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resulting in a risk premium and expectation errors which is systematic. The paper tests the bias in the Indian forward exchange … leads to assume the presence of risk premium. The study also finds that risk one-month contracts have lesser variability vis …
Persistent link: https://www.econbiz.de/10011111648
First externalities risk due to the size of the companies or the principle that large companies are also at risk of … for savers and investors are taken. If we accept-so conservatively that the risk exposure of a company is limited by its … risk foreseeable losses with positive externalities, then, what can happen with negative derivatives risk capital …
Persistent link: https://www.econbiz.de/10011110979
The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...
Persistent link: https://www.econbiz.de/10011107583
We test the Chen and Singal (2003) hypothesis that speculative short sellers add to the selling pressure on Mondays, and hence add to the weekend effect, by examining evidence from 60 market indices. We find strong evidence that, until about a decade ago, the actions of short sellers could...
Persistent link: https://www.econbiz.de/10011112880
This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis...
Persistent link: https://www.econbiz.de/10011113951
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
, institutional investors like banks can not only compensate for the lower risk-free returns in their major chunk of investments in … Government securities, but also will be able to diversify some amount of their portfolio risk which is expected to rise by taking …
Persistent link: https://www.econbiz.de/10009322669
studies on cross-sectional risk pricing …
Persistent link: https://www.econbiz.de/10011109053
The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...
Persistent link: https://www.econbiz.de/10011112356
In this paper we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after 2006, the Japan stock index is significant over the...
Persistent link: https://www.econbiz.de/10011114131