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Empresariales from BUHma., 05 jun. 2018 12:13:14 GMTA liquidity-augmented capital asset pricing model [Recurso electrónico] / Weimin LiuUsing a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama–French three-factor model and shows that liquidity is an important source of priced risk. A two-factor (market and liquidity) model well explains the cross-section of stock returns, describing the liquidity premium, subsuming documented anomalies associated with size, long-term contrarian investment, and fundamental (cashflow, earnings, and dividend) to price ratios. In particular, the two-factor model accounts for the book-to-market effect, which the Fama–French three-factor model fails to explain
http://columbus.uhu.es/record=b1883934
b18839344ma., 22 may. 2018 08:00:00 GMTA Simplified Model for Portfolio Analysis [Recurso electrónico] / William F. SharpeWilliam F Sharpe received the Nobel Prize in Economics in 1990 for his work on equilibrium pricing in capital markets. He was one of the originators of the Capital Asset Pricing Model, developed the Sharpe Ratio for investment performance analysis, the binomial method for the valuation of options, the gradient method for asset allocation optimization, and returns-based style analysis for evaluating the style and performance of investment funds. This book consists of a collection of Dr Sharpe's work in these and other areas
http://columbus.uhu.es/record=b1883950
b18839502ju., 24 may. 2018 08:00:00 GMTAn Evaluation of Accounting-Based Measures of Expected Returns [Recurso electrónico] / Peter Easton, Steven J. MonahanWe develop an empirical method that allows us to evaluate the reliability of an expected return proxy via its association with returns even if realized returns are biased and noisy measures of expected returns. We use our approach to examine seven accounting-based proxies that are imputed from prices and contemporaneous analysts' earnings forecasts. Our results suggest that, for the entire cross-section of firms, the proxies are unreliable. None of them has a positive association with realized returns, even after controlling for the bias and noise in realized returns attributable to contemporaneous information surprises. Moreover, the simplest proxy, which is based on the least reasonable assumptions, contains no more measurement error than the remaining proxies. These results remain even after we attempt to purge the proxies of their measurement error via the use of instrumental variables and grouping. We provide additional evidence, however, that demonstrates that some proxies are reliable when the consensus long-term growth forecasts are low and/or when analysts forecast accuracy is high
http://columbus.uhu.es/record=b1883062
b18830626mi., 02 may. 2018 08:00:00 GMTAn intertemporal capital asset pricing model with heterogeneous expectations [Recurso electrónico] / Robert C. Merton
http://columbus.uhu.es/record=b1883904
b18839046mi., 16 may. 2018 08:00:00 GMTLa apuesta por el decrecimiento : ¿cómo salir del imaginario dominante? / Serge LatoucheBarcelona : Icaria, 2009
http://columbus.uhu.es/record=b1881256
b18812569ma., 13 mar. 2018 08:00:00 GMTThe arbitrage theory of capital asset pricing [Recurso electrónico] / Stephen A. Ross
http://columbus.uhu.es/record=b1883952
b18839526ju., 24 may. 2018 08:00:00 GMTAsset pricing and the bid-ask spread [Recurso electrónico] / Amihud, Yakov Amihud, Haim MendelsonThis paper studies the effect of the bid-ask spread on asset pricing. We analyze a model in which investors with different expected holding periods trade assets with different relative spreads. The resulting testable hypothesis is that market-observed expexted return is an increasing and concave function of the spread. We test this hypothesis, and the empirical results are consistent with the predictions of the model
http://columbus.uhu.es/record=b1883821
b18838212ma., 15 may. 2018 08:00:00 GMTAsset Pricing and the Illiquidity Premium [Recurso electrónico] / Chan, Howard W, Faff, Robert WIn this paper, we examine the asset-pricing role of liquidity (as proxied by share turnover) in the context of the Fama and French (1993) three-factor model. Our analysis employs monthly Australian data, covering the sample period from 1990 to 1998. The key finding of our research is that the main test is unable to reject the test of over-identifying restrictions, thus supporting the overall favorability of the liquidity augmented Fama-French model. In addition, we find that the asset- pricing performance of the liquidity factor is generally very robust to a wide range of sensitivity checks
http://columbus.uhu.es/record=b1883858
b18838583mi., 16 may. 2018 08:00:00 GMTAsset pricing with liquidity risk [Recurso electrónico] / Viral V. Acharya, Lasse Heje PedersenThis paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-adjusted capital asset pricing model, a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security's liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity
http://columbus.uhu.es/record=b1883818
b18838182ma., 15 may. 2018 08:00:00 GMTCapital Asset Prices [Recurso electrónico] : A Theory of Market Equilibrium under Conditions of Risk / William F. SharpeA study develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information
http://columbus.uhu.es/record=b1883920
b18839204vi., 18 may. 2018 08:00:00 GMTThe capital asset pricing model and the liquidity effect [Recurso electrónico] : A theoretical approach / Gady Jacoby, David J. Fowler, Aron A. GottesmanIn this paper we develop a CAPM-based model to demonstrate that the true measure of systematic risk – when considering liquidity costs – is based on net (after bid–ask spread) returns. We further examine the relationship between the expected return and the future spread cost within the CAPM framework. This positive relationship in our model is found to be convex. This finding differs from Amihud and Mendelson's (1986) concave relationship, but it agrees with empirical evidence obtained by Brennan and Subrahmanyam (1996)
http://columbus.uhu.es/record=b1883887
b1883887xmi., 16 may. 2018 08:00:00 GMTCircular business models : developing a sustainable future / Mats LarssonChan, Swizerland : Palgrave Macmillan, 2018
http://columbus.uhu.es/record=b1882145
b18821455ma., 27 mar. 2018 08:00:00 GMTCoherent Measures of Risk [Recurso electrónico] / Philippe Artzner, Freddy Delbaen,Jean-Marc EberBoth market risks and nonmarket risks are studied without complete markets assumption, and methods of measurement of these risks are discussed. A set of four desirable properties for measures of risk is presented and justified, and the measures satisfying these properties are called coherent. The measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile-based methods are examined. The universality of scenario-based methods are demonstrated for providing coherent measures. Suggestions concerning the SEC method are offered. A method is suggested to repair the failure of subadditivity of quantile-based methods.
http://columbus.uhu.es/record=b1883960
b18839605ju., 24 may. 2018 08:00:00 GMTCommon risk factors in the returns on stocks and bonds [Recurso electrónico] / Eugene F. Fama, Kenneth R. FrenchA study develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information
http://columbus.uhu.es/record=b1883808
b1883808xma., 15 may. 2018 08:00:00 GMTCompetitive manufacturing / Hal MatherEnglewood Cliffs, N.J. : Prentice Hall, 1988
http://columbus.uhu.es/record=b1880812
b18808128ju., 01 mar. 2018 08:00:00 GMTConditional value-at-risk for general loss distributions [Recurso electrónico] / R.Tyrrell Rockafellar, Stanislav UryasevFundamental properties of conditional value-at-risk (CVaR), as a measure of risk with significant advantages over value-at-risk (VaR), are derived for loss distributions in finance that can involve discreetness. Such distributions are of particular importance in applications because of the prevalence of models based on scenarios and finite sampling. CVaR is able to quantify dangers beyond VaR and moreover it is coherent. It provides optimization short-cuts which, through linear programming techniques, make practical many large-scale calculations that could otherwise be out of reach. The numerical efficiency and stability of such calculations, shown in several case studies, are illustrated further with an example of index tracking
http://columbus.uhu.es/record=b1883883
b18838832mi., 16 may. 2018 08:00:00 GMTConstrained Optimization for Portfolio Construction [Recurso electrónico] / Laurence Wormald, Elmarie Van Der MerweThis article deals with the relationship between conventional shrinkage approaches to the construction of the covariance matrix for portfolio optimization and the various types of constraints available in modern numerical algorithms for solving optimization problems. In particular, we consider the use of quadratic constraints on each part of the total risk (variance) measure, such as the systematic or specific risk associated with a factor risk model. By placing constraints on each part of the risk (perhaps in conjunction with constraints on the total risk), solutions are obtained that differ from the conventional constrained mean-variance solutions. We consider the use of this approach in the light of recent work focusing on portfolio optimization with alpha (expected return) terms that are cross-sectionally correlated with the risk factors of the model used to estimate the covariance matrix. To illustrate the practical value of this approach, using a well-documented set of alphas, we set out the results of a 13-year simulation exercise over the Russell 3000 Growth U.S. equity universe. The results, which can be of intuitive interest to investors, demonstrate how constraints that have the effect of shrinkage on the covariance matrix associated with the spanned part of the alpha will result in different portfolio allocations.
