GNU R (ou simplement R) est un langage puissant de programmation utilisé pour le traitement de données et l’analyse statistique. R est un logiciel libre distribué selon les termes de la licence GNU GPL.
This study investigates a number of anomaly variables in capital markets research around the world, including asset growth, book-to-market, investment-to-assets, momentum, net stock issues, size, and total accruals. We use zero-cost trading strategies, the Fama-French factor model, and the newly developed alternative investment-based three-factor model (Chen, Novy-Marx, and Zhang 2010) to show that these anomalies produce significant abnormal returns across countries. We show that abnormal returns vary dramatically among countries and between developed and emerging economies. We provide strong evidence to support the limits of arbitrage theory in international equity markets by documenting a positive correlation between idiosyncratic risk and abnormal returns for all of the anomalies. We also show that idiosyncratic risk has less impact on abnormal return for developed countries than emerging countries. Our results support the mispricing explanation of the existence of various anomalies around the world.
(This article was first published on Adventures in Statistical Computing, and kindly contributed to R-bloggers) I have been looking into time series analysis with R. I'm still ramping up the learning curve as I am very accustomed to SAS/ETS.
My reads to start the week off: • Freddie Mac Bets Against American Homeowners (ProPublica) • Money From MF Global Feared Gone (WSJ) • 9.8 Million Shadow Inventory Says Housing Market is a Long Way From the Bottom (Naked Capitalism) • Flurry of...
(This article was first published on RStudio Blog, and kindly contributed to R-bloggers) The final version of RStudio v0.95 is now available for download from our website (thanks to everyone who put the preview release through its paces...
(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers) Spurious Regression problem dates back to Yule (1926): “Why Do We Sometimes Get Nonsense Correlations between Time-series?
We posted yesterday that the S&P500 was set up for a pullback after carving out an outside day (higher high and lower low than previous day) at strong resistance and looked for follow through selling today. Didn’t happen.
(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers) In the last post, Multiple Factor Model – Building Risk Model, I have shown how to build a multiple factor risk model.
Are frontier markets the next emerging markets? And if so, should global equity investors include them in their portfolios? From a risk parity perspective, investors could benefit from a frontier markets allocation well in excess of the market weight of the asset class. A risk parity portfolio tends to outperform a market cap-weighted portfolio during periods of positive equity returns while delivering comparable returns during crisis periods. Even if portfolio managers could not follow a risk parity asset allocation strategy due to benchmark tracking considerations, overweighting frontier markets could help them outperform their benchmarks during upside periods without increasing downside risks significantly.
The Norwegian Government Pension Fund Global was recently ranked the largest fund on the planet. It is also highly rated for its professional, low-cost, transparent, and socially responsible approach to asset management. Investment professionals increasingly refer to Norway as a model for managing financial assets. We present and evaluate the strategies followed by the Fund, review long-term performance, and describe how it responded to the financial crisis. We conclude with some lessons that investors can draw from Norway’s approach to asset management, contrasting the Norway Model with the Yale Model.
(This article was first published on R, Ruby, and Finance, and kindly contributed to R-bloggers) LaTeX is a typesetting system that can easily be used to create reports and scientific articles, and has excellent formatting options for...
(This article was first published on Portfolio Probe » R language, and kindly contributed to R-bloggers) Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the...
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