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The odds of profitable market timing
Buzzacchi, Luigi; Ghezzi, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14
This statistical study refines and updates Sharpe's empirical paper (1975, Financial Analysts Journal) on switching between US common stocks and cash equivalents. According to the original conclusion, profitable market timing relies on a representative portfolio manager who can correctly...
Persistent link: https://www.econbiz.de/10012588009
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Surviving Black Swans II: timing the 2020-2022 roller coaster
Topiwala, Pankaj - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-26
the recent volatile time period, 2020-2022, and especially the unexpected market roller coaster of 2022, to see how our …
Persistent link: https://www.econbiz.de/10014305882
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A comparative analysis of the economic sustainability of cultural work in the UK since the COVID-19 pandemic and examination of universal basic income as a solution for cultural wo...
Doustaly, Cécile; Roy, Vishalakshi - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-17
The COVID-19 pandemic and related lockdowns across the world have greatly affected an already vulnerable cultural economy and the structural precarity of many cultural workers. After documenting the impacts of the pandemic in the cultural sector and the effectiveness of governmental responses in...
Persistent link: https://www.econbiz.de/10013273404
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European FDI in Ireland and Iceland : before and after the financial crisis
Kristjánsdóttir, Helga; Óskarsdóttir, Stefanía - In: Journal of risk and financial management : JRFM 14 (2021) 1/23, pp. 1-12
This paper analyses Foreign Direct Investment (FDI) investment in Ireland and Iceland from other European countries … the financial crisis of 2008, European Union (EU) membership did not help Ireland attract more FDI from other EU countries …. However, once it had been hit by the crisis, Ireland attracted more FDI from other EU countries. Iceland, on the other hand …
Persistent link: https://www.econbiz.de/10012416927
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On setting day-ahead equity trading risk limits
Fuertes, Ana María; Olmo, Jose - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-20
This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...
Persistent link: https://www.econbiz.de/10011543115
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109
periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of …
Persistent link: https://www.econbiz.de/10011553303
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Stock returns and risk : evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 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/10011555867
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Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-yu; Chang, Chia-ling; Chen, Chi-chung; … - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 78-114
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...
Persistent link: https://www.econbiz.de/10011555888
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A pseudo-Bayesian model for stock returns in financial crises
Fung, Eric S.; Lam, Kin; Siu, Tak Kuen; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 43-73
Recently, there has been a considerable interest in the Bayesian approach for explaining investors' behaviorial biases by incorporating conservative and representative heuristics when making financial decisions, (see, for example, Barberis, Shleifer and Vishny (1998)). To establish a...
Persistent link: https://www.econbiz.de/10011555931
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Are entrepreneur-led companies better? : evidence from publicly traded U.S. companies ; 1998-2010
Shulman, Joel M. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 118-138
? Our data suggests they do. We analyze monthly stock returns of U.S. publicly traded companies over the time period 1998 …-2010 and find compelling evidence demonstrating that irrespective of market capitalization and time period, companies led by U …
Persistent link: https://www.econbiz.de/10011556009