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Economic returns and risks to investment in education : an application of the multifactor CAPM

Athanassiadis, Antonios - In: International journal of economic sciences and applied … 4 (2011) 1, pp. 95-120

Considering the investment in education as uncertain financial decision making we modify the short-cut method of calculating rates of return to education by incorporating the risk premium. Recognizing that market risk isn't the only factor affecting returns, we estimate the returns to education...

Persistent link: https://www.econbiz.de/10009958065

The determinants of cash flows in Greek bond mutual funds

Grose, Christos - In: International journal of economic sciences and applied … 4 (2011) 1, pp. 55-77

investment policy where bond investments are considered to be an integral part of a diversified portfolio. -- bond mutual funds …

Persistent link: https://www.econbiz.de/10009958067

The amendment and empirical test of arbitrage pricing models

Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of applied finance & banking 1 (2011) 1, pp. 163-177

The classical APT model is of the form r j - E(r j) = beta j(I - EI) + epsilon j, where r j - E(r j) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the...

Persistent link: https://www.econbiz.de/10009958478

The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162

Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...

Persistent link: https://www.econbiz.de/10009958479

Tests of the overreaction hypothesis and the timing of mean reversals on the JSE Securities Exchange (JSE) : the case of South Africa

Hsieh, Heng-hsing; Hodnett, Kathleen - In: Journal of applied finance & banking 1 (2011) 1, pp. 107-130

This paper examines the overreaction hypothesis on the JSE Securities Exchange (JSE) documented by Page and Way [5] and Muller [4] over a longer and more recent period from 01 January 1993 to 31 March 2009. The mean reversals due to investor overreaction are found to be stronger for the past...

Persistent link: https://www.econbiz.de/10009958481

Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...

Persistent link: https://www.econbiz.de/10009958483

Hedge ratios for short and leveraged ETFs

Schubert, Leo - In: Atlantic review of economics 1 (2011), pp. 1-33

ETF is an index. Fund management today uses the active and the passive way to construct a portfolio. ETFs can be used for … passive portfolio management, for which ETFs with positive leverage factors are preferred. In the frame of an active portfolio … management the ETFs with negative leverage factors can also be applied for the hedge or cross hedge of a portfolio. These hedging …

Persistent link: https://www.econbiz.de/10009958835

Esquemas de incentivos y carteras de inversión innovadoras

Loyola, Gino; Portilla, Yolanda - In: Estudios de economía 37 (2010) 1, pp. 43-66

This article characterizes the properties of the compensation scheme of delegated portfolio management that would lead … compensation ; delegated portfolio management ; nonmonotone incentive schemes ; non-monotone likelihood ratio property …

Persistent link: https://www.econbiz.de/10009959108

Diversification of investment portfolios as an instrument used by institutional investors in the capital management process

Trippner, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 85-93

recession in 2007-2008 on the profitability of particular investment portfolios. -- collective investor ; investment portfolio …

Persistent link: https://www.econbiz.de/10009959717

The use of capital market instruments in investment of European insurance companies

Wolski, Rafał - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 4, pp. 92-99

The financial and the insurance markets are increasingly penetrating each other, accounting for the fact that insurers are more and more often seen as major institutional investors of capital markets. The capital market offers a range of new opportunities, although it is not devoid of faults,...

Persistent link: https://www.econbiz.de/10009959726