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SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS
NWAOBI, GODWIN - EconWPA - 2005
The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...
Persistent link: https://www.econbiz.de/10005561601
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Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution
LOS, CORNELIS A. - EconWPA - 2004
In an earlier paper (Los, 1998a), the exact and complete return attribution framework of Singer and Karnosky (1995) was extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting identities, the resulting degenerate portfolio choice...
Persistent link: https://www.econbiz.de/10005125061
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International Portfolio Investment: Theory, Evidence, and Institutional Framework
Bartram, Sohnke M.; Dufey, Gunter - EconWPA - 2001
other countries, hedge their consumption basket against ex-change rate risk, realize diversification effects and take …
Persistent link: https://www.econbiz.de/10005134901
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Hedge Fund Performance and Persistence in Bull and Bear Markets
Daniel, Capocci; Albert, Corhay; Georges, Hübner - EconWPA - 2004
Hedge Fund Performance and Persistence in Bull and Bear Markets DANIEL P.J. CAPOCCI University of Liege - Economics … paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends … biases in hedge funds studies, despite the high attrition rate of funds observed in the down market. We apply an original ten …
Persistent link: https://www.econbiz.de/10005134919
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Structural versus Temporary Drivers of Country and Industry Risk
Baele, Lieven; Inghelbrecht, Koen - EconWPA - 2005
This paper analyzes the dynamics and determinants of the relative benefits of geographical and industry diversification over the last 30 years. First, we develop a new structural regime-switching volatility spillover model to decompose total risk into a systematic and a country (industry)...
Persistent link: https://www.econbiz.de/10005408196
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Country Funds and Asymmetric Information
Frankel, Jeffrey A.; Schmukler, Sergio L. - EconWPA - 1998
Closed-end country funds trade in New York at their price. Their Net Asset Value (NAV) represent the value of the underlying assets, usually traded in each particular country. If the holders of the underlying assets have more information about local assets than the country fund holders, changes...
Persistent link: https://www.econbiz.de/10005408198
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Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.
Cortazar, Gonzalo; Bernales, Alejandro; Beuermann, Diether - EconWPA - 2005
This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...
Persistent link: https://www.econbiz.de/10005413068
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Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
LOS, CORNELIS A. - EconWPA - 2004
Singer and Karnosky's (1995) exact and complete return attribution framework does not account for risk, since it ignores accumulated historical information. Its implied investment strategy selection is based on simple return maximization and ignores that investment strategies are correlated via...
Persistent link: https://www.econbiz.de/10005413087
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DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...
Persistent link: https://www.econbiz.de/10005413097
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Spillovers across High Yield Markets
Moschitz, Julius - EconWPA - 2004
This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate … bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly …
Persistent link: https://www.econbiz.de/10005413232