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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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Cross subsidization and its effect on Pakistani business group’s affiliated firm performance
Gohar, Raheel - In: Journal of applied finance & banking 3 (2013) 3, pp. 207-217
This study provides a contribution to the existing literature on the role of business groups in the world and in Pakistan in particular. The analysis shows that stock market and accounting performance measures of Pakistani group unaffiliated firms are significantly superior to those of...
Persistent link: https://www.econbiz.de/10010148082
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Revisiting uncertain investment and financing decisions using entry probability
Chen, Po-yuan - In: Journal of applied finance & banking 3 (2013) 3, pp. 179-194
This paper extends the work of Chen and Chang (2010) and attempts to present a model for the optimal investment threshold and the real option value under price uncertainty from a different aspect of entry probability. I measure a financing policy by the debt ratio, a weight for the proportion of...
Persistent link: https://www.econbiz.de/10010148084
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Endogenous governance transparency and product market competition
Hidalgo-Cabrillana, Ana - In: SERIEs : Journal of the Spanish Economic Association 4 (2013) 1, pp. 113-136
This paper analyzes the determinants of governance transparency. In our model, entrepreneurs optimally decide the precision of their earning reporting by trading off the possibility of expropriating profits against the capacity to attract external funding.We find that information is only...
Persistent link: https://www.econbiz.de/10010148154
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Asignación óptima de capital en base al perfil de riesgo de las instituciones de inversión colectiva : una aplicación de las medidas de riesgo distorsionadas
Belles-Sampera, Jaume; Santolino, Miguel - In: Revista de métodos cuantitativos para la economía y … 15 (2013), pp. 65-86
Increasing attention is paid to risk management under the recent regulatory frameworks of the insurance and financial … capital is usually assessed by means of risk measures. To take adequate decisions, it is essential that managers know how … individual risk contribute to the aggregated capital requirement. Techniques of optimal capital allocation are developed to deal …
Persistent link: https://www.econbiz.de/10010160662
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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
calculating rates of return to education by incorporating the risk premium. Recognizing that market risk isn't the only factor … Multifactor CAPM. Following this model we assess, except market risk, the impact of three key macroeconomic variables (investments … 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