Weighted Average Cost of Capital, (Un)levered Beta
Exams

Weighted Average Cost of Capital, (Un)levered Beta

"A company must finance its assets with capital. There are two primary sources of capital: debt and equity. That's how you end up with the fundamental accounting equation: $A=L+E$. "$L$" stands for liabilities, which is just another name for debt. The capital providers collectively own all the assets. The debt holders and equity holders own the assets. They provided the funds to buy the assets. When the company . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
4 min read
Sustainable Investing and the Cross-Section of Stocks Risks and Returns
Finance

Sustainable Investing and the Cross-Section of Stocks Risks and Returns

AbstractThe identification of factors that predict the cross-section of stock returns has been a focus of asset pricing theory for decades. We address this challenging problem for both equity performance and risk, the latter through the maximum drawdown measure. We test a variety of regression-based models used in the field of supervised learning including penalized linear regression, tree-based models, and neural networks. Using empirical data in the US market from . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
5 min read
Endogenous Risk, Indirect Contagion, and Systemic Risk
Finance

Endogenous Risk, Indirect Contagion, and Systemic Risk

Rama Cont, University of Oxford Abstract: Deleveraging by financial institutions in response to losses may lead to contagion of losses across institutions with common asset holdings. Unlike direct contagion via counterparty exposures, this channel of contagion - which we call indirect contagion - is mediated through market prices and does not require bilateral exposures or relations. We show nevertheless that indirect contagion in the financial system may be modeled as . . .

  • Daniel Suryakusuma
    Daniel Suryakusuma
5 min read