When you have an output of small against capm and an output of big against capm and you get a positive alpha for small and a negative for big . What do you get then, when you put them together (invest in that way) and regress them against capm, as an intercept? Can you add the prior alphas if both were significant?
Backfill bias can happen if funds underperform and therefore do not want to be included in the sample.
The Survivorship bias is "only" apparent when hedge funds stop existing and are therefore not included in the sample. The two biases have similar effects on the sample then.
Does anyone know if the Direct Real Estate Data series in this weeks Case a (W6) represents an average of real estate companies (index?). And also is the Equity series just the S&P 500? or the wilshire 5000?
Citing the source: "We produce indexes for both privately-held real estate portfolios, as well as publicly-listed organisations. We hold the privately-held real estate information of hundreds of institutional investors’ real estate portfolios", so I believe it's an index.
In regard to the Equities, if the source is still MSCI (that should be since other sources are not cited), they do not report the S&P 500 within their website: it may just be the MSCI Global Equity Index.
Slide n. 18 - first lecture: "-in most countries is set by Regulator". What the professor meant is that central banks prescribe discount and interest rates to pension funds (i.e. mostly a very prudent one). Another example is ECB setting ir for the euro area at 0 since march 2016.
1 year ago
hi! On what week day did the exam fall in the last years?