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A Note on Dual Hedging
Lien, Donald - In: International Journal of Business and Economics 3 (2004) 1, pp. 29-34
Under current Internal Revenue Services guidelines, gains from futures contracts serving price (quantity) risk management purposes are treated as ordinary (capital) income. This paper finds that, although dual hedging opportunities are available, the asymmetric tax treatment prevents firms from...
Persistent link: https://www.econbiz.de/10010837282
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Debt Sustainability in the Case of External Debt. An Analysis Based on Italy's Treasury Auctions
Cafiso, Gianluca - CESifo - 2014
empirical and considers the case of Italy, one of the world’s largest debt issuer. We study the potential effects on the …
Persistent link: https://www.econbiz.de/10010948904
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Style, Fees and Performance of Italian Equity Funds
Cesari, R.; Panetta, F. - Banca d'Italia - 1998
Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...
Persistent link: https://www.econbiz.de/10005486714
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Institute - 1999
distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …
Persistent link: https://www.econbiz.de/10005144576
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Examination of Relationship Between Stock Returns and Factors Affecting Capital Structure and Financial Ratios with ANFIS Method: An Application on ISE 100 Index
Yoruk, Nevin; Karaca, S. Serdar; Hekim, Mahmut; Tuna, … - In: Anadolu University Journal of Social Sciences 13 (2013) 2, pp. 101-114
approximately same estimation success. As a result, we showed that this model provides the same success by using less number of …
Persistent link: https://www.econbiz.de/10010676197
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Estimating short-run persistence in mutual fund performance
ter Horst, Jenke; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 1997
Persistent link: https://www.econbiz.de/10011092210
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Instituut - 1999
orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10011256282
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Network-Based Measures of Systemic Risk in Korea
Choi, Jaewon - 2020
economy in large business groups and a few export-oriented sectors, we perform three levels of estimation using individual …
Persistent link: https://www.econbiz.de/10012838700
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A Multibeta Representation Theorem for Linear Asset Pricing Theories
Nawalkha, Sanjay K. - 2009
This paper derives a multibeta representation theorem for pricing assets using arbitrary reference variables that are not necessarily the true factors. Under this theorem, the upper bound on pricing deviations depends upon the correlations not only between the reference variables and the factors...
Persistent link: https://www.econbiz.de/10012721347
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Predicting Hedge Fund Failure : A Comparison of Risk Measures
Liang, Bing - 2009
This paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for styles, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with...
Persistent link: https://www.econbiz.de/10012721348