منابع مشابه
COMMON STOCKS AND uSAFETY OF PRINCIPAL"
WRITERS ON INVESTMENT theory and practice seem to be almost universally agreed on the fact that one of the crucial general tests of investment quality is "safety of principal." For instance, in their outstanding work on investment analysis, Graham and Dodd make "safety of principal" an essential element in their definition of an investment commitment; the proposition is advanced that unless a c...
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1 This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) estimators in this context. The results of the paper allow for any form of cross-section dependence and heterogeneity across population units. The probability limits of the LS estimators ...
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Detecting outlying observations is an important step in any analysis, even when robust estimates are used. In particular, the robustified Mahalanobis distance is a natural measure of outlyingness if one focuses on ellipsoidal distributions. However, it is well known that the asymptotic chi-square approximation for the cutoff value of the Mahalanobis distance based on several robust estimates (l...
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This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect’ has been in existence for at least forty years and is evidence that the capital asset pricing model is misspecttied. The size elfect is not linear in the market ...
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Functional principal component analysis (FPCA) based on the Karhunen–Loève decomposition has been successfully applied in many applications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not only by the theoretical challenge of this data situation, but also by the actual question of dynamics of...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1950
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1950.tb03802.x