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Returns on investment of deposit money banks (DMBs) in Nigeria

Bosede, Adegboye Folasade; Olusegun, Olowe; … - In: Journal of applied finance & banking 3 (2013) 3, pp. 195-206

This paper provides an in-depth study on the history and evolution of Commercial Bank characteristic factors and other Macroeconomic variables on the financial industry performance indices in Nigeria from 1977 to 2010. The work employed a 3-stage procedure in the assessment of Commercial Bank...

Persistent link: https://www.econbiz.de/10010148083

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

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

What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models

Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27

Even though correlations between different economies' stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall...

Persistent link: https://www.econbiz.de/10010009113

Net worth ratio and financial instability

Watanabe, Toshio - In: Journal of economic structures : JES; the official … 2 (2013), pp. 1-18

formulate a model of financing. New Keynesian theory emphasizes that a firm’s net worth influences investment decisions and …

Persistent link: https://www.econbiz.de/10010186054

Structured bonds and Greek demons is the attack ”fair”?

Kiriakopoulos, Konstantinos; Mavralexakis, Theodoros - In: Journal of applied finance & banking 1 (2011) 2, pp. 231-277

The severe political turmoil provoked by an allegedly mispriced private bond issue in Greece added to the controversial matter of whether prices of structured bonds sold to investors are "fair" or not. In this paper structured bond market is analysed with particular focus on valuation issues. It...

Persistent link: https://www.econbiz.de/10010009068

Price discovery and asymmetric volatility spillovers in Indian spot-futures gold markets

Srinivasan, P.; Ibrahim, P. - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 65-80

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets of National Commodity Derivatives Exchange (NCDEX) by employing Johansen’s Vector Error Correction Model (VECM) and the Bivariate ECM-EGARCH(1,1) model. The empirical result...

Persistent link: https://www.econbiz.de/10010097639

Price leadership between spot and futures markets

Kumar, Kiran; Chaturvedula, Chakrapani - In: Journal of applied finance & banking 3 (2013) 1, pp. 93-107

This paper aims to study the relative information shares of spot and futures market at the individual stock level to measure the price discovery in spot and futures market in the Indian capital markets. We find that the spot and futures prices are co-integrated and mutually adjusting. Building...

Persistent link: https://www.econbiz.de/10010118433

Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach

Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging … mutual fund index and each hedging instrument to investigate the performance of optimal static hedges. Our main model is the …]. The hedging performance is then compare with that of standard Dynamic Conditional Correlation models. Our results are …

Persistent link: https://www.econbiz.de/10010148077

Valuation and investment profession

Dedi, Lidija; Giraudon, Philippe - In: UTMS journal of economics / University of Tourism and … 4 (2013) 2, pp. 93-100

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

Persistent link: https://www.econbiz.de/10010185798

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