PPT-Does Academic Research Destroy Stock Return

Predictability R David McLean Alberta Jeffrey Pontiff BOSTON College Risk 2015 March 31 2015 Generously supported by the Dauphine Amundi Chair in Asset Management Academic research . 134A Fall . 2012. Test 2 solution sketches. Average: 41.68 points. What counts as 100%: 54.55 points. (2 students with 55 points; this also counts as 100%). Joe . Izu. takes out a car loan of $50,000 today. (chapter . 10). Present value approach. Capitalization of expected income. Intrinsic value based on the discounted value of the expected stream of cash flows. Multiple of earnings approach. Valuation relative to a financial performance measure. DESTROY F.A.Q. !"Destroy is significantly different to that of other products on the market place because no other product has been subjected to the rigours of the Australian Government’s Austra 1:00 Lecture, Version A. Note for multiple-choice questions: Choose the closest answer. PV of Perpetuity. If Alexia receives $1,000 per year, forever, starting nine months from now, what is the total PV of all payments? Assume a stated annual interest rate of 16%, compounded every three months.. Chapter 11. Topics. Chapter 10:. Looked at past data for stock markets. There is a reward for bearing risk. The greater the potential reward, the greater the risk. Calculated averages so we have typical value. Stock Valuation . Fundamental. Analysis – looks at financials, product, mgt., history, etc.. PE ratio – . Price / E.P.S.. Zero-Growth Dividend (preferred stock). Constant Growth Dividend (DCF). Nonconstant. ch14. Company Analysis vs. Stock Valuation. Good companies are not necessarily good . investments. Why?. Compare the intrinsic value of a stock to its market . value. Stock of a great company may be . 11:00 Lecture, Version A. Note for multiple-choice questions: Choose the closest answer. Geometric Average. On Nov. 1, 2013, . Slacky. Green Slacks was worth $100 per share. On Nov. 1, 2001, it was worth $50 per share. What is the geometric average rate of return over this 12-year period?. Stock Market Equilibrium. 2. Topics in Chapter. Features of common stock. Valuing common stock. Preferred stock. Stock market equilibrium. Efficient markets hypothesis. Implications of market efficiency for financial decisions. TIME VALUE OF MONEY. Bill plans to fund his individual retirement account (IRA) with a contribution of $2,000 at the end of each year for the next 20 years. If Bill earns 12% on his contributions, how much will he have at the end of the 20th year?. Multiple Choice #1. Three stocks have annual returns of 8%, 12%, and 16%. The variance of this sample is. Average . Variance .  . Multiple Choice #2. Amy invested $1 in a company 50 years ago. This investment is worth $60 today. What is the geometric average annual return on this investment?. FIGURE 1Stock Market Participation across Income Groups10090800Participation Rate USConnecticutMississippi1000000or more500000 to200000 to100000 to75000 to50000 to25000 to10000 to1 toSOURCES IRS146 20 Ch. 13. we have concentrated mainly on the return behavior of a few large portfolios. We need to expand our consideration to include individual assets. .. Specifically. , we have two tasks to accomplish. . Assume a perpetuity that pays an annual coupon C with a required return of R. Show a graph that illustrates how the price of the perpetuity changes over time.. 1. Discrete versus continuous time.. Debt.