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Economic policy uncertainty and cryptocurrency market as a risk management avenue: A systematic review
Ul Haq, Inzamam; Maneengam, Apichit; Chupradit, Supat; … - In: Risks 9 (2021) 9, pp. 1-24
hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund …
Persistent link: https://www.econbiz.de/10013200827
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Spillovers of the COVID-19 pandemic: Impact on global economic activity, the stock market, and the energy sector
Hasan, Md. Bokhtiar; Sarker, Tapan; Amin, Md. Ruhul - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-18
In this study, we examine the effect of the COVID-19 pandemic on global economic activity, the stock market, and the energy sector considering the sizable damaging impacts in these crucial aspects. Our results, based on the structural vector autoregression (SVAR) model for the data from 21...
Persistent link: https://www.econbiz.de/10012611757
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Shifts in the portfolio holdings of euro area investors in the midst of COVID-19: Looking-through investment funds
Carvalho, Daniel; Schmitz, Martin - 2021
We study the impact of the COVID-19 shock on the portfolio exposures of euro area investors. The analysis "looks-through" holdings of investment fund shares to first gauge euro area investors' full exposures to global debt securities and listed shares by sector at end-2019 and to subsequently...
Persistent link: https://www.econbiz.de/10012515447
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Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market
Kräussl, Roman; Elsland, Niels van - 2008
This study develops a novel 2-step hedonic approach, which is used to construct a price index for German paintings. This approach enables the researcher to use every single auction record, instead of only those auction records that belong to a sub-sample of selected artists. This results in a...
Persistent link: https://www.econbiz.de/10010298394
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The Downside Risk of Heavy Tails induces Low Diversification
Hyung, Namwon; de Vries, Casper G. - 2010
Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...
Persistent link: https://www.econbiz.de/10010325744
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010325965
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Zulassung von Hedge-Fonds in Deutschland: Fluch oder Segen?
Erke, Burkhard; Marquardt, Ralf-M. - In: Wirtschaftsdienst 84 (2004) 5, pp. 309-316
Seit Jahresanfang ist in Deutschland die Auflage von Hedge-Fonds erlaubt. In der Beurteilung solcher Fonds gibt es … allgemeine Aussagen über Hedge-Fonds möglich? …
Persistent link: https://www.econbiz.de/10010303081
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Explaining Hedge Fund Investment Styles by Loss Aversion
Siegmann, Arjen; Lucas, André - 2002
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10010324945
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Incentive contracts and hedge fund management
Hodder, James E.; Jackwerth, Jens Carsten - 2005
This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and...
Persistent link: https://www.econbiz.de/10010266924
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A Note on Hedging a Loan Portfolio
Welzel, Peter; Broll, Udo - 2003
In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on … loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …
Persistent link: https://www.econbiz.de/10010263007