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Nowhere to Run, Nowhere to Hide : Asset Diversification in a Flat World
Cotter, John - 2018
We estimate trends in diversification for equity, debt, and real estate within and across countries. After 2000, we uncover a marked and near ubiquitous decline in diversification, which coincides with sharply higher levels of investment risk. This decline is associated with country economic...
Persistent link: https://www.econbiz.de/10012919747
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Nowhere to Run, Nowhere to Hide : Asset Diversification in a Flat World
Cotter, John - 2016
We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous decline in diversification potential across asset classes and markets for the post-2000 period. Analysis of panel data suggests that the decline is...
Persistent link: https://www.econbiz.de/10012981220
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Whither Diversification?
Cotter, John; Gabriel, Stuart A.; Roll, Richard - 2023
Asset diversification has long been fundamental to investment risk mitigation. We compute new long-term country-specific indices of diversification potential for equity, sovereign debt, and real estate. Findings for the 1986-2021 study period indicate markedly declining or persistently dampened...
Persistent link: https://www.econbiz.de/10014257911
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Diversification With Globally Integrated US Stocks
Conlon, Thomas; Cotter, John; Ropotos, Ioannis - 2023
firm-level integration are explored across time and industries and then stocks are sorted into high- and low …-integration portfolios. The role of the least globally integrated US stocks in domestic and international portfolio diversification is … assessed. We show that these stocks can statistically and economically augment diversification potential, especially after 2000 …
Persistent link: https://www.econbiz.de/10014349350
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Are Equity Market Anomalies Disappearing? Evidence from the U.K
Cotter, John - 2018
We study the persistence over time of nine well-known equity market anomalies in the cross-section of U.K. stocks. We …
Persistent link: https://www.econbiz.de/10012930233
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Hedging : Scaling and the Investor Horizon
Cotter, John - 2014
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to...
Persistent link: https://www.econbiz.de/10013070499
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Time Varying Risk Aversion : An Application to Energy Hedging
Cotter, John - 2014
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10013070500
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Re-Evaluating Hedging Performance
Cotter, John - 2007
Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using...
Persistent link: https://www.econbiz.de/10012729840
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Hedging Effectiveness Under Conditions of Asymmetry
Cotter, John - 2007
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...
Persistent link: https://www.econbiz.de/10012729841
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The Non-Linear Trade-Off Between Return and Risk and Its Determinants
Cotter, John - 2020
stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also …
Persistent link: https://www.econbiz.de/10012856485