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Financial reforms, interest rate behaviour and economic growth in Nigeria
Obamuyi, Tomola M.; Olorunfemi, Sola - In: Journal of applied finance & banking 1 (2011) 4, pp. 39-55
The paper examines the implications of financial reform and interest rate behaviour on economic growth in Nigeria. The cointegration and error correction model were used on time series data from 1970-2006. The results demonstrate that financial reform and interest rates have significant impact...
Persistent link: https://www.econbiz.de/10010009102
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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
Multifactor CAPM. Following this model we assess, except market risk, the impact of three key macroeconomic variables (investments … calculating rates of return to education by incorporating the risk premium. Recognizing that market risk isn't the only factor … respect to investment in education. We also evaluate the risk - adjusted performance of investment in education and the role …
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
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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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
, due to a very skewed return distribution of the hedge. The risk measure target-shortfall probability confirms the use of …
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
to the selection of high risk-high return portfolios. In particular, it provides conditions under which a non …
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 … profitability of deposit portfolios with various share of high-risk instruments in 2005-2010 as well as the influence of the … ; investment risk management ; financial instrument ; capital market …
Persistent link: https://www.econbiz.de/10009959717