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Simulating Historical Inflation-Linked Bond Returns
Swinkels, Laurens - 2018
Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of …
Persistent link: https://www.econbiz.de/10012934959
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Risk-Return Trade-Off on Currency Portfolios
Byrne, Joseph - 2018
Unconditional asset pricing models have generally found it challenging to identify evidence ofrisk aversion. This paper addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider time-varying relations because investors'...
Persistent link: https://www.econbiz.de/10012912982
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Investment in Microfinance Equity : Risk, Return, and Diversification Benefits
Briere, Marie - 2018
This paper is the first to draw a global picture of worldwide microfinance equity by taking full advantage of daily quoted prices. We revisit previous findings showing that investors should consider microfinance as a self-standing sector. Our results are threefold: 1) Microfinance has become...
Persistent link: https://www.econbiz.de/10012940516
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The Systematic Risk of Gold at Different Timescales
Michis, Antonis - 2018
Gold is frequently cited by investors as a financial asset that can be associated with a negative beta coefficient. I … investigate this hypothesis by estimating the beta coefficient of gold at different timescales and examining the associated … transforms of gold and stock market returns in four major currencies. The results suggest that gold tends to be associated with a …
Persistent link: https://www.econbiz.de/10012922747
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Mispricing and uncertainty in international markets
Sandulescu, Mirela; Schneider, Paul - 2021
. Return data for several economies reveal that RMP is countercyclical and related to financial uncertainty. RMP further shows …
Persistent link: https://www.econbiz.de/10012487677
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A wavelet approach of investing behaviors and their effects on risk exposures
Mestre, Roman - In: Financial Innovation 7 (2021) 1, pp. 1-37
the long-run, (fundamentalists investors), Oil and Gold affect all stocks but their impact varies according to the Beta …-EGARCH errors (Auto Regressive Moving Average Exponential AutoRegressive Conditional Heteroskedasticity). Our model considers gold …, oil, and Fama-French factors as supplementary sources of risk and wavelets decompositions. We used 30 French stocks listed …
Persistent link: https://www.econbiz.de/10012602905
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A wavelet approach of investing behaviors and their effects on risk exposures
Mestre, Roman - In: Financial innovation : FIN 7 (2021), pp. 1-37
the long-run, (fundamentalists investors), Oil and Gold affect all stocks but their impact varies according to the Beta …-EGARCH errors (Auto Regressive Moving Average Exponential AutoRegressive Conditional Heteroskedasticity). Our model considers gold …, oil, and Fama-French factors as supplementary sources of risk and wavelets decompositions. We used 30 French stocks listed …
Persistent link: https://www.econbiz.de/10012500129
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Carry Trades and Commodity Risk Factors
Byrne, Joseph - 2019
This paper investigates the importance of commodity prices for the returns of currency carry trade portfolios. We adopt a recently developed empirical factor model to capture commodity commonalities and heterogeneity. Agricultural material and metal price risk factors are found to have...
Persistent link: https://www.econbiz.de/10012870354
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Risk and Risk Premia : A Cross Asset Class Analysis
Ebner, Markus - 2016
The existence of risk premia has been widely documented in the academic literature over the past decades. However, until now they have typically been handled as separate phenomena for specific markets or asset classes and thus examined independently. This study analyses risk premia across a...
Persistent link: https://www.econbiz.de/10013002075
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Time-Varying Risk and Risk Premiums in Frontier Markets
Todorov, Galin - 2012
US stocks. These correlations display no time trend, suggesting that diversification benefits have not diminished with …
Persistent link: https://www.econbiz.de/10013110156