http://columbus.uhu.es/record=b1883948
b18839484ju., 24 may. 2018 08:00:00 GMTContinuous auctions and insider trading [Recurso electrónico] / Albert S KyleA dynamic model of insider trading with sequential auctions, structured to resemble a sequential equilibrium, is used to examine the informational content of prices, the liquidity characteristics of a speculative market, and the value of private information to an insider. The model has three kinds of traders: a single risk neutral insider, random noise traders, and competitive risk neutral market makers. The insider makes positive profits by exploiting his monopoly power optimally in a dynamic context, where noise trading provides camouflage which conceals his trading from market makers. As the time interval between auctions goes to zero, a limiting model of continuous trading is obtained. In this equilibrium, prices follow Brownian motion, the depth of the market is constant over time, and all private information is incorporated into prices by the end of trading
http://columbus.uhu.es/record=b1883891
b18838911mi., 16 may. 2018 08:00:00 GMTCost management for today's advanced manufacturing : The CAM-I conceptual design / edited by Callie Berliner and James A. Brimson.Boston, Massachusetts : Harvard Business School, cop. 1988
http://columbus.uhu.es/record=b1881254
b18812545ma., 13 mar. 2018 08:00:00 GMTThe Cross-Section of Expected Stock Returns [Recurso electrónico] / Eugene F. Fama, Kenneth R. FrenchTwo easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market ß, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the tests allow for variation in ß that is unrelated to size, the relation between market ß and average return is flat, even when ß is the only explanatory variable. Reprinted by permission of Blackwell Publishing
http://columbus.uhu.es/record=b1883087
b18830870mi., 02 may. 2018 08:00:00 GMTEl Desarrollo de la España contemporánea : historia económica de los siglos XIX y XX / Gabriel TortellaMadrid : Alianza Editorial, 2006
http://columbus.uhu.es/record=b1883995
b18839952vi., 25 may. 2018 08:00:00 GMTDo liquidity measures measure liquidity? [Recurso electrónico] / Ruslan Y. Goyenko, Craig W. Holden, Charles A. TrzcinkaGiven the key role of liquidity in finance research, identifying high quality proxies based on daily (as opposed to intraday) data would permit liquidity to be studied over relatively long timeframes and across many countries. Using new measures and widely employed measures in the literature, we run horseraces of annual and monthly estimates of each measure against liquidity benchmarks. Our benchmarks are effective spread, realized spread, and price impact based on both Trade and Quote (TAQ) and Rule 605 data. We find that the new effective/realized spread measures win the majority of horseraces, while the Amihud [2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5, 31–56] measure does well measuring price impact.
http://columbus.uhu.es/record=b1883844
b18838443mi., 16 may. 2018 08:00:00 GMTDuration and Risk Assessment for Bonds and Common Stocks [Recurso electrónico] / John A. Boquist, George A. Racette and Gary G. Schlarbaum
http://columbus.uhu.es/record=b1883592
b18835922ma., 08 may. 2018 08:00:00 GMTDuration and Risk Assessment for Bonds and Common Stocks [Recurso electrónico] : A note / Miles Livingston
http://columbus.uhu.es/record=b1883595
b18835958ma., 08 may. 2018 08:00:00 GMTEarnings, book values, and dividends in equity valuation [Recurso electrónico] : An Empirical Perspective / James A. OhlsonA study develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information
http://columbus.uhu.es/record=b1883481
b18834814ju., 03 may. 2018 08:00:00 GMTEffect of Analysts' Optimism on Estimates of the Expected Rate of Return Implied by Earnings Forecasts [Recurso electrónico] / por Peter D. Easton; Gregory A. SommersRecent literature has used analysts' earnings forecasts, which are known to be optimistic, to estimate implied expected rates of return, yielding upwardly biased estimates. We estimate that the bias, computed as the difference between the estimates of the implied expected rate of return based on analysts' earnings forecasts and estimates based on current earnings realizations, is 2.84%. The importance of this bias is illustrated by the fact that several extant studies estimate an equity premium in the vicinity of 3%, which would be eliminated by the removal of the bias. We illustrate the point that cross-sample differences in the bias may lead to the erroneous conclusion that cost of capital differs across these samples by showing that analysts' optimism, and hence, bias in the implied estimates of the expected rate of return, differs with firm size and with analysts' recommendation. As an important aside, we show that the bias in a value-weighted estimate of the implied equity premium is 1.60% and that the unbiased value-weighted estimate of this premium is 4.43%.
http://columbus.uhu.es/record=b1883065
b18830651mi., 02 may. 2018 08:00:00 GMTEquilibrium in a Capital Asset Market [Recurso electrónico] / Jan MossinThis paper investigates the properties of a market for risky assets on the basis of a simple model of general equilibrium of exchange, where individual investors seek to maximize preference functions over expected yield and variance of yield on their portfolios. A theory of market risk premiums is outlined, and it is shown that general equilibrium implies the existence of a so-called "market line," relating per dollar expected yield and standard deviation of yield. The concept of price of risk is discussed in terms of the slope of this line
http://columbus.uhu.es/record=b1883907
b18839071ju., 17 may. 2018 08:00:00 GMTThe equity premium [Recurso electrónico] / Eugene F. Fama, Kenneth R. FrenchWe estimate the equity premium using dividend and earnings growth rates to measure the expected rate of capital gain. Our estimates for 1951 to 2000, 2.55 percent and 4.32 percent, are much lower than the equity premium produced by the average stock return, 7.43 percent. Our evidence suggests that the high average return for 1951 to 2000 is due to a decline in discount rates that produces a large unexpected capital gain. Our main conclusion is that the average stock return of the last half-century is a lot higher than expected.
http://columbus.uhu.es/record=b1883074
b18830742mi., 02 may. 2018 08:00:00 GMTEspacios turísticos e inteligencia territorial : respuestas ante la crisis / XIV Coloquio de Geografía, Turismo, Ocio y Recreación, Málaga y Sevilla, 23, 24 y 25 octubre 2014 ] ; coordinación y edición, Enrique Navarro-Jurado, Alfonso Fernández Tabales, Concepción Foronda Robles... [et. al.]Sevilla: Red de Impresión, 2014
http://columbus.uhu.es/record=b1880538
b18805383vi., 09 feb. 2018 08:00:00 GMTEstimating the Equity Risk Premium Using Accounting Fundamentals [Recurso electrónico] / John O'Hanlon, Anthony SteeleThis study uses recent developments in the theoretical modelling of the links between unrecorded accounting goodwill, accounting profitability and the cost of equity, together with Capital Asset Pricing Model (CAPM) betas, to estimate the ex-ante equity risk premium in the UK. The results suggest that, over our sample period from 1968 to 1995, the premium has been in the region of 5%. Our estimate lends support to the view that the ex-ante equity risk premium is substantially less than the historical average of the excess of equity returns over the risk-free rate, and is similar to the rates applied recently by UK competition regulators.
