Similar Search Results

Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes

Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …

Persistent link: https://www.econbiz.de/10013277308

Does a search attention index explain portfolio returns in India?

Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239

irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …

Persistent link: https://www.econbiz.de/10013183936

Higher-Order Terms in Bivariate Returns to International Stock Market Indices

Butler, Kirt C. - 2016

This article documents the stochastic properties of bivariate returns to international stock market indices. In particular, the article searches for the best fit among a class of higher-order VARMA(u,v)-EGARCH(p,q) models with normal errors and a constant conditional correlation using MSCI...

Persistent link: https://www.econbiz.de/10013004437

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

attractive attracted under risk conditions. …

Persistent link: https://www.econbiz.de/10014246136

Beating the market with small portfolios : evidence from Brazil

Santos, André A. P. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 22-31

attention to the characteristics of the resulting portfolio such as risk-adjusted performance and turnover. We address this … few assets, e.g. 3 stocks, can deliver statistically lower portfolio risk and higher Sharpe ratios in comparison to the … monthly re-balancing frequencies. Our evidence indicates that it is possible to obtain better risk-adjusted performance with …

Persistent link: https://www.econbiz.de/10011865381

Capital market returns and inflation nexus in Croatia : wavelet coherence analysis

Bošnjak, Mile; Novak, Ivan; Bašić, Maja - In: Business systems research : a system view accross … 12 (2021) 2, pp. 253-267

Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the possibilities for hedging against inflation in Croatia...

Persistent link: https://www.econbiz.de/10013325399

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

Persistent link: https://www.econbiz.de/10009746020

Asset Management and Industry Index Portfolios : Momentum and Reversal Abnormal Returns

Toscano, Mario - 2009

This paper shed light to the existence of momentum and reversal patterns in the 18 industry indexes of DJ Euro Stoxx. The analysis is focus on European market and test a presence structural break in year 2000 (financial services and markets act). We made an analysis of five portfolios over eight...

Persistent link: https://www.econbiz.de/10013153008

Do Style Momentum Strategies Produce Abnormal Returns : Evidence from Index Investing

Liu, Zugang - 2019

In this study, we investigate the return enhancement ability of style momentum strategy: a strategy that switches between value and growth styles based on previous performance. We explore the variation in abnormal returns of long-only and long-short momentum strategies using various style based...

Persistent link: https://www.econbiz.de/10012898292

Comparing dynamic and static performance indexes in the stock market : evidence from Japan

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Asia Pacific financial markets 29 (2022) 2, pp. 171-193

Persistent link: https://www.econbiz.de/10013260054

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