Return on environment

Market Anomalies on Return

There are various anomalies in the financial markets such as profitability, financial distress, lottery, volatility, and growth options, which origin and nature are unclear, ambiguous and apparently unrelated. In this study, we investigate the seemingly unrelated anomalies using the third and fourth moments of return’s distribution function and by isolating the expected skewness effect attribut...

Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

We introduce a “bad environment-good environment” technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not only fits standard salient asset ...

Return on Software: Maximizing the Return on Your Software Investment

Focus: Return on Investment

Although sophisticated economic modeling can be used to quantify intangible benefits, ROI calculations for clinical information systems are driven more by the values and strategic direction of an organization than by any other considerations. But investing in clinical information tools to ensure quality and patient safety is, in reality, required as a cost of doing business and functioning as a...

Asset Return Dynamics under Habits and Bad-environment-Good Environment Fundamentals∗

We introduce a “bad environment-good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of fundamentals, and fits standard salient features of asset prices including the means and volatilities of equity returns and risk free rates. BEGE dynamics are essential for the ...