http://columbus.uhu.es/record=b1883092
b18830924mi., 02 may. 2018 08:00:00 GMTExceso de equipaje : por qué el turismo es un gran invento hasta que deja de serlo / Pedro BravoDe repente, en el país que presume de ser el mejor destino turístico del mundo ha surgido un movimiento de rechazo a su industria más próspera. Los españoles viajamos cada vez más pero también empezamos a darnos cuenta de los defectos que se ocultan al otro lado de la postal. ¿Qué ha pasado? ¿De dónde sale la turismofobia? ¿No estábamos todos de acuerdo en que el turismo era una actividad rentable, simpática y limpia? En todo el mundo, no solo en España, han surgido voces críticas y se han organizado protestas; la gente rechaza ver cómo su vida recibe el impacto de un negocio al que parece que se le permite todo. Un negocio que cambia, crece y se extiende a toda velocidad gracias a la tecnología y a las contradicciones de los territorios que lo sufren sin dejar de potenciarlo. El turismo genera empleo pero este es precario y estacional. El turismo aporta músculo a la macroeconomía pero afecta cada vez más el mercado de la vivienda. El turismo es una oportunidad para el encuentro pero puede devenir en invasión. Y, sí, es muy contaminante. ¿Cómo hemos llegado hasta aquí? ¿Cuáles son las claves del sector? ¿Cuáles son sus beneficios? ¿Cuánto turismo es suficiente y cuánto es demasiado? ¿Cómo nos afecta? ¿Se puede hacer de otra manera? ¿Se puede viajar de otro modo? De todo esto trata Exceso de equipaje, algo así como una guía turística por el negocio turístico.
http://columbus.uhu.es/record=b1881861
b18818614vi., 16 mar. 2018 08:00:00 GMTExpected EPS and EPS Growth as Determinants of Value [Recurso electrónico] / James A. Ohlson, Beate E. Juettner-NaurothThis paper develops a parsimonious model relating a firm’s price per share to, (i), next year expected earnings per share (or 12 months forward eps), (ii), short-term growth (FY-2 versus FY- l) in eps, (iii), long-term (asymptotic) growth in eps, and, (iv), cost-of-equity capital. The model assumes that the present value of dividends per share (dps) determines price, but it does not restrict how the dps-sequence is expected to evolve. All of these aspects of the model contrast sharply with the standard (Gordon/Williams) text-book approach, which equates the growth rates of expected eps and dps and fixes the growth rate and the payout rate. Though the constant growth model arises as a peculiar special case, the analysis in this paper rests on more general principles, including dividend policy irrelevancy. A second key result inverts the valuation formula to show how one expresses cost-of-capital as a function of the forward eps to price ratio and the two measures of growth in expected eps. This expression generalizes the text-book equation in which cost-of-capital equals the dps-yield plus the growth in expected eps.
http://columbus.uhu.es/record=b1883489
b18834899ju., 03 may. 2018 08:00:00 GMTExtra-Market Components of Covariance in Security Returns [Recurso electrónico] / Barr Rosenberg
http://columbus.uhu.es/record=b1883951
b18839514ju., 24 may. 2018 08:00:00 GMTFirm life expectancy and the heterogeneity of the book-to-market effect [Recurso electrónico] / Huafeng (Jason) ChenI argue that the reason the book-to-market effect is stronger in small stocks is because smaller stocks generally have shorter life expectancy and therefore shorter equity duration. I build a model in which the book-to-market effect is stronger in stocks with shorter life expectancy. Empirically, I use delisting probability as my proxy for life expectancy. The data support my model's central prediction and its additional implications for stock return and variance. My results provide a rational explanation for the heterogeneity of the book-to-market effect, evidence previously taken as support for behavioral explanations
http://columbus.uhu.es/record=b1883814
b18838145ma., 15 may. 2018 08:00:00 GMTFrontier [Recurso electrónico] : A Graphical Interface for Portfolio Optimization in a Piecewise Linear-Quadratic Risk Framework / David L. Jensen, Alan J. KingFrontier is a pilot graphical user interface for financial portfolio optimization. Frontier was built for the IBM RISC System/6000 workstation from basic X-windows and Optimization Subroutine Library (OSL) utilities. The program is a state-of-the-art implementation of the piecewise linear-quadratic risk framework. The user can select a risk function, draw a frontier, and examine the results of investing in any one of the efficient portfolios. Drawing the frontier gives a compelling graphical demonstration of the power of OSL and the IBM RISC System/6000. Possible extensions to the program are considered in relation to the graphical user interface, the data interface, and the computational kernel.
http://columbus.uhu.es/record=b1883956
b18839563ju., 24 may. 2018 08:00:00 GMTFundamentals of strategic management / José Emilio Navas López, Luis Ángel Guerras Martín ; translation, Ian Macnair ; technical revision, Pedro López Sáez, María Sacristán NavarroThe main purpose of this book is to be used for the higher education ofundergraduates in Business Administration and Management and othersimilar degree courses who have an interest in subjects related toManagement and Strategy, and who are studying the syllabus in English.The text is especially recommended for short courses, and has beenadapted to the teaching methods proposed by the European HigherEducation Area (Bologna Process).It is also of use as an introduction to the subject for post-graduatestudents on courses at universities, business schools and similarinstitutions, in subjects related to Strategy, as well as a requiredreference tool for all those professionals and business executives whofrom a practical perspective assume a predominantly applied view ofbusiness and are responsible for managing and advising firms.Through this three-pronged approach, the book is an introductoryhandbook that covers the more salient issues and problems that makeup the theoretical corpus of the management model referred to asStrategic Management.www.guerrasynavas.com.
http://columbus.uhu.es/record=b1880588
b18805887ju., 15 feb. 2018 08:00:00 GMTFurther Analysis of Efficient Portfolios with the USER Data [Recurso electrónico] / John B. Guerard, Eli Krauklis, Manish KumarIn this study, we show that earnings forecasting and price momentum strategies complement fundamental stock selection strategies such that a composite model can be effectively implemented using both enhanced index-tracking portfolios and traditional mean-variance portfolios. The mean-variance optimization model produces statistically significant asset selection portfolios that dominate less-aggressive enhanced index-tracking portfolio construction models. We show that portfolios that use tracking error in risk optimization techniques produce a superior risk-return trade-off than traditional mean-variance optimization techniques. A portfolio manager should use a data mining corrections test to minimize the probability that the models selected resulted from a near-random process.
