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Average Returns (average + return)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting83%

Selected Abstracts

Average Returns, B/M, and Share Issues

THE JOURNAL OF FINANCE, Issue 6 2008
EUGENE F. FAMA
ABSTRACT The book-to-market ratio (B/M) is a noisy measure of expected stock returns because it also varies with expected cashflows. Our hypothesis is that the evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns. The tests support this hypothesis, with results that are largely but not entirely similar for Microcap stocks (below the 20th NYSE market capitalization percentile) and All but Micro stocks (ABM). [source]

An alternative approach to estimate the wage returns to private-sector training

JOURNAL OF APPLIED ECONOMETRICS, Issue 4 2008
Edwin Leuven
This paper follows an alternative approach to identify the wage effects of private-sector training. The idea is to narrow down the comparison group by only taking into consideration the workers who wanted to participate in training but did not do so because of some random event. This makes the comparison group increasingly similar to the group of participants in terms of observed individual characteristics and the characteristics of (planned) training events. At the same time, the point estimate of the average return to training consistently drops from a large and significant return to a point estimate close to zero. Copyright © 2008 John Wiley & Sons, Ltd. [source]

The value of observations.

THE QUARTERLY JOURNAL OF THE ROYAL METEOROLOGICAL SOCIETY, Issue 628 2007
II: The value of observations located in singular-vector-based target areas
Abstract Data-assimilation experiments have been run in seven different configurations for two seasons to assess the value of observations taken in target regions identified either using singular vectors (SVs) or randomly, and located over the Pacific or the Atlantic Oceans. The value has been measured by the relative short-range forecast error reduction in downstream areas, specifically a North American region for observations taken in the Pacific Ocean, and a European region for observations taken in the Atlantic Ocean. Overall, results have indicated (1) that observations taken in SV-target areas are on average more valuable than observations taken in randomly selected areas, (2) that it is important that the daily set of singular vectors are used to compute the target areas, and (3) that the value of targeted observations depends on the region, the season and the baseline observing system. If the baseline observing system is data-void over the ocean, then the average value of observations taken in SV-target areas is very high. Considering for example winter 2004, SV-targeted observations over the Pacific (Atlantic) reduce the day-2 forecasts error of 500 hPa geopotential height forecasts in the verification region by 27.5% (19.1%), compared to 15.7% (14.9%) for observations taken in random areas. By contrast, if the baseline observing system is data-rich over the ocean, then the average value of observations taken in SV-target areas is rather small. Considering for example winter 2004, it has been estimated that adding SV-targeted observations over the Pacific (Atlantic) would reduce, on average, the day-2 forecasts error in the verification region by 4.0% (2.0%), compared to 0.5% (1.7%) for observations in random areas. These average results have been confirmed by single-case investigations, and by a careful examination of time series of forecast errors. These results indicate that more accurate assimilation systems that can exploit the potential value of localized observations are needed to increase the average return of investments in targeting field experiments. Copyright © 2007 Royal Meteorological Society [source]

Growth of Participant Direction in Defined Contribution Plans

INDUSTRIAL RELATIONS, Issue 2 2010
WILLIAM E. EVEN
Using data from IRS Form 5500, this study examines the causes and consequences of the shift toward participant direction of investments in defined contribution plans. The analysis reveals that collective bargaining and pension investments in employer stock reduce the chance of a switch to participant direction, whereas below average returns increases the chance. Also, a switch to participant direction increases employee contributions to the pension and reduces the share of assets invested in employer securities. [source]

Investing Public Pensions in the Stock Market: Implications for Risk Sharing, Capital Formation and Public Policy in the Developed and Developing World

INTERNATIONAL REVIEW OF FINANCE, Issue 3 2001
Deborah Lucas
Concerns that existing public pension systems will be unable to pay benefits to a rapidly ageing population without sharp tax increases, and the prospect of higher average returns on stocks than on government securities, are drawing the attention of policy,makers worldwide to the option of investing public pension assets in stocks. Including stock market investments in public pension plans could improve risk sharing within and between generations, and could perhaps lead to faster market development in some countries. It could also result in excessive risk,taking, higher transactions costs and a false sense of increased financial security. This paper assesses these issues, with an emphasis on the considerations that are of special importance to developing markets. A contrast is drawn between the demographic outlook in East Asia and the major industrialized countries. Some lessons are drawn from the reform experience in Chile and elsewhere in Latin America. [source]

Cash Flow, Consumption Risk, and the Cross-section of Stock Returns

THE JOURNAL OF FINANCE, Issue 2 2009
ZHI DA
ABSTRACT I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the period 1964 to 2002. This finding highlights the importance of fundamental cash flow characteristics in determining the risk exposure of an asset. [source]