llustrate illiquidity risk and small cap premium
My investment bank told me that beta given by Bloomberg incorporates the illiquidity risk and small cap premium since Bloomberg does well-known Bloomberg adjustment formula. Is it true?
Expert
No. The well-known “Bloomberg adjustment formula” is an arbitrary adjustment within order to converge computed betas to 1 and contains multiplying the calculated beta with 0.67 and adding 0.33 to this. Adj. Beta = 0.67 x raw beta + 0.33. This is significant to point out that such adjustment is fully arbitrary.
Below are the three-month HIBOR and three-year EFN futures (that is, Exchange Fund Note) prices for the September 2010 contracts.a) Find out the HIBOR in three-months for settling the future contract utilizing the quotation on August 16. Q : Who was the first to quantify the idea Who was the first to quantify the idea of Brownian motion?
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