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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

Persistent link: https://www.econbiz.de/10012813880

Optimal returns in Indian stock market during global pandemic : a comparative study

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-13

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...

Persistent link: https://www.econbiz.de/10012799165

Optimizing stock market returns during global pandemic using regression in the context of Indian stock market

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...

Persistent link: https://www.econbiz.de/10012627066

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-30

offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance … performance and risk. The measures chosen are the Annualised Total Return, the Annualised Volatility, the Annualised Sharpe Ratio … and momentum, are able to certify better risk-adjusted returns. …

Persistent link: https://www.econbiz.de/10012622400

Unleveraged portfolios and pure allocation return

Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11

In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to...

Persistent link: https://www.econbiz.de/10012795929

Performance dynamics of international exchange-traded funds

Bahadar, Stephen; Gan, Christopher; Nguyen, Cuong - In: Journal of risk and financial management : JRFM 13 (2020) 8/169, pp. 1-14

Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite...

Persistent link: https://www.econbiz.de/10012322206

The investment performance of ethical equity funds in Malaysia

Fadillah Mansor; Bhatti, Muhammad Ishaq; Rahman, Shafiqur; … - In: Journal of risk and financial management : JRFM 13 (2020) 9/219, pp. 1-14

managers´ investment decisions, but also for sensitive shariah-compliant investors and risk-seeking investors of Islamic equity …

Persistent link: https://www.econbiz.de/10012384341

The determinants of the performance of precious metal mutual funds

Tsolas, Ioannis E. - In: Journal of risk and financial management : JRFM 13 (2020) 11/286, pp. 1-10

The aim of this paper is to assess the efficiency of a set of 62 precious metal mutual funds (PMMFs) and to explain performance differences between funds using weighted additive data envelopment analysis (DEA) and Tobit regression, respectively. The contribution of this paper is twofold: to...

Persistent link: https://www.econbiz.de/10012388604

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, hand-collected dataset of buyout funds. The dataset comprises detailed information at the level of portfolio companies, which allows measuring the concentration of the fund...

Persistent link: https://www.econbiz.de/10012309185

The outperformance probability of mutual funds

Frahm, Gabriel; Huber, Ferdinand - In: Journal of risk and financial management : JRFM 12 (2019) 3/108, pp. 1-29

We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to...

Persistent link: https://www.econbiz.de/10012025291

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