ince the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indi...

in this paper we analyze the relationship between creditrisk & profitability in iranian banks. the credit risk is measured bynon-performing loans ratio &loan; loss provision ratio. also, theprofitability has been measured by return on assets &return; on equity.the survey data are from fifteen iranian banks& credit institutesduring the time period of 2003 to 2009.results show that there is asign...

JIMING YU is a vice president at a large financial institution in New York, NY. The risk return relation is a staple of modern finance. When risk is measured by volatility, it is well known that option prices convey risk. One of the more inf luential ideas in the last twenty years is that the conditional volatility of an asset price can also be inferred from the market prices of options written...

I analyze the relationship between labor intensity – the wages to revenue ratio – and a firm’s risk and book-to-market ratio in a production model. Under plausible parameters, labor intensive firms are riskier and exhibit higher book-to-market ratios than capital intensive firms. Covariance with the stochastic discount factor grows with labor intensity so the return spread between labor and cap...

The variance risk premium, defined as the difference between the actual and riskneutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the part of the variance risk premium associated with the special compensati...

This paper provides a theoretical framework for pricing assets in a multiperiod economy with heterogeneous beliefs. The stock price dynamics follow a binomial lattice structure. Agents are allowed to differ in their beliefs of the probability and asset return in each state of nature. By constructing a consensus belief, we examine the impact of heterogeneous beliefs on market equilibrium. Static...

capital asset pricing, as one of the basic theories in finance and investment area, develop a model for estimation of expected rate of return and equity cost of capital. this model has many applications in the field of finance. one of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in origin...

Since the birth of the Capital Asset Pricing Model (CAPM), enormous efforts have been devoted to studies evaluating the validity of this model, a unique breakthrough and valuable contribution to the world of financial economics. Some empirical studies conducted, have appeared to be in harmony with the principles of CAPM while others contradict the model. The aim of this paper is to study if the...