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Geographic scope and real estate firm performance during the COVID-19 pandemic
Chu, Xiaoling; Lu, Chiuling; Tsang, Desmond - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-16
more diversified strategy. Overall, our study provides novel evidence on the benefit of diversification by demonstrating … the importance of geographic scope and diversification at times of crises. Specifically, we show corporate diversification …, diversification could even become essential for larger firms that are expected by the market to be more diversified. …
Persistent link: https://www.econbiz.de/10012622809
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The impact of corporate diversification and financial structure on firm performance : evidence from South Asian countries
Mehmood, Rashid; Hunjra, Ahmed Imran; Chani, Muhammad Irfan - In: Journal of risk and financial management : JRFM 12 (2019) 1/49, pp. 1-17
We examined the impact of corporate diversification and financial structure on the firms' financial performance. We … product diversification and geographic diversification significantly affected the firms' financial performance. We further …
Persistent link: https://www.econbiz.de/10012022251
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Improved covariance matrix estimation for portfolio risk measurement : a review
Sun, Ruili; Ma, Tiefeng; Liu, Shuangzhe; Sathye, Milind - In: Journal of risk and financial management : JRFM 12 (2019) 1/48, pp. 1-34
The literature on portfolio selection and risk measurement has considerably advanced in recent years. The aim of the present paper is to trace the development of the literature and identify areas that require further research. This paper provides a literature review of the characteristics of...
Persistent link: https://www.econbiz.de/10012022252
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How many stocks are sufficient for equity portfolio diversification? : a review of the literature
Zaimovic, Azra; Omanovic, Adna; Arnaut-Berilo, Almira - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-30
diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …
Persistent link: https://www.econbiz.de/10012795951
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145
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Diversification and fund performance : an analysis of buyout funds
Huss, Matthias; Steger, Daniel - In: Journal of risk and financial management : JRFM 13 (2020) 6/136, pp. 1-16
This paper studies the relationship between portfolio diversification and fund performance, based on an unexplored … focus. Our results suggest that diversification within, but not across industries, associates with higher buyout fund … performance. We do not find a significant relationship between geographical diversification and performance. These results partly …
Persistent link: https://www.econbiz.de/10012309185
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The Solvency II Standard Formula, linear geometry, and diversification
Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12
framework given by the Solvency II Standard Formula. This gives rise to the definition of diversification functions, which we … define as monotone, subadditive, and homogeneous functions on a convex cone. Diversification functions constitute a class of … models for the study of the aggregation of risk and diversification. The aggregation of risk measures using a diversification …
Persistent link: https://www.econbiz.de/10011669008
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International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches
Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66
examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our … PO results imply that the domestic diversification strategy dominates the international diversification strategy at a …
Persistent link: https://www.econbiz.de/10011553184
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A mean-variance diagnosis of the financial crisis : international diversification and safe havens
Eptas, Alexander; Leger, Lawrence A. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 97-117
crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock …
Persistent link: https://www.econbiz.de/10011556006
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Cryptocurrencies, diversification and the COVID-19 pandemic
Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum … Index. This suggests that investments in cryptocurrencies are not likely to offer key diversification strategies in times of …
Persistent link: https://www.econbiz.de/10013161685