Search Results - subject:"portfolio rebalancing"

Equity order flow and exchange rate dynamics

Ferreira Filipe, Sara - In: Journal of Empirical Finance 19 (2012) 3, pp. 359-381

-specific shocks to account for the empirical results. It can explain why the ‘portfolio rebalancing motive’ is not important for …

Persistent link: https://www.econbiz.de/10010576507

International capital flows and transmission of financial crises

Goenka, Aditya; Boschi, Melisso - Econometric Society - 2004

This paper proposes a model encompassing alternative views of contagion by highlighting the different channels of transmission of financial crises in an unifying framework. We study investor behaviour when they are affected by external habit formation. It is shown how international portfolio...

Persistent link: https://www.econbiz.de/10005702724

Private Risk

Kaufman, Gordon M.; Mattar, Mahdi - Sloan School of Management, Massachusetts Institute of … - 2003

in financial markets. We show that allowing portfolio rebalancing in a distributive bargaining setting with risk averse …

Persistent link: https://www.econbiz.de/10005458624

The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada

Athanassakos, George - In: Multinational Finance Journal 6 (2002) 1, pp. 1-27

This article examines whether seasonality is present in the excess returns of low risk Canadian firms in safe industries for a sample of firms that are highly scrutinized and visible and uses such tests as the foundation to empirically test competing explanations of stock market seasonality,...

Persistent link: https://www.econbiz.de/10010937262

Models and Simulations for Portfolio Rebalancing

Guastaroba, Gianfranco; Mansini, Renata; Speranza, M. - In: Computational Economics 33 (2009) 3, pp. 237-262

Persistent link: https://www.econbiz.de/10005701766

Quantitative Monetary Easing and Risk in Financial Asset Markets

Kimura, Takeshi; Small, David - In: Topics in Macroeconomics 6 (2006) 1, pp. 1274-1274

In this paper, we empirically examine the portfolio-rebalancing effects stemming from the policy of "quantitative …. Portfolio-rebalancing effects resulting from the open market purchase of long-term government bonds under this policy have been … statistically significant. Our results also show that the portfolio-rebalancing effects were beneficial in that they reduced risk …

Persistent link: https://www.econbiz.de/10005086977