http://columbus.uhu.es/record=b1883947
b18839472ju., 24 may. 2018 08:00:00 GMTGrowth or Glamour? Fundamentals and Systematic Risk in Stock Returns [Recurso electrónico] / John Y. Campbell, Christopher Polk, Tuomo VuolteenahoThe cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices, driven by shocks to market discount rates, while the cash flows of value stocks are particularly sensitive to permanent movements, driven by shocks to aggregate cash flows. Thus, the high betas of growth (value) stocks with the market's discount-rate (cash-flow) shocks are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, the systematic risks of individual stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals
http://columbus.uhu.es/record=b1883796
b18837967ma., 15 may. 2018 08:00:00 GMTHandbook of manufacturing and production, management formulas, charts, and tables / Donald W. MoffatEnglewood Cliffs (New Jersey) : Prentice Hall International, 1987
http://columbus.uhu.es/record=b1880958
b18809583mi., 07 mar. 2018 08:00:00 GMTHandbook of MRP II and JIT : strategies for total manufacturing control / JohnN. PetroffEnglewood Cliffs : Prentice Hall, 1993
http://columbus.uhu.es/record=b1880811
b18808116ju., 01 mar. 2018 08:00:00 GMTImplied Equity Duration [Recurso electrónico] : A New Measure of Equity Risk / Patricia M. Dechow, Richard G. Sloan, Mark T. SolimanDuration is an important and well-established risk characteristic for fixed income securities. We use recent developments in financial statement analysis research to construct a measure of duration for equity securities. We find that the standard empirical predictions and results for fixed income securities extend to equity securities. We show that stock price volatility and stock beta are both positively correlated with equity duration. Moreover, estimates of common shocks to expected equity returns extracted using our measure of equity duration capture a strong common factor in stock returns. Additional analysis shows that the book-to-market ratio provides a crude measure of equity duration and that our more refined measure of equity duration subsumes the Fama and French (1993) book-to-market factor in stock returns. Our research shows how structured financial statement analysis can be used to construct superior measures of equity security risk
http://columbus.uhu.es/record=b1883494
b18834942ju., 03 may. 2018 08:00:00 GMTInformation and the Cost of Capital [Recurso electrónico] / David Easley, Maureen O'haraA study develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information
http://columbus.uhu.es/record=b1883759
b18837591lu., 14 may. 2018 08:00:00 GMTIntroducción a la contabilidad de costes para la gestión : curso práctico / Clara I. Muñoz, Javier Zornoza, Eloy VeutheyCizur Menor (Navarra) : Thomson Civitas, 2008
http://columbus.uhu.es/record=b1880593
b18805930ju., 15 feb. 2018 08:00:00 GMTIntroducción al TPM : mantenimiento productivo total / Seichi NakajimaMadrid : Tecnologías de Gerencia y Producción, D.L. 1993
http://columbus.uhu.es/record=b1577807
b15778071ju., 08 jul. 2010 08:00:00 GMTInvestor sentiment as conditioning information in asset pricing [Recurso electrónico] / Chienwei Ho, Chi-Hsiou HungThis paper assesses whether incorporating investor sentiment as conditioning information in asset-pricing models helps capture the impacts of the size, value, liquidity, and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity, and momentum effects
http://columbus.uhu.es/record=b1883878
b18838789mi., 16 may. 2018 08:00:00 GMTIs Information Risk a Determinant of Asset Returns? [Recurso electrónico] / David Easley, Soeren Hvidkjaer, Maureen O'HaraWe investigate the role of information-based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, we derive a measure of the probability of information-based trading, and we estimate this measure using data for individual NYSE-listed stocks for 1983 to 1998. We then incorporate our estimates into a Fama and French (1992) asset-pricing framework. Our main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year
http://columbus.uhu.es/record=b1883777
b18837773lu., 14 may. 2018 08:00:00 GMTKaizen, la clave de la ventaja competitiva japonesa / Masaaki ImaiMéxico : Compañía Editorial Continental, 1991
http://columbus.uhu.es/record=b1880955
b18809558mi., 07 mar. 2018 08:00:00 GMTLa calidad de los servicios de las empresas de turismo activo en Portugal [Recurso electrónico] / memoria para optar al grado de doctor presentada por, Pedro Bento ; bajo la dirección de los doctores, Jesús Manuel Sáez Padilla, Pedro Sáenz-López Buñuel, Luis Manuel da Cruz MurtaO turismo é um dos setores que mais cresce no mundo, sendo que o turismo ativo é uma das suas categorias de crescimento mais rápido. Cada vez mais os países em todas as fases do desenvolvimento económico, estão a dar prioridade a este tipo de turismo para o crescimento do mercado, reconhecendo o seu valor ecológico, cultural e económico (UNWTO, 2014). Estas atividades desenvolvemse num ambiente muito particular, ligando a prática desportiva a um contato privilegiado com a natureza. No entanto, é preciso não esquecer que este tipo de prática acarreta alguns riscos para os participantes / clientes, resultantes da interação de vários fatores e principalmente do âmbito e natureza deste tipo de atividades. Neste sentido, é importante investigar a forma como as empresas especializadas na área do turismo ativo fornecem os seus serviços no mercado, tentando identificar os parâmetros e condicionantes que determinam a qualidade dos serviços prestados pelas mesmas, propondo a partir dai melhorias nos processos e procedimentos. Esta investigação está dividida em 4 estudos, onde a metodologia foi adaptada a cada análise especifica e respetiva população. No primeiro estudo, procedemos à adaptação e validação do Questionário HEVA (Mediavilla, 2010), de Espanha para Portugal. Os resultados alcançados com a análise realizada por especialistas da área e a sua aplicação a um grupo piloto, permitiram a validação do instrumento para Portugal. Os parâmetros de qualidade foram adaptados e são aplicáveis em absoluta equidade tanto em Portugal como em outros Países da Europa e América Latina, de acordo com investigações mais recentes (Mediavilla et al., 2014). No segundo estudo pretendeu analisar-se a perceção dos empresários de turismo ativo portugueses, relativamente aos indicadores de qualidade dos serviços das empresas na área, procedendo-se para tal, à aplicação do já validado questionário HEVA (Bento, 2013) a um conjunto de 183 Empresas de Turismo Ativo Portuguesas. Procedeu-se a uma análise descritiva e inferencial que permitiu caraterizar o perfil das empresas participantes no estudo bem como os fatores mais e menos valorizados nos diversos domínios e parâmetros que determinam os referidos indicadores de qualidade dos serviços. Dos resultados obtidos destacamos o crescimento recente deste setor em Portugal, já que a maioria das empresas participantes no estudo, têm menos de 10 anos de existência. São geridas por 1 ou 2 sócios e na sua maioria, desenvolvem a sua atividade, durante os 12 meses do ano, apesar da sazonalidade do setor. Em média disponibilizam até 10 atividades/produtos para o mercado, optando, a maioria dos inquiridos, por não ter qualquer base de operação para desenvolver a sua atividade, diversificando a sua área territorial de intervenção. Possuem nos seus quadros de pessoal até 2 trabalhadores fixos, reforçando com trabalho temporário de acordo com a procura de serviços. De referir ainda que 70,5% da amostra inquirida, classifica a sua intervenção e gestão diária do negócio, na área do Turismo. Relativamente aos parâmetros de qualidade presentes no questionário HEVA, os empresários Portugueses destacam a importância de comunicar ao cliente todas as características inerentes à atividade, principalmente no que diz respeito aos aspetos de gestão e minimização do risco. Referem ainda que a especialização dos recursos humanos é preponderante para o sucesso da sua atividade, bem como a motivação dos mesmos, tentando contrariar a rotatividade de pessoal. Relativamente ao terceiro estudo, pretendemos perceber e comparar a opinião dos empresários de turismo ativo portugueses, relativamente à opinião de outros responsáveis, com negócios semelhantes, em contextos diferentes. Utilizando dados de Mediavilla (2010) e do estudo dois da presente investigação, analisámos as principais ideias dos responsáveis de Portugal, Espanha, Itália e Costa Rica, respondentes ao questionário. Realizaram-se análises descritivas na amostra total (N=265), de acordo com os dados disponíveis, comparando os resultados obtidos nos diferentes países e contextos. Destacamos a maturidade e experiência no mercado das empresas da Costa Rica, relativamente às demais. Em média, as empresas dos diferentes países disponibilizam até 5 atividades/produtos diferenciados. Nos parâmetros de qualidade inerentes aos seus serviços, a opinião dos responsáveis inquiridos nos 4 países, é convergente relativamente: à formação especifica na área de intervenção, ao conhecimento especifico dos aspetos inerentes à segurança e normas de cada serviço produzido e ainda à implementação de sistemas e procedimentos de qualidade, que podem ajudar a desenvolver novos produtos e serviços no mercado, tornando mais fácil e competitiva, a adequação dos serviços à realidade de cada empresa. Por último, no quarto estudo utilizámos uma metodologia qualitativa, através de uma entrevista por escrito, a um grupo de 15 empresários de turismo ativo portugueses, selecionados através do método não probabilístico-opiniático, segundo Vallés (1997). Desta forma, e após a análise de conteúdo às respostas obtidas, que permitiu aprofundar alguns aspetos relevantes dos estudos anteriores e esclarecer outros, redigimos uma proposta de melhoria, de acordo com as diferentes perceções, experiência e contexto de trabalho desta área de negócio. Destacamos que, de acordo com os inquiridos, é urgente a homogeneização de procedimentos e normativas relativas ao mercado do turismo ativo, tentando seguir a uniformização já em curso em alguns países da Europa; o desenvolvimento de modelos de formação especifica dentro do setor e a necessidade de surgirem cada vez mais projetos e serviços adaptados ao “Turismo Acessível”.
