Incorporating volatility updating into the historical simulation Cam erotica gratis ao vivo
The valuation effects are primarily driven by institutional portfolio concentration while the governance effects are driven by portfolio turnover.
Following Value at Risk xls and var backtesting, a third post about using historical simulation for Value at Risk calculation.
We know one shortcoming of historical simulation is: the result highly depends on the choice of sample data length, Va R result does not vary often or changes suddenly.
In contrast, transient institutional investors have the opposite effect.Using SEC Regulation FD as an exogenous shock to information dissemination, we find evidence consistent with dedicated institutions having an information advantage.