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Measuring exchange rate fluctuations risk using the value-at-risk
Akhtekhane, Saeed Shaker; Mohammadi, Parastoo - In: Journal of applied finance & banking 2 (2012) 3, pp. 65-79
The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation...
Persistent link: https://www.econbiz.de/10010009131
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The status quo bias of bond market analysts
Gubaydullina, Zulia; Hein, Oliver; Spiwoks, Markus - In: Journal of applied finance & banking 1 (2011) 1, pp. 31-51
Status quo bias is a systematic cognitive error which makes it difficult for individuals to make decisions independently of the currently dominant situation. This study pursues the question of whether bond market analysts are affected by status quo bias. We evaluated interest rate forecast...
Persistent link: https://www.econbiz.de/10009958484
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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
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A recommended financial model for the selection of safest portfolio by using simulation and optimization techniques
Arekar, Kirti; Kumar, Sanjeevani - In: Journal of applied finance & banking 1 (2011) 1, pp. 131-142
Investment of portfolio known that there is an important level of uncertainty about the future worth of a portfolio. The concept of value at risk (VAR) has been used to help describe a portfolio's uncertainty. The current trend of investment in India is to invest in stock market which...
Persistent link: https://www.econbiz.de/10009958480
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Financial markets, bloated governments and the misallocation of capital
Savvides, Savvakis C. - In: Journal of finance and investment analysis 1 (2012) 2, pp. 201-219
Through this paper the author discusses the phenomenon of excessive Government borrowing and the factors that lead Governments to be so dependent on financial markets. It is argued that the combined effect of unregulated financial intermediaries, hedge funds and Credit Rating Agencies in...
Persistent link: https://www.econbiz.de/10010079549
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Testing the profitablitiy of a volume-augmented momentum strategy in the Phillipines equity market
Shawn, Lim Kai Jie; Dawai, Darius Lim; Weijie, Mak; … - In: Journal of applied finance & banking 3 (2013) 1, pp. 1-12
This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...
Persistent link: https://www.econbiz.de/10010118438
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The forecasting performances of volatility models in emerging stock markets : is a generalization really possible?
Iltuzer, Zeynep; Tas, Oktay - In: Journal of applied finance & banking 3 (2013) 2, pp. 49-73
In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous …. In order to find out outperforming model in general not just in the contexts of studies, volatility models should be …, EWMA), GARCH family models (GARCH, GRJ-GARCH, GARCH, APARCH, NAGARCH, FIGARCH) and Stochastic Volatility model. The …
Persistent link: https://www.econbiz.de/10010148073
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Performance comparison between Dollar Cost Averaging and Value Averaging Investment Strategies and the impacts of investment horizon and target terminal wealth
Panyagometh, Kamphol - In: Journal of applied finance & banking 3 (2013) 3, pp. 15-27
This study employs the techniques of Monte Carlo Simulation and Genetic Algorithms Based Optimization aimed at analyzing the impacts of investment horizon and target terminal wealth on the performance of the Dollar Cost Averaging (DCA) investment strategy in comparison with the Value Averaging...
Persistent link: https://www.econbiz.de/10010148094
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A comparison of performance measures for finding the best measure of business entity performance : source from the Tehran Stock Exchange
Kootanaee, Hamidreza Javadian; Kootanaee, Akbar Javadian; … - In: Journal of finance and investment analysis 1 (2012) 4, pp. 27-35
One of the most important goals of a business unit is creating value and wealth for its shareholders and attracting them for more investment. The success of management, and consequently the success of the business unit, is measured by the level of value created for its shareholders. Economic...
Persistent link: https://www.econbiz.de/10010148277
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The rebuilding of the Cyprus economy
Savvides, Savvakis C. - In: Journal of finance and investment analysis 2 (2013) 2, pp. 107-123
Following the extra ordinary decision to bail in the unsecured depositors and restructure the two main banks and the near complete destruction of the country’s economic business model as an International Financial Centre, the author considers the changes necessary to rebuild the economy of...
Persistent link: https://www.econbiz.de/10010148292