http://columbus.uhu.es/record=b1884407
b18844078mi., 30 may. 2018 08:00:00 GMTLiquidity and Expected Returns [Recurso electrónico] : Lessons from Emerging Markets / Geert Bekaert, Campbell R. Harvey and Christian LundbladGiven the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We find that it significantly predicts future returns, whereas alternative measures such as turnover do not. Consistent with liquidity being a priced factor, unexpected liquidity shocks are positively correlated with contemporaneous return shocks and negatively correlated with shocks to the dividend yield. We consider a simple asset-pricing model with liquidity and the market portfolio as risk factors and transaction costs that are proportional to liquidity. The model differentiates between integrated and segmented countries and time periods. Our results suggest that local market liquidity is an important driver of expected returns in emerging markets, and that the liberalization process has not fully eliminated its impact
http://columbus.uhu.es/record=b1883786
b18837864lu., 14 may. 2018 08:00:00 GMTManufacturing strategy : text and cases / Terry HillBlue Ridge, Ill. : Irwin, cop.1994
http://columbus.uhu.es/record=b1880842
b18808426vi., 02 mar. 2018 08:00:00 GMTMarket Liquidity and Trading Activity [Recurso electrónico] / Tarun Chordia, Richard Roll and Avanidhar SubrahmanyamPrevious studies of liquidity span short time periods and focus on the individual security. In contrast, we study aggregate market spreads, depths, and trading activity for U.S. equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day-of-the-week effects; Fridays accompany a significant decrease in trading activity and liquidity, while Tuesdays display the opposite pattern. Long- and short-term interest rates influence liquidity. Depth and trading activity increase just prior to major macroeconomic announcements
http://columbus.uhu.es/record=b1883744
b1883744xlu., 14 may. 2018 08:00:00 GMTMarket microstructure and asset pricing [Recurso electrónico] : On the compensation for illiquidity in stock returns / Michael J. Brennan, Avanidhar SubrahmanyamModels of price formation in securities markets suggest that privately informed investors create significant illiquidity costs for uninformed investors, implying that the required rates of return should be higher for securities that are relatively illiquid. We investigate the empirical relation between monthly stock returns and measures of illiquity obtained from intraday data. We find a significant relation between required rates of return and these measures after adjusting for the Fama and French risk factors, and also after accounting for the effects of the stock price level
http://columbus.uhu.es/record=b1883831
b18838315mi., 16 may. 2018 08:00:00 GMTMatemática financiera / J. M. Vidal Rodas, B. Pérez Canales.Caracas : Vega, 1974
http://columbus.uhu.es/record=b1389114
b13891145ju., 07 jun. 2007 08:00:00 GMTMaterial requirements planning : the new way of life in production and inventory management / Joseph OrlickyNew York : McGraw-Hill, c1975
http://columbus.uhu.es/record=b1881260
b18812600ma., 13 mar. 2018 08:00:00 GMTMean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors [Recurso electrónico] / Naoshi Tsuchida, Xiaoping Zhou, Svetlozar RachevIn this article, we model stock returns using fundamental data and minimizing average value at risk (AVaR) and multiperiod portfolio selection with weight and turnover constraints. Equity returns are decomposed into returns explained by fundamental and nonfundamental factors. While the former are found to be independent, the latter are found to be highly dependent among various stocks. Then, we construct models to forecast returns using several ARMA-GARCH models with different innovation distributions and simulate scenarios of future returns. Based on these scenarios, we examine various approaches of portfolio optimization. By comparing actual portfolios based on real data, we find that 1) the ARMA-GARCH model with classical tempered stable distribution provides a superior prediction of equity prices than the normal and Student's t-distribution and 2) AVaR provides a better risk measure than variance. We also see how portfolio performance changes under weight and turnover constraints and suggest that it is effective to reduce the stock universe
http://columbus.uhu.es/record=b1883938
b18839381ma., 22 may. 2018 08:00:00 GMTMétodos de economía aplicada / José Carlos Fariñas, Diego Rodríguez, coordinadoresCizur Menor : Civitas , 2013
http://columbus.uhu.es/record=b1880592
b18805929ju., 15 feb. 2018 08:00:00 GMTMicrocomputers in production and inventory management / Thomas H. FullerHomewood,Illinois : Dow Jones-Irwin, 1987
http://columbus.uhu.es/record=b1881252
b18812521ma., 13 mar. 2018 08:00:00 GMTMRP II : making it happen : the implementar's guide to success with manufacturing resource planning / Thomas F. Wallace ; foreword by Walter E. GoddardEssex Junction : Oliver Wight, cop. 1985
http://columbus.uhu.es/record=b1881250
b18812508ma., 13 mar. 2018 08:00:00 GMTMRP : Integrating material requirements planning and modern business / Terry Lunn with Susan A. Neff ; foreword by George W. PlosslBurr Ridge, Illinois : Irwin, 1992
http://columbus.uhu.es/record=b1880813
b1880813xju., 01 mar. 2018 08:00:00 GMTNuevas tecnologías y relaciones industriales / compilación de Richard Hyman, Wolfgang StreeckMadrid : Ministerio de Trabajo y Seguridad Social, Centro de Publicaciones, 1993
http://columbus.uhu.es/record=b1684286
b16842868vi., 19 oct. 2012 08:00:00 GMTOn Persistence in Mutual Fund Performance [Recurso electrónico] / Mark M. CarhartUsing a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) ''hot hands'' result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers
http://columbus.uhu.es/record=b1883740
b18837402lu., 14 may. 2018 08:00:00 GMTOn the Estimation of Beta-Pricing Models [Recurso electrónico] / Jay ShankenAn integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-known "errors-in-variables problem" are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated. The traditional inference procedure is found, under standard assumptions, to overstate the precision of price of risk estimates and an asymptotically valid correction is derived. Modifications to accommodate serial correlation in market-wide factors are also discussed
http://columbus.uhu.es/record=b1883937
b1883937xma., 22 may. 2018 08:00:00 GMTOptimal Consumption and Investment withTransaction Costs and Multiple Risky Assets [Recurso electrónico] / Hong LiuWe consider the optimal intertemporal consumption and investment policy of aconstant absolute risk aversion (CARA) investor who faces fixed and proportionaltransaction costs when trading multiple risky assets. We show that when asset re-turns are uncorrelated, the optimal investment policy is to keep the dollar amountinvested in each risky asset between two constant levels and upon reaching either ofthese thresholds, to trade to the corresponding optimal targets. An extensive analy-sis suggests that transaction cost is an important factor in affecting trading volumeand that it can significantly diminish the importance of stock return predictability asreported in the literature
http://columbus.uhu.es/record=b1883917
b18839174vi., 18 may. 2018 08:00:00 GMTOptimal Microstructures [Recurso electrónico] / Maureen O'HaraThis paper considers the basic issue of the optimal microstructure for trading financial assets. I propose a framework for addressing optimality that draws on the functions that markets perform. These functions include liquidity, price discovery, and the reduction of uncertainty. Because the characteristics of financial assets and their investors differ, I show that their optimal microstructure may differ as well. I illustrate these points by analysing the evolution of corporate and municipal bond trading in the USA. The paper also discusses the particularly important role that microstructure plays for developing financial markets.
