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External capital structures and oil price volatility
Burger, John D.; Rebucci, Alessandro; Warnock, Francis E.; … - 2010
impact of oil price shocks. Two Caribbean economies highly vulnerable to oil price shocks are considered: an oil importer … (Jamaica) and an oil exporter (Trinidad and Tobago). From a risk-sharing perspective, a desirable external capital structure is …
Persistent link: https://www.econbiz.de/10010247919
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Wine Price Risk Management : International Diversification and Derivative Instruments
Kourtis, Apostolos - 2012
Variations in fine wine prices can be prominent and have widespread economic and financial implications. Although fine wine investments are dominated by French wines, we demonstrate that significant international diversification benefits exist for investors in Italian, Australian and Portuguese...
Persistent link: https://www.econbiz.de/10013115526
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The Conundrum of Hedge Fund Definition
Nabilou, Hossein - 2017
This Article attempts to define hedge funds and to distinguish them from a variety of similar investment funds. After reviewing the hedge fund definition in the U.S. and the EU, this Article argues that the current regulatory framework, which defines hedge funds by reference to what they are not...
Persistent link: https://www.econbiz.de/10012968010
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Global Stock Market Interdependencies and long-term Portfolio Diversification
Lucey, Brian M. - 2010
In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the...
Persistent link: https://www.econbiz.de/10013137351
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Portfolio Diversification and International Corporate Bonds
Liu, Edith X. - 2011
This paper examines the gains to portfolio diversification in the corporate bond market, which has largely gone ignored despite the extensive literature documenting the benefits in equity markets. Analysis of a newly compiled bond level data-set finds that portfolio diversification in corporate...
Persistent link: https://www.econbiz.de/10013117951
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Portfolio Concentration and Performance of Institutional Investors Worldwide
Choi, Nicole Y. - 2015
Using data on security holdings of 10,771 institutional investors from 72 different countries, we test whether concentrated investment strategies result in excess risk-adjusted returns to institutional investors. We examine three measures of portfolio concentration: home country, foreign...
Persistent link: https://www.econbiz.de/10013014704
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The Effect of Extreme Markets on the Benefits of International Portfolio Diversification
Acker, Daniella - 2013
We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. We find that, contrary to most other studies, correlations fall in both bull and bear markets,...
Persistent link: https://www.econbiz.de/10013076587
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Don’t Get Carried Away : Uncovering Macro Characteristics in Carry Portfolios
Aiolfi, Marco - 2018
Investors are increasingly showing interest in risk premia strategies across asset classes. Carry is one of the most studied premia. To successfully execute a risk premia strategy, it is important to have a detailed understanding of how individual premia returns are affected by macroeconomic...
Persistent link: https://www.econbiz.de/10012909253
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Residual Equity Momentum Spillover in Global Corporate Bond Markets
Bektic, Demir - 2019
I present an improved equity momentum measure for corporate bonds and study the Euro denominated global investment grade corporate bond market between 2000 and 2016. I document economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely...
Persistent link: https://www.econbiz.de/10012898405
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On Optimising Risk Exposures with Trend-Following Strategies in Currency Overlay Portfolios
Tee, Kai-Hong - 2016
moving average-based trend following single FX strategy in a certain hedging criterion. This paper includes a FX strategy … based on the equally weighted (average) of the three different single moving average days to determine hedging needs … underlying the hedging criterion. The paper uses the returns of the strategies of EW (equally weighted)-TFX and TFX to construct …
Persistent link: https://www.econbiz.de/10012978359