Socially responsible investing is becoming more popular among people because are concerned about the environment and society. investors screen company by considering ESG factors. The question raced whether socially improves portfolio performance how funds perform during uncertain times like Covid-19 pandemic. Since many critics of say that funds’ highly depends on Software Service stocks, so re...

I propose a theoretical and empirical framework to decompose the price-to-book ratio into a fundamental component and a discount-rate component. Firms with good accounting fundamentals have high price-to-book ratios and high subsequent stock returns, while firms with low discount rates have high price-to-book ratios and low subsequent stock returns. Since the price-to-book ratio is the sum of t...

This research aims to test and empirically analyze industrial performance as reflected in the of stocks listed Jakarta Islamic Index using risk adjusted return ratio, Sharpe, Treynor Jensen alpha.Analysis for hypothesis testing purposive sampling method. The population this is all sharia indexes on (JII) Indonesia. period information that object weekly index from April 2019 December 2020, total...

51 English translation © 2002 M.E. Sharpe, Inc., from the Russian text © 2001 V.M. Bekhterev Psychoneurological Research Institute. “Biopsikhosotsial’naia model’ shizofrenii,” Sbornik nauchnykh trudov Sankt-Peterburgskogo nauchnoissledovatel’skogo psikhonevrologicheskogo instituta im. V.M. Bekhtereva, 2001, 137, 230–41. Translated by the author. The author is associated with the V.M. Bekhterev ...

This paper investigates parametric pricing kernels for interest rate options within the intertemporal CAPM framework. The usual GMM estimation produces problematic pricing kernels that either fail statistical robustness tests or are inconsistent with economic theory in terms of being hump-shaped and having negative segments. Adopting the second Hansen-Jagannathan (HJ) distance, the four-term po...

W document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings...

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets held in large positions. The cost of the no-shortselling constraint increases dramatically with the num...

Abstract This study forms an optimal portfolio using a single index model on LQ45 stocks and compares its performance before during the Covid-19 pandemic. Return, risk, Sharpe ratio, Treynor ratio are compared between period The calculation of excess return to beta results obtains three that make up (2016 2021), namely ANTM, BBCA, INCO, with sequential proportions 89.87%, 1.96%, 8.17%. differen...

English translation © 2006 M.E. Sharpe, Inc., from the Russian text “Lichnost’, kul’tura, iazyk,” in Iazyk i rechevaia deiatel’nost’ v obshchei i pedagogicheskoi psikhologii (Moscow and Voronezh: IPO MODEK, 2001), pp. 119–28. 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, pp. 47–56....

This research note aims to prompt a debate over the asset-light strategy that hotels are increasingly implementing nowadays. First, it evaluates impact of an model on hotel firms’ returns, return volatility, and Sharpe ratio, based annual data from 1970 2018 65 U.S. public firms. Evidence shows going has no significant companies’ performance. Second, study offers possible explanations behind su...