JER, 第 11 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2006 |
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第 1 到 3 筆結果,共 24 筆
第 11 頁
... portfolio . Though the ranking of certain set of random returns may be distorted by mean - variance approximations , it might be possible for the preference value of the op- timum portfolio derived from the mean - variance ...
... portfolio . Though the ranking of certain set of random returns may be distorted by mean - variance approximations , it might be possible for the preference value of the op- timum portfolio derived from the mean - variance ...
第 303 頁
... portfolio returns are constructed for the sample period from July 1993 to June 2001 . Using the portfolio returns , I examine whether the risk exposures of stock returns differ across the portfolio returns . If firms use interest rate ...
... portfolio returns are constructed for the sample period from July 1993 to June 2001 . Using the portfolio returns , I examine whether the risk exposures of stock returns differ across the portfolio returns . If firms use interest rate ...
第 306 頁
... portfolios are consistent with the findings in previous sections . Taken together , swap user portfolio returns are less exposed to in- terest rate risk while more exposed to risks embodied in hml . In this sense , the use of interest ...
... portfolios are consistent with the findings in previous sections . Taken together , swap user portfolio returns are less exposed to in- terest rate risk while more exposed to risks embodied in hml . In this sense , the use of interest ...
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analysis asset risks assume assumption capacity utilization capital stock cash flows cointegrated correlation cost currency composition currency hedge debt debt-asset ratio depreciation derivatives econometric effect EIA experts empirical environmental accidents equation equilibrium expected exponential utility firm's foreign financial assets foreign firm futures market futures prices G(st Hanyang University home and foreign home firm home government i'th currency impulse response incentive increase industry interest rate swaps investment Korea Kt+1 lagged learning-by-doing linear lobbying activity LSTAR model marginal measures non-users null hypothesis optimal subsidy output shock parameters period-1 portfolio precommit predictability price-dividend ratio probability of default production profits prospect theory Real Business Cycle regime regression relative Response of STOCK risk aversion risk exposures risk management second period significant spillover spot price standard deviation statistic stock prices stock returns strategic swap users Table Teräsvirta tion trade transition function utility function volatility