Showing 1 - 10 of 8,544
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
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investigate risk/return characteristics of fundamentally-weighted and market-cap-weighted indexes and employ various risk …-adjustment approaches to ensure that return differences are not driven by risk. Based on stocks in the DJ Stoxx 600 index from July 1993 to … April 2007, we show that fundamentally-weighted indexes achieve higher risk-adjusted returns than market …
Persistent link: https://www.econbiz.de/10013138615
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The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...
Persistent link: https://www.econbiz.de/10012897936
We investigate whether sovereign bond holdings of European banks are determined by a risk-return trade-off. Using data … between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt … by sound risk-return considerations, suggesting a lessening of the doom loop. This result is mainly driven by banks in …
Persistent link: https://www.econbiz.de/10012821286
This discussion paper aims at describing the risk-adjusted return of European sustainable and conventional investment … portfolios and comparing them to determine whether sustainable investment portfolios generate superior risk-adjusted returns. The … positively screenedand best-in-class portfolios using the Sustainalytics ESG risk rating with the help of modern portfolio theory …
Persistent link: https://www.econbiz.de/10012581333
The current study evaluates the performance of the Fama and French three-factor model in a global setting with stocks selected from 15 European countries. We employed the multivariate regression approach after sorting six portfolios according to size and book-to-market. The constituent stocks...
Persistent link: https://www.econbiz.de/10013218462
identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight …
Persistent link: https://www.econbiz.de/10012900712