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Optimal Portfolio Selection: A Note with a VBA Solution

Velez-Pareja, Ignacio; Ávila, Pedro Fabián Castilla; … - MASTER CONSULTORES - 2012

Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way …, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is … practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can …

Persistent link: https://www.econbiz.de/10010762986

On the Endogeneity of the Mean-Variance Efficient Frontier

Somerville, R. A.; Paul G. J. Oâ€™Connell - In: Journal of Economic Education 33 (2002) 4, pp. 357-366

The endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in the portfolio selection literature and in widely used textbooks. The authors demonstrate this endogeneity and discuss the impact of parameter changes on the mean-variance efficient...

Persistent link: https://www.econbiz.de/10005600630

COMPORTAMIENTO DE LOS PRECIOS Y VOLÚMENES DE NEGOCIACIÓN ANTE ANUNCIOS DE BENEFICIOS ANUALES

Sanabria, Sonia - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004

The aim of this study is analyzed empirically the effect that annual earnings announcementshave in market value and the trading volume of shares on the Spanish Stock Market for the periodbetween 1999 and 2001. With the finality to accomplish a more complete analysis, is examined theactual...

Persistent link: https://www.econbiz.de/10005515810

The microstructure of the euro money market

Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - European Central Bank - 2001

This paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in 6 countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...

Persistent link: https://www.econbiz.de/10005530814

Forecasting market crashes: further international evidence

Jokipii, Terhi - Suomen Pankki - 2006

result that is supportive of the theory of investor heterogeneity outlined in the relevant background studies. For the more …

Persistent link: https://www.econbiz.de/10005423692

Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange

Säfvenblad, Patrik - Economics Institute for Research (SIR), … - 1997

This paper provides an extensive empirical investigation into the sources of index return autocorrelation, focusing on the relation between autocorrelation in individual stock returns and autocorrelation in index returns. The study uses daily data from the Stockholm Stock Exchange over the...

Persistent link: https://www.econbiz.de/10005423892

An Empirical Model of Daily Highs and Lows

Cheung, Yin-wong - Hong Kong Institute for Monetary Research (HKIMR), … - 2006

We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...

Persistent link: https://www.econbiz.de/10005435863

A Model of Stochastic Liquidity

Watanabe, Masahiro - School of Management, Yale University - 2003

This paper proposes a dynamic multi-security model in which liquidity reflects stochastic variation, persistence, and commonality of underlying information variance. Illiquidity, price-change variance, and trading volume all increase in the size of information. Using high frequency data, I...

Persistent link: https://www.econbiz.de/10005369002

Speculative securities

Rahi, Rohit; Marín, José M. - In: Economic Theory 14 (1999) 3, pp. 653-668

A speculative security is an asset whose payoff depends in part on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders have superior information. In this paper we show that agents may find it desirable to trade such a security in spite of the fact that it...

Persistent link: https://www.econbiz.de/10005371082

The economic consequences of a Tobin tax - An experimental analysis

Hanke, Michael; J?rgen Huber; Kirchler, Michael; … - Institut für Finanzwissenschaft, Fakultät für … - 2007

The effects of a Tobin tax on foreign exchange markets have long been disputed. We present an experiment with currency trading on two markets, where either none, one, or both markets are taxed. Our results confirm the hitherto undisputed issues: a tax reduces trading volume, shifts market share...

Persistent link: https://www.econbiz.de/10005399040