Narrow search
Showing 1 - 10 of 1,583
Cover Image
Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...
Persistent link: https://www.econbiz.de/10011261127
Cover Image
U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...
Persistent link: https://www.econbiz.de/10011109053
Cover Image
U.K. cross-sectional equity data: The case for robust investability filters
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2012
We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...
Persistent link: https://www.econbiz.de/10011112881
Cover Image
Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Galkiewicz, Dominika Paula - Volkswirtschaftliche Fakultät, … - 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011220308
Cover Image
Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Galkiewicz, Dominika Paula - Volkswirtschaftliche Fakultät, … - 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011220510
Cover Image
Leverage, return, volatility and contagion: Evidence from the portfolio framework
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
intrinsic to the capital market behaviour. Theoretically, the leverage of the firms appears to be a major determinant of the … volatility of prices and returns. At the same time, the leverage has also got a role at both levels: the capital structure of the … firm and the investors’ strategy. We examine the return and volatility in relation to leverage by considering different …
Persistent link: https://www.econbiz.de/10011110266
Cover Image
Enhancing balanced portfolios with cppi methodologies – insights from a simulation exercise
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2008
We investigate if using a CPPI-style methodology it is possible to “improve” the distribution of portfolio returns from the point of view of an investor holding a balanced portfolio with different allocations in Equities, and whose concern is to avoid significant negative returns and in...
Persistent link: https://www.econbiz.de/10011260913
Cover Image
EMU sovereign spreads and macroeconomic news
Arru, Daniela; Iacovoni, Davide; Monteforte, Libero; … - Volkswirtschaftliche Fakultät, … - 2012
We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by...
Persistent link: https://www.econbiz.de/10009654204
Cover Image
Hedging Effectiveness under Conditions of Asymmetry
Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...
Persistent link: https://www.econbiz.de/10005837212
Cover Image
Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
Kucuk, Ugur N. - Volkswirtschaftliche Fakultät, … - 2010
This article shows that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk, such as liquidity. The author estimates the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the...
Persistent link: https://www.econbiz.de/10008764702