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Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
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Risk-adjusted performances of world equity indices
Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721
Persistent link: https://www.econbiz.de/10011562564
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Mind the tail, or risk to fail
Gupta, Jairaj; Chaudhry, Sajid M. - In: Journal of business research : JBR 99 (2019), pp. 167-185
Persistent link: https://www.econbiz.de/10012023593
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Typology for flight-to-quality episodes and downside risk measurement
Gubareva, Mariya; Borges, Maria Rosa - In: Applied economics 48 (2016) 10/12, pp. 835-853
Persistent link: https://www.econbiz.de/10011432728
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Contagion and downside risk in the REIT market during the subprime mortgage crisis
Chen, Ming-Chi; Tsai, Hsiu-Jung; Sing, Tien-foo; Yang, … - In: International journal of strategic property management 19 (2015) 1, pp. 42-57
Persistent link: https://www.econbiz.de/10011302960
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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...
Persistent link: https://www.econbiz.de/10011543960
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Socially responsible funds and market crises
Nofsinger, John R.; Varma, Abhishek - In: Journal of banking & finance 48 (2014), pp. 180-193
Persistent link: https://www.econbiz.de/10010506905
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In search of cushion? : crash aversion and the cross-section of expected stock returns worldwide
Weigert, Florian - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010410456
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Crash sensitivity and the cross-section of expected stock returns
Ruenzi, Stefan; Weigert, Florian - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010410458
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European market portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...
Persistent link: https://www.econbiz.de/10010414201