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Multifactorial analysis of the price formation in the terms of a risk-free rate
Anghelache, Constantin; Anghel, Mădălina-Gabriela; … - In: Theoretical and applied economics : GAER review 28 (2021) 3/628, pp. 33-44
Persistent link: https://www.econbiz.de/10013258864
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International diversification with securitized real estate and the veiling glare from currency risk
Kroencke, Tim-Alexander; Schindler, Felix - 2011
This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...
Persistent link: https://www.econbiz.de/10008901843
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...
Persistent link: https://www.econbiz.de/10009770247
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Value around the world
Caliskan, Nilufer; Hens, Thorsten - 2013
We show that in a consumption-based asset-pricing model with hyperbolic discounting leading to dynamically inconsistent time preferences value premium increases nonlin-early with the degree of discounting and thus affects cross section of returns. To test our model empirically, we relate the...
Persistent link: https://www.econbiz.de/10009751115
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … with the size of the basket. Second, since the IC is implied from option prices it is not constant over maturities and … models ; implied correlation …
Persistent link: https://www.econbiz.de/10009665551
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Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - 2012
Trading and investment strategies play an essential part in better understanding fixed income markets. Over-the-counter markets and thousands of different outstanding bonds increase the difficulties to identify adequate comparison methods. Market participants and their practices differ widely...
Persistent link: https://www.econbiz.de/10009622377
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International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches
Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66
This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...
Persistent link: https://www.econbiz.de/10011553184
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
models to take into account different dynamics of equity excess returns between emerging and developed equity indices … market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world … single country. Empirical evidence reveals important differences between results for classical models estimated on single …
Persistent link: https://www.econbiz.de/10011539896
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Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
investors bid longer-dated UST prices higher (lower) under BAB (RP). Third, the fact that Gaussian affine term structure models …
Persistent link: https://www.econbiz.de/10010467093
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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031