this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

This research examines the impact of market risk premium, size, book-to-market equity, profitability, and investment as factors on stock return. Portfolios are formed to develop left-hand side right-hand portfolios. The objective this paper is assess performance equity enhance generalizability five-factor model. A statistical analysis applied estimate asset pricing model their in Association So...

Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these effects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on French Stock Market. We use returns on the Fama and French six portfolios sorted by size and book to mark...

Book to market (BM) has long been associated with growth opportunities. We argue that after a negative shock to earnings, the BM of the firm is mainly determined by the shortterm recovery ability of the firm. Firms that have high (low) probability to recover from a negative shock will have low (high) BM after a negative shock. We confirm this relation both analytically and empirically and show ...

Many studies have documented portfolio strategies that provide returns in excess of those expected, given the level of risk of the portfolio. Variables that seem to have predictive power for equity returns include the market capitalization of the firm’s equity and the ratio of the firm’s book equity to market equity (BE/ME). Firms with low market capitalization and high book-tomarket values see...

We study market-to-book ratios of stocks in the context stochastic portfolio theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalisations (“sizes”) are developed two ways, together with their returns respect to market. This enables us identify value factor (i.e., ratio) such when stocks’ book values. Examples portfolios, as well empir...

the main goal in carrying out this paper was to investigate the impacts of government’s support policies on income risk of egg producers in iran during years 1989-2008. index ccv, was employed to assess the variation in income of the producers. the results revealed that, market price support along with the overall support policies lead to a lowering of the percentage variations in income risk o...