Reliable estimates of variances and covariances are crucial for portfolio management and risk controlling. This paper investigates alternative methods to estimate time varying variance-covariance matrices: ordinary estimates and exponentially weighted moving averages in comparison to Markov...

This paper presents an empirical approach that combines competing paradigms of mod-eling in empirical capital market research. The approach simultaneously estimates the explanatory power of fundamentals, expectations, and historic yield patterns, making it possible to test the extent to which...

It is an investment portfolio composed of four different stocks, which two are picked from U.S.-Based MNCs and the other two are from Foreign Stocks (ADRs). The amount invested in each stock is $10.000.A forming portfolio of $40.000 is monitored, evaluated and, estimated on an approximate period...

Value investment and growth investment have attracted a large amount of research in recent decades, but most of this research focuses on the U.S. and Europe. This article covers the Thai stock market which has very different characteristics compared to western markets and even South East Asian...