This paper investigates whether the UK's referendum decision to leave the European Union ("Brexit") had a positive impact on portfolio risk diversification. We estimate weekly dynamic conditional correlations between 1973 and 2018, and then optimal sectoral portfolio allocations over the same...

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...

We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...

In this paper we analyze the relation between fund performance and market share. Using three performance measures we first establish that significant differences in the risk-adjusted returns of the funds in the sample exist. Thus, investors may react to past fund performance when making their...

We use unique data fromfinancial advisers' professional exam scores and combine it with other variables to create an index of financial sophistication. Using this index to explain long-term stock return expectations, we find that more sophisticated financial advisers tend to have lower return...

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...

The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the...