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The persistence of European mutual fund performance

Vidal-García, Javier - In: Research in International Business and Finance 28 (2013) C, pp. 45-67

This paper examines the performance and persistence in performance of style-consistent European equity mutual funds between 1988 and 2010. Using a large survivorship bias-free sample for six European countries, we document strong evidence of persistence in benchmark-adjusted returns over 1-year...

Persistent link: https://www.econbiz.de/10011043146

French investment funds during the crisis (2008-2012)

A.-N. Bouloux.; G. Fourel. - In: Quarterly selection of articles - Bulletin de la Banque … (2013) 30, pp. 45-69

At end-2012, net assets held by French investment funds stood at a slightly higher level than at end-2008: France remained in second place for investment funds in the euro area.

Persistent link: https://www.econbiz.de/10010699567

Preisvolatilität auf landwirtschaftlichen Märkten

von Ledebur, Ernst-Oliver; Schmitz, Jochen - Bundesforschungsinstitut für Lädliche Räume, Wald … - 2011

In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …

Persistent link: https://www.econbiz.de/10009003989

The Diversification Potential Offered by Emerging Markets in Recent Years

Camilleri, Silvio John; Galea, Gabriella - Volkswirtschaftliche Fakultät, … - 2009

usually present higher risks when considered on their own; for instance higher price volatility and fluctuating liquidity. We …

Persistent link: https://www.econbiz.de/10011189011

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …

Persistent link: https://www.econbiz.de/10009363828

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence

Tay, Anthony S.; Christoffersen, Peter F.; Diebold, … - East Asian Bureau of Economic Research (EABER) - 2006

Persistent link: https://www.econbiz.de/10009363861

Crisis-Robust Bond Portfolios.

Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine - 2008

Persistent link: https://www.econbiz.de/10009364875

Stress testing correlation matrices for risk management

So, Mike K.P.; Wong, Jerry; Asai, Manabu - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 310-322

Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical financial events have shown that correlations can rise quickly, causing a huge increase in portfolio risk. Therefore, in stress testing portfolios, it is important to consider the...

Persistent link: https://www.econbiz.de/10010730263

Crisis-Robust Bond Portfolios

Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2008

Persistent link: https://www.econbiz.de/10011166464

METHODS OF PORTFOLIO MANAGEMENT - A REVIEW OF LITERATURE -

CURUTIU, CRISTINA - In: JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA (2008)

In recent years, a growing body of literature in portfolio management has devoted a great deal of attention for this subject. The theoretical foundation to portfolio management was offered by Harry Markowitz at the beginning of the 1950s. The limitations of the original Markowitz model have...

Persistent link: https://www.econbiz.de/10010555738

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