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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 … individual portfolios and later compared to the hypothetical common equity index. The results show diversification benefits …35, FTSE MIB, and FTSE100. In contrast, DAX, MDAX, and CAC40 on average tend to be less diversified. The diversification …
Persistent link: https://www.econbiz.de/10013277308
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Leverage Risk, Financial Crisis, and Stock Returns : A Comparison Among Islamic, Conventional, and Socially Responsible Stocks
Bhatt, Vaishnavi - 2018
According to the financial press, firms with low leverage have lower distress risk due to their reduced exposure to the credit market, especially during credit crises. Compared to their conventional and socially responsible (SRI) counterparts, sharia compliant (SC) stocks are low-leverage...
Persistent link: https://www.econbiz.de/10012922201
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Performance Evaluation of Chinese Actively Managed Stock Mutual Funds
Chi, Yeguang - 2013
The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...
Persistent link: https://www.econbiz.de/10013081605
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The Modified Dividend-Price Ratio
Polimenis, Vassilis - 2019
We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...
Persistent link: https://www.econbiz.de/10012905483
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Hedge Fund Alpha : Cycle or Sunset?
Sullivan, Rodney N - 2020
The hedge fund industry has grown from $200 billion in assets under management around the turn of the millennium to now over $3 trillion. Many reports have criticized hedge funds for poor performance, particularly since the 2008 global financial crisis (GFC). In this paper, I seek to demystify...
Persistent link: https://www.econbiz.de/10012846382
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Impact of CSR on the Stock Returns of Indian Companies
Jagadeesh, M - 2021
Purpose- This study investigates the impact of Corporate Social Responsibility (CSR) on stock prices of Indian listed companies. The literature reviews show a strong contradictory of the relationship between CSR and stock prices which is still debatable. This study will tell whether there is a...
Persistent link: https://www.econbiz.de/10014361794
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Exploring Diversification Benefits in Asia-Pacific Equity Markets
Mensah, Jones Odei - 2014
This paper examines the benefits of regionally and globally diversified portfolios from the perspective of investors holding domestic-only portfolios from different Asia-Pacific countries. Three groups of regional portfolio are constructed, with sorting based on relative strength ranking...
Persistent link: https://www.econbiz.de/10013043554
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Frontier Markets : An Emerging Opportunity for Diversifying Risks and Returns
Wawrzaszek, Joe - 2015
) countries offer attractive long-term growth and diversification potential. However, investors must balance these possible …
Persistent link: https://www.econbiz.de/10013037766
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International Equity Flows, Dominant Distributions and Diversification
Clark, Ephraim - 2010
The weak empirical evidence linking diversification and international equity flows calls into question the … diversification paradigm at the international level and the analytical framework it implies. Using a novel measure of diversification … the role that diversification opportunities play in the determination of international equity flows. Using the concept of …
Persistent link: https://www.econbiz.de/10013145123
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Pakistan : a study of market's returns and anomalies
Tauseef, Sana; Dupuy, Philippe - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 344-363
diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and … cost as liquidity measures. Findings - Pakistan's equity offers substantial diversification benefits if added to developed …
Persistent link: https://www.econbiz.de/10014339149