The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to...

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying stochastic process is assumed to be a normal mixture process with time-varying volatility. We compare the Aumann-Serrano performance index for multi-period gambles with that for...

Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low uncertainty and low concern about inflation. Using a...

We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another...

The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...

The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock market. To estimate the significance and importance of...

The aim of this article was to identify the role and specific mechanisms of the stock exchange in promoting corporate social responsibility (CSR) and CSR communications among companies listed on the Romanian capital market given country membership of the European Union. Taking into account the...

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the Nikkei Stock Average (Nikkei), the Tokyo Stock Price Index (TOPIX) and the TOPIX sectoral indices for the period of 10 February 2016 to 24 March 2017. We employed the exponential...