We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five major financial markets (equities, bonds,...

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

We examine the long term investment problem, under stochastic interest and inflation rates and incompleteness. Four basic financial assets are available on the financial market: a money market account (the cash), a real consumption good, a financial stock index and a bond with constant maturity....

The stochastic dominance ordering over probability distributions is one of the most familiar concepts in economic and financial analysis. One difficulty with stochastic dominance is that many distributions are not ranked at all, even when arbitrarily close to other distributions that are....

Institutional investors are predominant on the financial markets and are becoming more active in their portfolio management. This article attempts to enhance our understanding of the incidence of shareholder activism on market reaction in the wake of seve

Market efficiency is among the foremost criteria for making investment decisions when foreign investors attempt to allocate their funds to emerging market assets. If the markets under consideration are efficient, quoted prices of the assets will serve as useful and reliable signals for capital...

We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity returns on the three market risk factors...

We analyze the performance characteristics of sustainable investments over the period 2004-2013. Our un- conditional analysis shows that the sustainable portfolios, represented by the Dow Jones Sustainability Indi- ces (DJSI) for the global and three regional markets, experience lower Sharpe...

The international asset pricing models are mostly developed in the case of parity failure (investors of different countries do not agree on the expected returns on securities). In this case, an equilibrium in the in- ternational asset markets may exist, but not in the international good markets....

This paper tests the time-varying degree of Indonesian market integration using conditional version of the International Capital Asset Pricing Model (ICAPM) with applying a GDC-GARCH. The use of the GDC-GARCH technique allows us to first, describe the time-varying stochastic conditional...