Vorgestellt wird eine empirische Studie, welche die Schätzung eines fundamentalen Multi-Faktor-Modells für ein Universum europäischer Aktien beinhaltet. Als Methode wurde in Anlehnung an die Vorgehensweise im BARRA-Modell der Querschnittsanalyse der Vorzug gegeben. Der Anteil der erklärten...

Real estate is an important asset, but as a direct investment subject to several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the analysis of inflation risk of...

This paper studies the impact of EMU on portfolio diversification opportunities.

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.

This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.

It is well known that non-normality plays an important role in asset and risk management.However, handling a large number of assets has long been a challenge.In this paper, we present a statistical technique that extends Principal ComponentAnalysis to higher moments such as skewness and...

By allowing for imperfectly informed markets and the role of private information, we offer newinsights about observed deviations of portfolio concentrations in domestic relative to foreignrisky assets, or “home bias”, from what standard finance models predict. Our model ascribesthe...

The Fama and French (1993) three factor model has been used in controlling for risk in theestimation of abnormal returns stemming from various events (e.g., IPOs, takeovers, etc.),portfolio strategies (e.g., those exploiting accounting numbers such as post-earningsannouncement drift or total...

In this paper, we investigate the German stock market with regard to negative stubvalues or parent company puzzles. These are situations where a firms marketvalue is less than the value of its ownership stake in a publicly traded subsidiary.According to MITCHELL/PULVINO/STAFFORD (2002), negative...