http://columbus.uhu.es/record=b1883927
b18839277lu., 21 may. 2018 08:00:00 GMTLas pantallas y el cerebro emocional / Joan Ferrés i PratsBarcelona : Editorial Gedisa, 2014
http://columbus.uhu.es/record=b1882146
b18821467ma., 27 mar. 2018 08:00:00 GMTPE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital [Recurso electrónico] / Peter EastonI describe a model of earnings and earnings growth and I demonstrate how this model may be used to obtain estimates of the expected rate of return on equity capital. These estimates are compared with estimates of the expected rate of return implied by commonly used heuristics-viz., the PEG ratio and the PE ratio. Proponents of the PEG ratio (which is the price-earnings [PE] ratio divided by the short-term earnings growth rate) argue that this ratio takes account of differences in short-run earnings growth, providing a ranking that is superior to the ranking based on PE ratios. But even though the PEG ratio may provide an improvement over the PE ratio, it is arguably still too simplistic because it implicitly assumes that the short-run growth forecast also captures the long-run future. I provide a means of simultaneously estimating the expected rate of return and the rate of change in abnormal growth in earnings beyond the (short) forecast horizon - thereby refining the PEG ratio ranking. The method may also be used by researchers interested in determining the effects of various factors (such as disclosure quality, cross-listing, etc.) on the cost of equity capital. Although the correlation between the refined estimates and estimates of the expected rate of return implied by the PEG ratio is high, supporting the use of the PEG ratio as a parsimonious way to rank stocks, the estimates of the expected rate of return based on the PEG ratio are biased downward. This correlation is much lower and the downward bias is much larger for estimates of the expected rate of return based on the PE ratio. I provide evidence that stocks for which the downward bias is higher can be identified a priori
http://columbus.uhu.es/record=b1883057
b18830572mi., 02 may. 2018 08:00:00 GMTPercepción de los usuarios para la mejora del uso de las Redes Sociales como canal de comunicación en el sector hotelero [Recurso electrónico] / memoria para optar al grado de doctor presentada por Juan Carlos Infante Moro ; bajo la dirección de los doctores, Francisco José Martínez López y Alfonso Infante MoroInternet y las Redes Sociales son herramientas que generan grandes oportunidades para las empresas. Una nueva manera de ver las comunicaciones y el comercio en los sectores empresariales, tanto por el número de usuarios que se encuentran en estas herramientas como por la nueva manera de publicitar y vender los productos que ofrecen. Aunque estas herramientas han crecido tanto que incluso han provocado que la presencia en Internet y Redes Sociales se haya convertido en obligatoria para ser competitivos en algunos sectores. Esto sucede en el sector hotelero, donde estas herramientas han pasado a ser la principal fuente de información de los turistas que buscan hoteles para sus estancias e intentan conocer opiniones de otros clientes. En este estudio queremos centrarnos en las Redes Sociales en este sector, ya que tras un chequeo por las Redes Sociales del sector hotelero y una exhaustiva revisión literaria sobre éstas, podemos observar la preocupación de los hoteles por la presencia y el uso de estas herramientas. Así, enfocaremos este estudio al uso de las Redes Sociales como medio de comunicación, y más concretamente a los factores motivacionales de los usuarios de las Redes Sociales que influyen en la aceptación de estas Redes Sociales online como medio de comunicación entre los hoteles y estos usuarios, intentando de esta manera que los hoteles consigan captar un mayor número de usuarios en sus Redes Sociales online y añadir un nuevo canal de comunicación con sus clientes, logrando una mayor satisfacción de sus clientes y una mayor presencia en Internet, lo que le podría reportar un mayor número de clientes. A través de una revisión literaria por estudios previos, expondremos un listado de los factores motivacionales más influyentes a la hora de que los usuarios de las Redes Sociales online generalizadas utilicen éstas para seguir y comunicarse con los hoteles, y se desarrollará un mapa causal del sistema con los mismos, en el que usuarios de estas Redes Sociales analizarán los factores motivacionales más influyentes a la hora de mejorar dicho uso. Los factores motivacionales expuestos en dicho listado y que serán analizados a lo largo del estudio son: la gestión de calidad (GC), la disposición de información (DI), los condicionantes externos (CE), la confianza (C), la compatibilidad percibida (CP), la utilidad percibida (UP), la actitud (A) y la intención (I). La metodología utilizada será la captación de datos e información a través de entrevista y encuesta a los entrevistados y el uso de los Mapas Cognitivos Difusos (MCD) como técnica empleada en el análisis de datos, técnica que facilita el desarrollo de los mapas causales. Se entrevistan a 41 personas, usuarios de Redes Sociales online generalizadas en su totalidad, y los resultados reflejan que todos los factores motivacionales propuestos influyen positivamente a la hora de que los usuarios de las Redes Sociales online generalizadas utilicen éstas como medio de comunicación con los hoteles, no se piensa que existan más factores motivacionales que ejerzan influencias en dicho uso, a parte de los propuestos, y existen influencias positivas entre todos los factores del sistema. Además, los resultados demuestran que los tres factores más importantes en la regulación de la dinámica del sistema son disposición de información (DI), actitud (A) y utilidad percibida (UP), y que las estrategias de los hoteles en las Redes Sociales para conseguir dicho objetivo deben plantearse distribuyendo el esfuerzo en cada uno de los factores según el grado de influencia en el resto, centrando sus mayores esfuerzos en los factores que mayor influencia ejercen en el resto. Así, los esfuerzos en estas estrategias deberán ir repartiéndose por los factores motivacionales en el siguiente orden de preferencia: utilidad percibida (UP), gestión de calidad (GC), disposición de información (DI), condicionantes externos (CE), confianza (C), compatibilidad percibida (CP), actitud (A) e intención (I).
