In this paper, we analyze how tail risk impacts both asset prices and the optimal asset allocation. For this purpose, we consider an equilibrium model with investors exhibiting an empirically well-justifiable decreasing relative risk aversion (DRRA) and different investment horizons. In contrast...

In a passive investing strategy through indexation, the portfolio performance will depend largely on the ability to choose the best index. In this paper, we study the performance of four of the main stock indices in Mexico with the intention of selecting the best one for a passive investing...

This paper examines the long-term dependence between the Polish and German stock markets in terms of industry beta risk estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and German beta parameters of five Polish and three...

The influence of liquidity costs and liquidity risk on asset returns has been proven by several empirical studies. This paper analyzes the conditional version of the liquidity-adjusted capital asset pricing model and shows that betas significantly vary over different economic regimes and that...

Es werden die mathematischen Einflussgrößen risikobehafteter Investments auf die Vermögensentwicklung analysiert. Danach muss bei solchen Anlagen das Verhältnis Gewinn/Verlust einen berechenbaren Mindestbetrag ausmachen und die Anlagehöhe darf in Prozent vom Vermögen einen bestimmten Wert...

The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics as the weighted average cost of capital (WACC) equity component. This study introduces two new costs of equity measures to address CAPM criticisms and provide new perspective on...

This study tests the impact of usage of Twitter as a microblogging service provider on shareholders’ returns and abnormal returns. In accordance with this purpose, two portfolios were created based on measurement of whether firms had a Twitter account and, if so, their number of followers and...

Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk. However, traditional OLS Beta model estimations (Ordinary Least Squares) are plagued with several statistical issues. Moreover, the CAPM considers only one source of risk and...

This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between...

Eine möglichst breite Streuung der Geldanlagen gilt als eine wichtige Strategie der Risikominimierung bei Investitionsentscheidungen. Die Mehrzahl der Haushalte in Deutschland streut auch ihr Geldvermögen über mehrere Anlageformen. Ihr Anlageverhalten stimmt jedoch nur bedingt mit der von...