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Risk and Return Determinants of US Insurers
Zhang, Li - 2019
This paper identifies the risk and risk-adjusted return determinants of US insurers. We find that the significant firm …-specific determinants for risk and risk-adjusted return vary slightly for the risk proxy and risk-adjusted return proxy used, and the types … to both total risk and systematic risk; in addition, size is positively related to systematic risk. Profitability and …
Persistent link: https://www.econbiz.de/10012891882
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Three essays on financial economics
Lee, Hangyong - 2003
Persistent link: https://www.econbiz.de/10003623717
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A class of tractable incomplete-market models for studying asset returns and risk exposure
Le Grand, François; Ragot, Xavier - In: European economic review : EER 103 (2018), pp. 39-59
Persistent link: https://www.econbiz.de/10011975670
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Comparing market risk of indian balanced, small and mid cap and large cap funds
Biswas, Suparna; Dutta, Santanu - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 603-620
Persistent link: https://www.econbiz.de/10013475253
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Assessing market risk of Indian index funds
Biswas, Suparna; Dutta, Santanu - In: Global business review 16 (2015) 3, pp. 511-523
Persistent link: https://www.econbiz.de/10011409306
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Estimation of tail-related risk measures in the Indian stock market : an extreme value approach
Karmakar, Madhusudan - In: Review of financial economics : RFE 22 (2013) 3, pp. 79-85
Persistent link: https://www.econbiz.de/10010213379
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Risk return analysis of equity stocks : a study of selected Indian IT companies
Bantwa, Ashok; Ansari, Faizan Ulhaqq - In: Mudra : journal of finance and accounting 6 (2019) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10012139449
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Does the low-risk anomaly exist in the Indian equity market? : a test using alternative risk measures
Ali, Asgar; Badhani, K. N.; Kumar, Ashish - In: Journal of economic studies 49 (2022) 8, pp. 1422-1452
Persistent link: https://www.econbiz.de/10013455874
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Optimal investment and consumption with return predictability and execution costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 88 (2020), pp. 408-419
Persistent link: https://www.econbiz.de/10012417252
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Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus; Voigt, Stefan - 2017
We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one hand as a turnover penalization and on the other hand as a regularization, which shrinks the...
Persistent link: https://www.econbiz.de/10011755791