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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
relationship between education returns and risk and second to measure the impact of return and key macro factors on real GDP growth … theory ; GMM …
Persistent link: https://www.econbiz.de/10009958065
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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
This paper examines the factors that affect inflows - outflows of capital in bond mutual funds that operated in the …
Persistent link: https://www.econbiz.de/10009958067
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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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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
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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
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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
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Hedge ratios for short and leveraged ETFs
Schubert, Leo - In: Atlantic review of economics 1 (2011), pp. 1-33
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 … possibilities will be analysed in this paper. Short ETFs exist with different leverage factors. In Europe, the leverage factors 1 (e …
Persistent link: https://www.econbiz.de/10009958835
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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 to the selection of high risk-high return portfolios. In particular, it provides conditions under which a non-monotone payment structure emerges as an optimal contract, which...
Persistent link: https://www.econbiz.de/10009959108
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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
The paper presents the essence and ways of limiting the level of investment risk through the processes of diversifying the composition of investment portfolios. The paper shows types of deposit portfolios. The author analyzed the profitability of deposit portfolios with various share of...
Persistent link: https://www.econbiz.de/10009959717
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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