Month: June 2019

Financial Factors Determining CAREs Ratings

Rating agencies evaluate a number of qualitative and quantitative factors while assigning rating to a particular company. Standard mathematical formulas do not exist for determining credit ratings. Instead, credit rating agencies use their experience and judgement in assigning ratings. What factors rating agencies consider significant in providing ratings to the […]

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Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies […]

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Effect of Enterprise Risk Management on Firm Value: Empirical Evidence from Non-Financial Firms in Pakistan

 This research examines the effect of enterprise risk management on firm value in Pakistan. Further, this study empirically examines company characteristics that establish the execution of an enterprise risk management system. Using a sample of final dataset of 83 non-financial firms located in Pakistan. The sample included non-financial firms from […]

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Stock Market Modeling in the Langevin Formalism

A Langevin formalism is proposed for stock market dynamics with modeling of various economic market features from first principles. Various processes and effects that occur in the stock market are mathematically incorporated in the said formulation. The Fokker Planck equation corresponding to the Langevin equation so obtained is solved and […]

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Testing the Relationship between Liquidity and Stock Returns in the Palestinian Banks Listed in the Palestine Exchange

This study examines the relationship between liquidity and stock returns in the Palestinian banks listed in the Palestine Exchange over the period July 2009–July 2018. The study uses three liquidity measures: trading probability (TP), turnover rate (TR), and the measure of Amihud (2002), ILLIQ. The results of Pearson’s correlation test […]

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Using VIX to Dynamically Hedge Portfolio Risk

Many investors accept buy and hold as their long-term investment strategy. However, during periods of heightened risk, staying disciplined can be problematic. Alternatively, market timing appeals to our emotions but is very difficult to employ successfully. Between these two extremes lies tactical asset allocation, where limited variances are allowed to […]

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