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Stock returns and risk: Evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011843232

Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-19

Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...

Persistent link: https://www.econbiz.de/10013201039

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012611108

Do diamond stocks shine brighter than diamonds?

Jotanovic, Vera; D'Ecclesia, Rita L. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-19

This paper addresses two practical investment questions: Is investing in the diamond equity market a more feasible and liquid alternative to investing in diamonds? Additionally, is diamond equity affected by polished diamond prices? We assemble an original database of diamond mining stock prices...

Persistent link: https://www.econbiz.de/10012611119

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-21

produces relatively superior performance compared to the benchmark GMV portfolio. …

Persistent link: https://www.econbiz.de/10012611153

Return and volatility transmission between world-leading and Latin American stock markets: Portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...

Persistent link: https://www.econbiz.de/10012611377

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets: Implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-28

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...

Persistent link: https://www.econbiz.de/10012611471

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries

Sahabuddin, Mohammad; Tabash, Mosab I.; Alam, Md. Kausar; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and...

Persistent link: https://www.econbiz.de/10014332858

Pre-IPO financial performance and offer price estimation: Evidence from India

Yadav, Ajay; Prosad, Jaya Mamta - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-19

Performance Indicators and IPO Offer Prices. It seeks to assist Indian IPO investors to make more informed decisions by advancing … their knowledge about relevant Pre-IPO Financial Performance Indicators that are effective predictors of Offer Price. The … multiple linear regression model. This study uses a range of fundamental factors related to financial performance in a single …

Persistent link: https://www.econbiz.de/10014332881

Models for risk aggregation and sensitivity analysis: An application to bank economic capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 118-189

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...

Persistent link: https://www.econbiz.de/10011843220

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