Long-term investors and valuation-based asset allocation
نویسندگان
چکیده
منابع مشابه
Long-Term Institutional Investors and social
the investment horizons of institutional investors can affect monitoring incentives which might ultimately make an impact on firm CSR decisions. Hence, this paper investigates the effects of institutional investor’s investment horizons on CSR activities.This research has been carried out using annual data of companies accepted in Tehran Stock Exchange during the period of 2011-2018. By screenin...
متن کاملInternational Asset Allocation for Incompletely-informed Investors
In this study, we attempt to explain the home bias puzzle by examining the effect of information quality on the asset allocation decisions taken by agents under the assumption that two types of agents possess different information on the true expected returns of home and foreign assets. Our calibration results based on MSCI data indicate that in order to hedge for the changing quality of the in...
متن کاملRobust Asset Allocation for Long-Term Target-Based Investing
4 This paper explores dynamic mean-variance asset allocation over long horizons. This is 5 equivalent to target-based investing with a quadratic loss penalty for deviations from the target 6 level of terminal wealth. We provide a number of illustrative examples in a setting with a 7 risky stock index and a risk-free asset. Our underlying model is very simple: the value of the 8 risky index is a...
متن کاملAsset allocation decisions of mutual fund investors
I extend the Warther (1995) evidence to show that stock market returns are related to contemporaneous flows into mutual funds that invest in risky stocks and bonds, but are unrelated to flows into funds that invest in safer stocks and bonds. I examine whether common sources of predictability in returns and flows can explain this contemporaneous relation. I find that variables with predictive ab...
متن کاملShort-Term Generation Asset Valuation
In this paper we present a method for valuing a power plant over a short term period using Monte Carlo sim ulation The power plant valuation problem is formu lated as a multi stage stochastic problem We assume there are hourly markets for both electricity and the fuel used by the generator and their prices follow some Ito processes At each hour the power plant opera tor must decide to run or no...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2012
ISSN: 0960-3107,1466-4305
DOI: 10.1080/09603107.2011.648317