http://columbus.uhu.es/record=b1883916
b18839162vi., 18 may. 2018 08:00:00 GMTPostdata, Esperanza Recuerda : Mail Art Collection : [Facultad de Bellas Artes de la Universidad de Granada, 13 diciembre 2013-13 enero 2014] / Consuelo Vallejo Delgado (coord.)[Sestao, Vizkaya] La Única Puerta a la Izquierda, ; [S.l.] :, 2014
http://columbus.uhu.es/record=b1882960
b18829600mi., 25 abr. 2018 08:00:00 GMTPresidential Address [Recurso electrónico] : Liquidity and Price Discovery / Maureen O'HaraThis paper examines the implications of market microstructure for asset pri- cing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and I argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information-based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. I develop an asymmetric information asset pricing model that incorporates these effects
http://columbus.uhu.es/record=b1883919
b18839198vi., 18 may. 2018 08:00:00 GMTThe pricing discount for limited liquidity [Recurso electrónico] : evidence from SWX Swiss Exchange and the Nasdaq / Claudio Loderer, Lukas RothWe investigate the pricing discount for limited liquidity. Unlike previous studies that have examined the relation between historical returns and liquidity, ours looks directly at current stock prices. This approach requires less data and yields up-to-date information about limited liquidity discounts. We analyze data from the Swiss exchange and the Nasdaq during 1995–2001, and find a statistically and economically significant price–liquidity relation in both markets. We test the robustness of that relation with a procedure that does not rely on specific distributional assumptions. Our findings are unaffected. According to the evidence, the median discount can reach 30%
http://columbus.uhu.es/record=b1883936
b18839368ma., 22 may. 2018 08:00:00 GMTPricing the commonality across alternative measures of liquidity [Recurso electrónico] / Robert A. Korajczyk, RonnieSadkaA study develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information
http://columbus.uhu.es/record=b1883889
b18838893mi., 16 may. 2018 08:00:00 GMTPrincipios de economía y hacienda / Francisco Cabrillo, Rocío Albert, Rogelio BiazziCizur Menor (Navarra) : Civitas, 2011
http://columbus.uhu.es/record=b1880591
b18805917ju., 15 feb. 2018 08:00:00 GMTProducción industrial racionalizada / William N. MitchellMadrid : Aguilar, 1958
http://columbus.uhu.es/record=b1881255
b18812557ma., 13 mar. 2018 08:00:00 GMTProduction and inventory management / Donald W. Fogarty, John H. Blackstone,Thomas R. HoffmannCincinnati : South-Western, 1991
http://columbus.uhu.es/record=b1880810
b18808104ju., 01 mar. 2018 08:00:00 GMTRatio Analysis and Equity Valuation [Recurso electrónico] : From Research to Practice / Doron Nissim, Penman, H. PenmanFinancial statement analysis has traditionally been seen as part of the fundamental analysis required for equity valuation. But the analysis has typically been ad hoc. Drawing on recent research on accounting-based valuation, this paper outlines a financial statement analysis for use in equity valuation. Standard profitability analysis is incorporated, and extended, and is complemented with an analysis of growth. An analysis of operating activities is distinguished from the analysis of financing activities. The perspective is one of forecasting payoffs to equities. So financial statement analysis is presented as a matter of pro forma analysis of the future, with forecasted ratios viewed as building blocks of forecasts of payoffs. The analysis of current financial statements is then seen as a matter of identifying current ratios as predictors of the future ratios that determine equity payoffs. The financial statement analysis is hierarchical, with ratios lower in the ordering identified as finer information about those higher up. To provide historical benchmarks for forecasting, typical values for ratios are documented for the period 1963-1999, along with their cross-sectional variation and correlation. And, again with a view to forecasting, the time series behavior of many of the ratios is also described and their typical "long-run, steady-state" levels are documented
http://columbus.uhu.es/record=b1883503
b1883503xvi., 04 may. 2018 08:00:00 GMTRisk, Return, and Equilibrium [Recurso electrónico] : Empirical Tests / Eugene F. Fama, James D. MacBethThis major collection presents a careful selection of the most important published articles in the field of financial econometrics. Starting with a review of the philosophical background, the collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, market microstructure, Bayesian methods and other statistical tools. Andrew Lo - one of the world's leading financial economists - has written an authoritative introduction, which offers a comprehensive overview of the subject and complements his selection
http://columbus.uhu.es/record=b1883862
b18838625mi., 16 may. 2018 08:00:00 GMTShop floor control / Steven A. Melnyk ... [et al.]Homewood, Ill. : Dow Jones-Irwin, c1985
http://columbus.uhu.es/record=b1880966
b18809662mi., 07 mar. 2018 08:00:00 GMTShortfall as a risk measure: properties, optimization and applications [Recurso electrónico] / Dimitris Bertsimas, Geoffrey J. Lauprete, Alexander SamarovMotivated from second-order stochastic dominance, we introduce a risk measure that we call shortfall. We examine shortfall's properties and discuss its relation to such commonly used risk measures as standard deviation, VaR, lower partial moments, and coherent risk measures. We show that the mean-shortfall optimization problem, unlike mean-VaR, can be solved efficiently as a convex optimization problem, while the sample mean-shortfall portfolio optimization problem can be solved very efficiently as a linear optimization problem. We provide empirical evidence (a) in asset allocation, and (b) in a problem of tracking an index using only a limited number of assets that the mean-shortfall approach might have advantages over mean-variance
http://columbus.uhu.es/record=b1883959
b18839599ju., 24 may. 2018 08:00:00 GMTSize and Book-to-Market Factors in Earnings and Returns [Recurso electrónico] / Eugene F. Fama, Kenneth R. FrenchWe study whether the behavior of stock prices, in relation to size and book-to-market-equity (BE/ME), reflects the behavior of earnings. Consistent with rational pricing, high BE/ME signals persistent poor earnings and low BE/ME signals strong earnings. Moreover, stock prices forecast the reversion of earnings growth observed after firms are ranked on size and BE/ME. Finally, there are market, size, and BE/ME factors in earnings like those in returns. The market and size factors in earnings help explain those in returns, but we find no link between BE/ME factors in earnings and returns
http://columbus.uhu.es/record=b1883921
b18839216vi., 18 may. 2018 08:00:00 GMTSolving business problems with MRP II / Alan D. LuberBoston : Digital Press, c1995
http://columbus.uhu.es/record=b1880956
b1880956xmi., 07 mar. 2018 08:00:00 GMTStable GARCH models for financial time series [Recurso electrónico] / A. K. Panorska, S. Mittnik, S.T. RachevGeneralized autoregressive conditional heteroskedasticity (GARCH) models having normal or Student-t distributions as conditional distributions are widely used in financial modeling. Normal or Student-t distributions may be inappropriate for very heavy-tailed times series as can be encountered in financial economics, for example. Here, we propose GARCH models with stable Paretian conditional distributions to deal with such time series. We state conditions for stationarity and discuss simulation aspects
http://columbus.uhu.es/record=b1883961
b18839617ju., 24 may. 2018 08:00:00 GMTStock and Bond Market Liquidity [Recurso electrónico] : A Long-Run Empirical Analysis / Ruslan Y. Goyenko, Andrey D. UkhovThis paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-toquality or flight-to-liquidity episodes. Monetary policy impacts illiquidity. The evidence indicates that bond illiquidity acts as a channel through which monetary policy shocks are transferred into the stock market. These effects are observed across illiquidity of bonds of different maturities and are especially pronounced for illiquidity of short-term maturities. The paper provides evidence of illiquidity integration between stock and bond markets
http://columbus.uhu.es/record=b1883872
b18838728mi., 16 may. 2018 08:00:00 GMTStock Market Liquidity and the Business Cycle [Recurso electrónico] / Randi Naes, Johannes A. Skjeltorp, Bernt Arne OdegaardIn the recent financial crisis we saw liquidity in the stock market drying up as a precursor to the crisis in the real economy. We show that such effects are not new; in fact, we find a strong relation between stock market liquidity and the business cycle. We also show that investors' portfolio compositions change with the business cycle and that investor participation is related to market liquidity. This suggests that systematic liquidity variation is related to a "flight to quality" during economic downturns. Overall, our results provide a new explanation for the observed commonality in liquidity
http://columbus.uhu.es/record=b1883918
b18839186vi., 18 may. 2018 08:00:00 GMTIndustry costs of equity [Recurso electrónico] / Eugene F.Fama, Kenneth R. FrenchEstimates of the cost of equity for industries are imprecise. Standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993). These large standard errors are the result of(i) uncertainty about true factor risk premiums and (ii) imp ecise estimates of the loadings of industries on the risk factors. Estimates of the cost of equity for firms and projects are surely even less precise
http://columbus.uhu.es/record=b1883090
b18830900mi., 02 may. 2018 08:00:00 GMTThe structure of spot rates and immunization [Recurso electrónico] : Some further results / Eliseo Navarro, Juan M. NaveThis paper estimates and tests a two-factor model of the term structure of interest rates based on the methodology developed by Elton, Gruber and Michaelly (1990) in an APT context. The model is then enlarged to allow its use for interest rate risk measurement through a duration vector. The results of the model using in-sample data are consistent with those obtained by Principal Components Analysis to explain the term structure behaviour. Finally, the model is tested using out-of-sample data, showing its superiority over a competing model based on the traditional Macaulay's duration
http://columbus.uhu.es/record=b1883850
b18838509mi., 16 may. 2018 08:00:00 GMTTheory-Based Illiquidity and Asset Pricing [Recurso electrónico] / Tarun Chordia, Sahn-Wook Huh, Avanidhar SubrahmanyamMany proxies of illiquidity have been used in the literature that relates illiquidity to asset prices. These proxies have been motivated from an empirical standpoint. In this study, we approach liquidity estimation from a theoretical perspective. Our method explicitly recognizes the analytic dependence of illiquidity on more primitive drivers such as trading activity and information asymmetry. More specifically, we estimate illiquidity using structural formulae in line with Kyle's (1985) lambda for a comprehensive sample of stocks. The empirical results provide evidence that theory-based estimates of illiquidity are priced in the cross-section of expected stock returns, even after accounting for risk factors, firm characteristics known to influence returns, and other illiquidity proxies prevalent in the literature
http://columbus.uhu.es/record=b1883795
b18837955ma., 15 may. 2018 08:00:00 GMTToward an Implied Cost of Capital [Recurso electrónico] / por William R. Gebhardt, Charles M. C. Lee, Bhaskaran SwaminathanIn this study, we propose an alternative technique for estimating the cost ofequity capital. Specifically, we use a discounted residual income model to gene-rate a market implied cost-of-capital. We then examine firm characteristicsthat are systematically related to this estimate of cost-of-capital. We show thata firm’s implied cost-of-capital is a function of its industry membership, B/Mratio, forecasted long-term growth rate, and the dispersion in analyst earningsforecasts. Together, these variables explain around 60% of the cross-sectionalvariation in future (two-year-ahead) implied costs-of-capital. The stability ofthese long-term relations suggests they can be exploited to estimate futurecosts-of-capital. We discuss the implications of these findings for capital bud-geting, investment decisions, and valuation research.
