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The Budapest Liquidity Measure and its Application Liquidity Risk in VaR Measures
Gyarmati, Ákos - 2011
We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management … the liquidity risk arising from the buying and selling of a position. With the use of BLM we show, how to integrate … liquidity risk into the VaR-framework. While our method has already been introduced, it has never been tested on the Hungarian …
Persistent link: https://www.econbiz.de/10013128586
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Modelling Liquidity Risk of Exchange Traded Funds
Lupu, Aliona - 2010
The paper explores various aspects of Italian listed Exchange Traded Funds (ETFs) liquidity. Current risk management … tools, particularly the most common Value at Risk (VaR) measures, do not capture the liquidity component of market risk … satisfactorily. We propose to calculate an indicator for monitoring market liquidity of a sample of ETFs, by using bid-ask spreads …
Persistent link: https://www.econbiz.de/10013148572
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Fundamental indexing around the world
Walkshäusl, Christian; Lobe, Sebastian - In: Review of financial economics : RFE 19 (2010) 3, pp. 117-127
Persistent link: https://www.econbiz.de/10008653405
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Evaluating Greek equity funds using Data Envelopment Analysis
Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2009
This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an...
Persistent link: https://www.econbiz.de/10003858728
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Multi-level analysis of dynamic portfolio formations : Central European countries
Princ, Michael - 2013
The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...
Persistent link: https://www.econbiz.de/10009786883
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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
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896
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Assessing Alternative Global Equity Investment Frameworks
Li, Xi - 2011
In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...
Persistent link: https://www.econbiz.de/10013131001
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On the Long-Run Holding Returns of Japanese Stocks : Individual Stocks vs. Portfolios
Kubota, Keiichi - 2010
We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...
Persistent link: https://www.econbiz.de/10013138973
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On the Performance of Fixed Income Exchange Traded Funds
Houweling, Patrick - 2012
We evaluate the performance of fixed income Exchange Traded Funds (ETFs). We find that Treasury ETFs are indeed able to track their benchmarks, but that Investment Grade corporate bond ETFs underperform their benchmarks and High Yield corporate bond ETFs even severely underperform their...
Persistent link: https://www.econbiz.de/10013114749