Historical research has found a larger than expected premium between equity returns and bond returns. This large premium in observed returns is much larger than the expected premium derived from risk/return equilibrium pricing models. Despite innumerable attempts to explain this anomaly, no...

The objective of this research was to investigate the long-term abnormal priceperformance of South African firms following rights issues over the period 1991-2000. This research makes a number of contributions relative to prior research.South Africa, unlike most other national markets, favours...

Research indicates that international portfolio diversification results in risk reductionand/or improved rates of return across both developed and emerging markets.However, these diversification benefits with developed markets are now lower than theyhave ever been. The purpose of this project...

The rapid internationalization of capital markets in recent times has manifested itself in mobility of equity investment as well as in a growing number of foreign cross-listings. We study a fairly complete sample of all Dutch foreign crosslistings since 1973. By measuring the stock market...

En este documento se analizan las principales tendencias de la actividad emisora de títulos en los mercados internacionales por parte del sector privado durante 2021, un año en el que, pese a observarse una evolución positiva que superó los volúmenes previos a 2020, no se han alcanzado las...

This paper analyses the main trends in the private sector’s issuance activity in international capital markets during 2021, a year in which, despite positive developments that resulted in volumes above pre-2020 levels, the record 2020 figures were not achieved. Thus, the total issuance volume...

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

Since the mid-nineties, agricultural economists discuss the suitability of “weather derivatives” as hedging instruments for volumetric risks in agriculture. Contrary to traditional insurance contracts, the payoffs of such derivatives are linked to weather indices (e.g. accumulated rainfall...

In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff...

An analysis and further development of the building blocks of modern credit risk management:- Definitions of default- Estimation of default probabilities- Exposures- Recovery Rates- Pricing- Concepts of portfolio dependence- Time horizons for risk calculations- Quantification of portfolio risk-...