy. Therefore these companies stocks are cyclical since their price can be affected by ups and downs in the economy. (b) Magma 2012 2013 2014 Net Profit Margin 4.6% 4.5% 5.1% Asset
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Driving Forces Short Description • Driving forces analysis (DFA) is a way of understanding and accounting for change at the industry level. • ‘Drivers’ are clusters of trends that create influences on changes to an industry’s structure and a rival’s competitive conduct. FT Press 2007. All Rights Reserved. Business and Competitive Analysis. By C. Fleisher & B. Bensoussan. Ch20.3 Ch20. Driving Forces Background • DFA was developed in the 1950s as a means for helping organizations
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Hill. Henceforth this book will be referred to as BKM. We will cover three cases in this course. Case #1 Markov’s Trilemma (No. UVA-F-1341) http://store.darden.virginia.edu/markovs-trilemma Case #2 Dimensional Fund Advisors‚ 2002‚ HBS (No. 203-026) http://hbr.org/product/dimensional-fund-advisers-2002/an/203026-PDF-ENG Case #3 Ito’s Dilemma (No. UV2481) http://hbr.org/product/ito-s-dilemma/an/UV2481-PDF-ENG I will post class slides and handouts during the course on Canvas. Course Design
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History 1301: History of the United States to 1877 Section 63402 Fall 2015 01/20/15 – 05/14/15 Instructor: Dr. Ryan Pettengill E-mail: RPettengill@dcccd.edu Skype address: petteng1 Office Phone: 214-860-3618 Office: W-243 Meeting Days and Times: Online format Room: Online format Credit Hours: 3 Semester Hours Division: Communications and Social Sciences Office Phone: 214-860-8671 Office Hours: Mon.‚ Wed.‚ Fri.‚ 8 – 9 a.m. Course Description: This is a general survey of American history from colonization
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9-207-056 JANUARY 28‚ 2007 MALCOLM BAKER Multifactor Models There are two parts to this exercise. The first is to evaluate the performance of four mutual funds. And‚ the second is to estimate the cost of capital for two firms. Benchmarking Both parts of the exercise are about choosing an appropriate benchmark‚ either for evaluating past investment returns or assessing a new project. Ideally‚ a benchmark should reflect the opportunity cost‚ or the best alternative investment. If an investment manager’s
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