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Are practitioners right?On the relative importance of industrial factors in international stock returns
Isakov, Dusan; Sonney, Frederic - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper investigates the relative influences of industrial and country factors in international stock returns. Until very recently, academic research has consistently found that country factors dominate industrial factors. This result is in contradiction with practitioners beliefs. This paper...
Persistent link: https://www.econbiz.de/10005859102
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Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries
Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...
Persistent link: https://www.econbiz.de/10005857744
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Geographic versus Industry Diversification : Constraints Matter
Ehling, Paul; Ramos, Sofia B. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...
Persistent link: https://www.econbiz.de/10005857789
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Stock Exchange Competition in a Simple Model of Capital Market Equilibrium
Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...
Persistent link: https://www.econbiz.de/10005858015
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Endogenous Acquisition of Information and The Equity Home Bias
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper investigates the extent to which differences in information costs can explain the equity home bias puzzle … that–if cost functions are convex–the expected size of the equity home bias in terms of differences in invested amounts is … suggests that the information cost explanation accounts only for a small fraction of the observed equity home bias. …
Persistent link: https://www.econbiz.de/10005858507
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Financial Integration, Economic Instability And Trade Structure In Emerging Markets
Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this study, we first estimate the level of financial integration for twenty five emerging stock markets over the last decade. Using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk, we...
Persistent link: https://www.econbiz.de/10005858763
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How to diversify internationally?A comparison of conditional and unconditional asset allocation methods
Barras, Laurent; Isakov, Dusan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
o obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes...
Persistent link: https://www.econbiz.de/10005859126
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Expected Life-Time Utility and Hedging Demands In a Partially Observable Economy
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent general equilibrium under incomplete information. We derive an expression for the investor’s expected life-time utility, and analyze his hedging demands for intertemporal changes...
Persistent link: https://www.econbiz.de/10005858506
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The Effect of Information Quality on Optimal Portfolio Choice
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2005
, the share of wealth invested in the stock is decreasing in the variance of the stock. However, for an insider, the effect …
Persistent link: https://www.econbiz.de/10005858588
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International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post-war economies and its...
Persistent link: https://www.econbiz.de/10005858383