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Investor Sentiment, Volatility and Stock Return Comovements
Chandra, Abhijeet - 2013
comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …
Persistent link: https://www.econbiz.de/10013073102
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The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time
Oskay, Bora - 2018
Persistent link: https://www.econbiz.de/10012913510
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Taming Momentum Crashes
Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2022
both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …
Persistent link: https://www.econbiz.de/10013403316
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Oil assets and portfolio diversification : firm-level analysis for Borsa Istanbul
Mandacı, Pınar Evrım; Kırkpınar, Ayşegül - In: Borsa Istanbul Review 22 (2022) 3, pp. 571-585
In this paper, we investigate volatility spillovers between oil prices and the stock prices of the companies listed in … hedge ratios to suggest optimal portfolios for investors and portfolio managers. We find significant volatility spillovers …
Persistent link: https://www.econbiz.de/10013334792
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Hedging Bitcoin with conventional assets
Nekhili, Ramzi; Sultan, Jahangir - In: Borsa Istanbul Review 22 (2022) 4, pp. 641-652
The recent 50% drop in the price of the flagship cryptocurrency Bitcoin reinforces the persistent anxiety among cryptocurrency investors. Can alternative assets hedge Bitcoin risk? This study investigates the ability of equities, commodities, bonds, currencies, and VIX futures to hedge Bitcoin....
Persistent link: https://www.econbiz.de/10013334846
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
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Modellierung des Kreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - 2009
The current financial market crisis has impressively demonstrated the importance of an effective credit risk management for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised as a result of the crisis. Over the past decade, credit...
Persistent link: https://www.econbiz.de/10003874932
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The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162
Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...
Persistent link: https://www.econbiz.de/10009241458
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Estimating heterogeneous agents behavior with different investment horizons in stock markets
Chen, Zhenxi - 2014
In addition to the traditional agent types of fundamentalists and chartists, a new dimension of investment horizon is included in evaluating historical performance of strategies. Based on the three stock markets of Japan, Hong Kong and Germany, it is found that investors with different...
Persistent link: https://www.econbiz.de/10010406880
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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Cremers, Heinz; Walzner, Jens - 2007
Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...
Persistent link: https://www.econbiz.de/10003750300