By Torben Juul Andersen (eds.)
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Extra resources for Contemporary Challenges in Risk Management: Dealing with Risk, Uncertainty and the Unknown
1. 1 contrasts BW and expected return (averaged over all stocks that were part of the exercise). 1 only displays data through the end of 2010, as the BW series is only available until December 2010. 017). 72). The value of BW that is matched to an expected return is the one closest in time to the date the exercise was undertaken. One of the most intriguing issues that Baker and Wurgler address is the extent to which sentiment affects the relationship between realized returns and characteristics such as size and B/M.
One issue of note is that the correlations for the prior six-month return, Ret6, is negative, while the correlations for the other two prior return variables is positive. 15 provides summary data for correlations associated with Group Means in specific examples. As mentioned in Appendix 4, group averaging smooths individual variation across investors. Appendix 3: Correlation comparisons: professional investors vs undergraduate and Master’s business students Beginning in 1997, I began administering the workshop exercise used to collect the data for this study.
Shefrin and Statman (1995, 2003) use VLTI as a proxy for expected return. 6 shows the average correlation of VLTI and expected return over time, as well as its sign, which is consistently positive. These findings lend support to the use of VLTI as a proxy for expected return. At the same time, VLTI is also negatively correlated with perceived risk. Indeed, after 2004, the strength of the VLTI-correlation for risk is higher than for expected return. 16 Keep in mind that as a general matter, expected return is positively correlated with size, and perceived risk is negatively correlated with size.