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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
determine their investment decisions in contrast with investors in the stock market. The risk weighted returns however represent …
Persistent link: https://www.econbiz.de/10009958067
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Financial analysis on Indian stock market volatility during recession
Arekar, Kirti; Jain, Rinku - In: Advances in management & applied economics 1 (2011) 3, pp. 127-133
In this article, a snapshot of the market performance during the two-year is presented and compared with the major overseas markets. A study considered a market performance of different sectors i.e. Information Technology and Banking with respect to the market. Further we analyzed that which...
Persistent link: https://www.econbiz.de/10010009042
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Is stock always the right choice? : should naive investors avoid stock markets?
Donadelli, Michael - In: Advances in management & applied economics 1 (2011) 3, pp. 93-113
The goal of this paper is to present an original and simple analysis aimed to understand why investing in capital markets can be very dangerous for "naive investors". Stock markets display often exploding volatility. They are characterized by instability and subject to external shocks. If...
Persistent link: https://www.econbiz.de/10010009044
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Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox
Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98
The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...
Persistent link: https://www.econbiz.de/10009957380
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The equity premium puzzle : pitfalls in estimating the coefficient of relative risk aversion
Donadelli, Michael; Prosperi, Lorenzo - In: Journal of applied finance & banking 2 (2012) 2, pp. 177-213
lead to bizarre values of the coefficient of relative risk aversion. On the other side, we claim that the key consumption …
Persistent link: https://www.econbiz.de/10010009117
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Observing evidence of insider trading in the Athens Stock Exchange
Thalassinos, Eleftherios; Maditinos, Dimitrios; … - In: Journal of economic structures : JES; the official … 1 (2012), pp. 1-26
This study proposes a process for observing evidence of insider trading in the Athens Stock Exchange (ASE). This is performed by building an environment which, based upon previous research, common sense and information technology, may be used for observing such evidence. It is designed to be...
Persistent link: https://www.econbiz.de/10010098104
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Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms
Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37
Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures … risk of the Taiwanese firms decreases after the 1997 crisis but is higher after the 2007 crisis increasing thus their …
Persistent link: https://www.econbiz.de/10010148075
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Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles
Corona Dueñas, José Asunción - In: Atlantic review of economics 1 (2012)
In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...
Persistent link: https://www.econbiz.de/10010049034
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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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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