working papers are produced by the Bradford University School of Management and are to be circulated for discussion purposes only. Their contents should be considered to be preliminary. The papers are expected to be published in due course, in a revised form and should not be quoted without the author's permission. ABSTRACT This paper studies the economic significance of stock and bond return p...

We analyze the risk characteristics and the valuation of assets in an economy in which the investment opportunity set is described by the real interest rate and the maximum Sharpe ratio. It is shown that, holding constant the beta of the underlying cash flow, the beta of a security is a function of the maturity of the cash flow. For parameter values estimated from U.S. data, the security beta i...

Tujuan dari penelitian ini untuk menganalisis tingkat efisiensi pasar modal bentuk kuat di Indonesia dengan melakukan perbandingan antara kinerja saham reksa dana saham. Jenis data pada adalah kuantitatif yaitu sekunder dalam harian tahun 2021. Metode yang digunakan Jensen Index, Sharpe Treynor Ratio, Information Ratio dan Sortino Ratio. Hasil menunjukkan bahwa tidak berada kuat. Maka implikasi...

This paper examines the fundamental building blocks of Sharpe ratio to debate over economic interpretation this well-known tool used measure risk-adjusted performance various financial portfolios and funds. It focuses on expected return an investment versus a benchmark portfolio (or index) return. By leveraging set statements assumptions, I isolate information content as expression from alpha. ...

30 English translation © 2006 M.E. Sharpe, Inc., from the Russian text “‘Edinitsy’ i urovni deiatel’nosti,” in Iazyk i rechevaia deiatel’nost’ v obshchei i pedagogicheskoi psikhologii (Moscow and Voronezh: IPO MODEK, 2001), pp. 66– 82. Published with the permission of Dmitry A. Leontiev. Translated by Nora Favorov. Journal of Russian and East European Psychology, vol. 44, no. 3, May–June 2006, ...

Nowaday, Corporate Socially Responsible (CSR) mutual funds are becoming a popular investment option for investors. However, no any research confirms whether CSR Mutual fund activity is better than market index or not. Besides, we should have one method can help con sequently investors in making the decision to select appropriate investment funds. In this study, we measure the financial performa...

In modern conditions, the integration of ESG-criteria into investment decisions asset managers is considered as a key factor in sustainable economic development. We examine effectiveness Momentum-ESG strategy based on Responsibility and Openness Index comparison with Momentum strategy, which Moscow Exchange Broad Market Index, since December 2011 to 2020. propose an algorithm for integrating ES...