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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

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

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

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

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

The non-linear trade-off between return and risk: a regime-switching multi-factor framework

Cotter, John; Salvador, Enrique - Geary Institute, University College Dublin - 2014

This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be...

Persistent link: https://www.econbiz.de/10010944726

Performance of Utility Based Hedges

Cotter, John; Hanly, Jim - Geary Institute, University College Dublin - 2014

Hedgers as investors are concerned with both risk and return; however the literature has generally neglected the role of both returns and investor risk aversion by its focus on minimum variance hedging. In this paper we address this by using utility based performance metrics to evaluate the...

Persistent link: https://www.econbiz.de/10010748282

Hedging Effectiveness under Conditions of Asymmetry

Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 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/10005837212

Hedging: Scaling and the Investor Horizon

Cotter, John; Hanly, Jim - Geary Institute, University College Dublin - 2010

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/10008487713

Time Varying Risk Aversion: An Application to Energy Hedging

Cotter, John; Hanly, Jim - Geary Institute, University College Dublin - 2010

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/10008487726