Archivio per 16 novembre 2013

16
Nov
13

Rewrite the Finance Textbook: Low Risk Offers High Return

See on Scoop.itBounded Rationality and Beyond

As investment professionals, we were taught wrong. We were taught capital asset pricing model (CAPM) and efficient market hypothesis (EMH), which are overly simplistic. And contrary to what we were taught, low-volatility stock portfolios consistently outperform. This was the bold assertion made by Nardin Baker, CFA, chief investment strategist at Guggenheim Partners, who spoke to a hall full of investment professionals at the CFA UK Annual Conference 2013.

Referring to “Low Risk Stocks Outperform within All Observable Markets of the World,” a research paper he coauthored with Robert A. Haugen, Baker added that not only do these low-volatility stock portfolios outperform, but they also outperform in all equity markets of the world across time. Baker and Haugen’s study extends from 1990 to 2011 and covers stocks in 21 developed markets and 12 emerging markets.

 

See on blogs.cfainstitute.org

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16
Nov
13

Rewrite the Finance Textbook: Low Risk Offers High Return

See on Scoop.itBounded Rationality and Beyond

As investment professionals, we were taught wrong. We were taught capital asset pricing model (CAPM) and efficient market hypothesis (EMH), which are overly simplistic. And contrary to what we were taught, low-volatility stock portfolios consistently outperform. This was the bold assertion made by Nardin Baker, CFA, chief investment strategist at Guggenheim Partners, who spoke to a hall full of investment professionals at the CFA UK Annual Conference 2013.

Referring to “Low Risk Stocks Outperform within All Observable Markets of the World,” a research paper he coauthored with Robert A. Haugen, Baker added that not only do these low-volatility stock portfolios outperform, but they also outperform in all equity markets of the world across time. Baker and Haugen’s study extends from 1990 to 2011 and covers stocks in 21 developed markets and 12 emerging markets.

 

See on blogs.cfainstitute.org

16
Nov
13

Stirling Behavioural Science Blog : Summary of Emotion Lecture

See on Scoop.itBounded Rationality and Beyond

a set of lectures as part of a module “Behavioural Economic: Concepts and Theories” in Stirling. I am posting brief informal summaries of some of these lectures on the blog to generate discussion. Thanks to Mark Egan for a lot of help in putting these together online.

See on economicspsychologypolicy.blogspot.it

16
Nov
13

Stirling Behavioural Science Blog : Summary of Emotion Lecture

See on Scoop.itBounded Rationality and Beyond

a set of lectures as part of a module “Behavioural Economic: Concepts and Theories” in Stirling. I am posting brief informal summaries of some of these lectures on the blog to generate discussion. Thanks to Mark Egan for a lot of help in putting these together online.

See on economicspsychologypolicy.blogspot.it

16
Nov
13

The Fallibility of Efficient Markets Theory

See on Scoop.itBounded Rationality and Beyond

It’s long past time for professional investors to set aside the efficient market hypothesis (EMH) as the basis of most asset management strategies, according to Paul Woolley, a senior fellow at the London School of Economic and Political Science. Noting that earlier, on the first day of the Sixth Annual European Investment Conference, keynote speakerMartin Wheatley had discussed ethics, trust, and governance, Woolley dismissed those issues as secondary to the primary problem — the intellectual framework in which finance is conducted. “I blame the academic theory of efficient markets for the successive crises we’ve had,” Woolley said.

See on eic.cfainstitute.org

16
Nov
13

The Fallibility of Efficient Markets Theory

See on Scoop.itBounded Rationality and Beyond

It’s long past time for professional investors to set aside the efficient market hypothesis (EMH) as the basis of most asset management strategies, according to Paul Woolley, a senior fellow at the London School of Economic and Political Science. Noting that earlier, on the first day of the Sixth Annual European Investment Conference, keynote speakerMartin Wheatley had discussed ethics, trust, and governance, Woolley dismissed those issues as secondary to the primary problem — the intellectual framework in which finance is conducted. “I blame the academic theory of efficient markets for the successive crises we’ve had,” Woolley said.

See on eic.cfainstitute.org




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