http://columbus.uhu.es/record=b1883073
b18830730mi., 02 may. 2018 08:00:00 GMTTrading activity and expected stock returns [Recurso electrónico] / Tarun Chordia, Avanidhar Subrahmanyam, V. Ravi AnshumanGiven the evidence that the level of liquidity affects asset returns, a reasonable hypothesis is that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with fluctuations in liquidity. Motivated by this observation, we analyze the relation between expected equity returns and the level as well as the volatility of trading activity, a proxy for liquidity. We document a result contrary to our initial hypothesis, namely, a negative and surprisingly strong cross-sectional relationship between stock returns and the variability of dollar trading volume and share turnover, after controlling for size, book-to-market ratio, momentum, and the level of dollar volume or share turnover. This effect survives a number of robustness checks, and is statistically and economically significant. Our analysis demonstrates the importance of trading activity-related variables in the cross-section of expected stock returns.
http://columbus.uhu.es/record=b1883835
b18838352mi., 16 may. 2018 08:00:00 GMTTrading frequency and asset pricing on the London Stock Exchange [Recurso electrónico] : Evidence from a new price impact ratio / Chris Florackis, Andros Gregoriou, Alexandros KostakisThis study proposes a new price impact ratio as an alternative to the widely used Amihud’s (2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is deemed Return-to-Turnover ratio, has a number of appealing features. Using daily data from all stocks listed on the London Stock Exchange over the period 1991–2008, we provide overwhelming evidence that this ratio, while being unequivocal to construct and interpret, is also free of a size bias. More importantly, it encapsulates the stocks’ cross-sectional variability in trading frequency, a relatively neglected but possibly important determinant of stock returns given the recently observed trends in financial markets. Overall, our findings argue against the conventional wisdom that there is a simple direct link between trading costs and stock returns by strongly suggesting that it is the compound effect of trading frequency and transaction costs that matters for asset pricing, not each aspect in isolation
http://columbus.uhu.es/record=b1883866
b18838662mi., 16 may. 2018 08:00:00 GMTUse of Forecasts of Earnings toEstimate and Compare Cost of CapitalAcross Regimesl [Recurso electrónico] / Peter EastonI critically examine several of the methods used in the recent literature to estimate andcompare the cost of capital across different accounting/regulatory regimes. I focus on the centralimportance of expectations of growth beyond the short period for which forecasts of future pay-offs (dividends and/or earnings) are available. I illustrate, using the stocks that comprised the DowJones Industrial Average (DJIA) at December 31, 2004, as an example, the differences betweenthe growth rates implied by the data, and growth rates that are often assumed in the literature.My analyses show that assumptions about growth beyond the (short) forecast horizon mayseriously affect the estimates of the expected rate of return and may lead to spurious inferences
http://columbus.uhu.es/record=b1883061
b18830614mi., 02 may. 2018 08:00:00 GMTUsing Forecasts of Earnings to Simultaneously Estimate Growth and the Rate of Returnon Equity Investment [Recurso electrónico] / Peter Easton, Gary Taylor, Pervin Shroff, Theodore SougiannisWe develop a method for simultaneously estimating the cost of equity capital and the growth in residual earnings that are implied by current stock prices, current book value of equity, and short-term forecasts of accounting earnings. We demonstrate the use of our method by calculating the expected equity risk premium. Our estimate is higher than estimates in extant studies that are based on the same earnings forecast data. The main difference between our study and these papers is that while they provide arguments supporting an assumed rate of growth beyond the forecast horizon, we estimate this rate
http://columbus.uhu.es/record=b1883068
b18830687mi., 02 may. 2018 08:00:00 GMTValor en riesgo (VeR) [Recurso electrónico] : concepto, parámetros y utilidad / José Manuel Feria Domínguez, María Dolores Oliver AlfonsoHoy en día, el Valor en Riesgo (VeR) constituye una herramienta esencial en la medición y control del riesgo de mercado. Para asegurar una correcta interpretación de la cifra VeR por parte de usuarios potenciales (reguladores, accionistas, gestores de riesgo, etc.), es preciso la definición previa de una serie de parámetros como el nivel de confianza, el período de mantenimiento, la moneda de referencia y la metodología de estimación empleada. En este trabajo, nos centramos en el concepto de VeR, analizando dichas especificaciones y destacando su utilidad en la gestión del riesgo de mercado. Nowadays, Value at Risk (VaR) is commonly accepted as an essential tool in measuring and controlling market risk. In practice, VaR figures requires the previous definition of certain parameters, such as the level confidence, the holding period, the currency of reference and the methodology of estimation in order to ensure a clear interpretation by its potential users (regulators, traders, shareholders, etc.). In this paper, we focus on the VaR concept, analyzing all those specifications and pointing out its benefits on managing market risk
http://columbus.uhu.es/record=b1883962
b18839629ju., 24 may. 2018 08:00:00 GMTThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets [Recurso electrónico] / John LintnerA study develops and analyzes a model of a firm's market value as it relates to contemporaneous and future earnings, book values, and dividends. Two owners' equity accounting constructs provide the underpinnings of the model: the clean surplus relation applies, and dividends reduce current book value but do not affect current earnings. The model satisfies many appealing properties, and it provides a useful benchmark when one conceptualizes how market value relates to accounting data and other information
http://columbus.uhu.es/record=b1883949
b18839496ju., 24 may. 2018 08:00:00 GMTWhen Capital Follows Profitability [Recurso electrónico] : Non-linear Residual Income Dynamics / Peter EastonThe returns earned by U.S. equities since 1926 exceed estimates derived from theory, from other periods and markets, and from surveys of institutional investors. Rather than examine historic experience, we estimate the equity premium from the discount rate that equates market valuations with prevailing expectations of future flows. The accounting flows we project are isomorphic to projected dividends but use more available information and narrow the range of reasonable growth rates. For each year between 1985 and 1998, we find that the equity premium is around three percent (or less) in the United States and five other markets.
http://columbus.uhu.es/record=b1883050
b1883050xmi., 02 may. 2018 08:00:00 GMTWhere do Betas Come From? [Recurso electrónico] : Asset Price Dynamics and the Sources of Systematic Risk / John Y. Campbell, Jianping MeiIn this article we break assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. We also show how asset pricing theory restricts the expected excess return components of betas
http://columbus.uhu.es/record=b1883784
b18837840lu., 14 may. 2018 08:00:00 GMT