Similar Search Results

An empirical investigation of the performance of Japanese mutual funds: Skill or luck?

Pilbeam, Keith; Preston, Hamish - In: International Journal of Financial Studies 7 (2019) 1, pp. 1-16

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen's alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor...

Persistent link: https://www.econbiz.de/10011996157

Efficiency analysis of Islamic banks in the Middle East and North Africa region: A bootstrap DEA approach

Bahrini, Raéf - In: International Journal of Financial Studies 5 (2017) 1, pp. 1-13

This paper measures and analyzes the technical efficiency of Islamic banks in the Middle East and North Africa (MENA) region during the period 2007-2012. To do this, the bootstrap Data Envelopment Analysis (DEA) approach was employed in order to provide a robust estimation of the overall...

Persistent link: https://www.econbiz.de/10011709028

The Bayesian approach to capital allocation at operational risk: A combination of statistical data and expert opinion

Habachi, Mohamed; Benbachir, Saâd - In: International Journal of Financial Studies 8 (2020) 1, pp. 1-24

Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

Persistent link: https://www.econbiz.de/10013200256

Bank credit risk management and rating migration analysis on the business cycle

Gavalas, Dimitris; Syriopoulos, Theodore - In: International Journal of Financial Studies 2 (2014) 1, pp. 122-143

Credit risk measurement remains a critical field of top priority in banking finance, directly implicated in the recent global financial crisis. This paper examines the dynamic linkages between credit risk migration due to rating shifts and prevailing macroeconomic conditions, reflected in...

Persistent link: https://www.econbiz.de/10010421236

Convergence studies on Monte Carlo methods for pricing mortgage-backed securities

Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies 3 (2015) 2, pp. 136-150

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...

Persistent link: https://www.econbiz.de/10011708977

Large-scale empirical tests of the Markov Tree model

Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies 3 (2015) 3, pp. 280-318

The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston's stochastic volatility model. Leveraging a...

Persistent link: https://www.econbiz.de/10011708984

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-13

In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite difference methods are popular for solving a PDE...

Persistent link: https://www.econbiz.de/10013200324

Goodness-of-fit versus significance: A CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies 5 (2017) 4, pp. 1-21

chosen based on goodness-of-fit tests and parameters significance. Finally, using the selected dynamic models, VaR (Value …-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those … based on CAPM with static betas or historical VaR. …

Persistent link: https://www.econbiz.de/10011996066

An empirical investigation of risk-return relations in Chinese equity markets: Evidence from aggregate and sectoral data

Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-22

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...

Persistent link: https://www.econbiz.de/10011996123

Time varying spillovers between the online search volume and stock returns: Case of CESEE markets

Škrinjarić, Tihana - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-30

series for selected CESEE countries by using a novel approach of spillover indices within the VAR (Vector AutoRegression …

Persistent link: https://www.econbiz.de/10013200237