To create value, a firm must invest in projects that provide a return greater than the cost of capital. The cost of capital is not observed and its estimation requires assumptions on investors' consumption, savings, and portfolio decisions. We review the academic literature on firms' cost of...

Parametric estimation approaches are widely by central banks as they produce smooth term structures with relatively few parameters. In the paper I implement the Nelson and Siegel (1987) model for Switzerland. The estimations use daily observations of Swiss government bonds from January 1994 to...

A measurement error in beta that arises from changes in leverage during the beta estimation window contributes in explaining the size effect. Simulations of asset returns show that the magnitude of the bias in equity returns is proportional to the stock market-induced changes in leverage. We...

The tournament hypothesis of Brown et al. (1996) conjectures that mutual funds with a below average performance over the first half of the year tend to increase their risk in the second half of the year. Schwarz (2012) argues that the methodologies that have been used to test this hypothesis are...

The tournament hypothesis of Brown et al. (1996) posits that managers of poorly performing funds actively increase portfolio risk in the second half of the year. At the same time, it is a well-established stylized fact that stock returns and the subsequent return standard deviation are...