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On the diversification benefits of commodities from the perspective of euro investors
Belousova, Julia; Dorfleitner, Gregor - In: Journal of Banking & Finance 36 (2012) 9, pp. 2455-2472
This paper investigates the diversification contribution of several commodities to a portfolio of traditional assets … differentiates between the sources of the diversification benefits in a statistically significant way. The results indicate that the … diversification contribution varies greatly amongst the different commodities. Industrial metals, agriculturals and livestock …
Persistent link: https://www.econbiz.de/10010599665
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Credit and liquidity components of corporate CDS spreads
Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of Banking & Finance 37 (2013) 12, pp. 5511-5525
This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent...
Persistent link: https://www.econbiz.de/10011065649
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Income diversification and risk: Does ownership matter? An empirical examination of Indian banks
Pennathur, Anita K.; Subrahmanyam, Vijaya; Vishwasrao, … - In: Journal of Banking & Finance 36 (2012) 8, pp. 2203-2215
We examine the impact of ownership on income diversification and risk for Indian banks over the period 2001–2009. We … investigate both the determinants of non-interest income and the impact of diversification on various profitability and insolvency … diversification benefits India’s public sector banks. Our research has implications for the changes in the risk profile for banks in …
Persistent link: https://www.econbiz.de/10010599646
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International diversification: An extreme value approach
Chollete, Lorán; de la Peña, Victor; Lu, Ching-Chih - In: Journal of Banking & Finance 36 (2012) 3, pp. 871-885
International diversification has costs and benefits, depending on the degree of asset dependence. We study … international diversification with two dependence measures: correlations and extreme dependence. We discover that dependence has … monotonically with regional returns. Our results are consistent with a tradeoff between international diversification and systemic …
Persistent link: https://www.econbiz.de/10011065732
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Information immobility, industry concentration, and institutional investors’ performance
Fedenia, Mark; Shafer, Sherrill; Skiba, Hilla - In: Journal of Banking & Finance 37 (2013) 6, pp. 2140-2159
related to information immobility. Similarly, information immobility is a significant driver of portfolio under-diversification …
Persistent link: https://www.econbiz.de/10010662602
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Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
Levy, Ariel; Lieberman, Offer - In: Journal of Banking & Finance 37 (2013) 5, pp. 1412-1421
In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and...
Persistent link: https://www.econbiz.de/10010741762
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The MAX effect: European evidence
Walkshäusl, Christian - In: Journal of Banking & Finance 42 (2014) C, pp. 1-10
The maximum daily return over the previous month (MAX) of Bali et al. (2011) is a strong and significant predictor of future stock returns in non-U.S. equity markets. Once it is controlled for MAX in the cross-section of average returns, the puzzling negative idiosyncratic volatility-return...
Persistent link: https://www.econbiz.de/10011065620
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Combining equilibrium, resampling, and analyst’s views in portfolio optimization
Fernandes, Barros; Luiz, José; Ornelas, Haas; Renato, José - In: Journal of Banking & Finance 36 (2012) 5, pp. 1354-1361
methodologies, considering three evaluation dimensions: financial efficiency, diversification, and allocation stability. By …
Persistent link: https://www.econbiz.de/10011065644
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The home bias is here to stay
Levy, Haim; Levy, Moshe - In: Journal of Banking & Finance 47 (2014) C, pp. 29-40
Over the last 15years, dramatically decreasing foreign investment costs have not reduced the home bias. We show that the home bias induced by a given cost is proportional to the factor ρ/(1−ρ), where ρ is the average correlation between markets. This factor is very sensitive to the...
Persistent link: https://www.econbiz.de/10011065679
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Lessons from the evolution of foreign exchange trading strategies
Neely, Christopher J.; Weller, Paul A. - In: Journal of Banking & Finance 37 (2013) 10, pp. 3783-3798
The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange (forex) technical rules in major and...
Persistent link: https://www.econbiz.de/10011065685