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Can Technical Trading Beat the Foreign Exchange Market in times of Crisis?

Yamani, Ehab Abdel-Tawab - 2020

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

Persistent link: https://www.econbiz.de/10012851671

Derivatives WMD, Liability Driven Investment Strategies LDI, the UK Gilt Market Crisis and Pension Fund Collapse Risk

Macey-Dare, Rupert - 2022

In his Berkshire Hathaway annual newsletter to investors c.20 years ago, Warren Buffett while discussing the Long Term Capital Management LTCM and Enron collapses, famously called derivatives: "financial weapons of mass destruction, carrying dangers that, while now latent, are potentially...

Persistent link: https://www.econbiz.de/10014238873

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the … present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing …. -- Collateralized debt obligations (CDO) ; arbitrage CDOs ; credit rating ; expected loss profile ; bond representation ; systematic …

Persistent link: https://www.econbiz.de/10003891104

Short Term Momentum and Contrarian Profits on the Bucharest Stock Exchange Before and During the Global Crisis

Stefanescu, Razvan - 2012

This paper explores the opportunities of momentum and contrarian profits on the Bucharest Stock Exchange during quiet and turbulent times. In our investigation we employ daily values of the main indexes from the Bucharest Stock Exchange for two periods of time. During the first period, from...

Persistent link: https://www.econbiz.de/10013100305

Hedge fund stock trading in the financial crisis of 2007 - 2009

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011

restrictions and institutional ownership in hedge funds. Hedge funds, Liquidity, Aggregate Liquidity, Arbitrage, Funding Liquidity …, Illiquidity, Liquidity Crisis, Crisis Stock Market Crash, Limits to Arbitrage, Liquidity Spirals, Short Selling, Short Sellers, 13 …

Persistent link: https://www.econbiz.de/10009009543

Safe Asset Carry Trade

Ballensiefen, Benedikt - 2020

agreement (repo). A standard, no-arbitrage model with a market and a carry factor prices these near-money assets. While the …

Persistent link: https://www.econbiz.de/10012848481

Leveraged carry trade portfolios

Darvas, Zsolt M. (contributor) - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10003774170

Influence of frontier capital markets interdependence and efficiency on shaping investment strategy under the financial crisis conditions

Bećirović, Damir; Kozarević, Emira - In: Economic review : journal of economics & business 16 (2018) 1, pp. 83-96

This research analyzes interdependence and low efficiency of the selected capital markets in the period before and after the escalation of the global financial crisis. The aim is to show, based on the obtained results, the position that can be taken by potential investors in frontier capital...

Persistent link: https://www.econbiz.de/10012012598

The Best of Strategies for the Worst of Times : Can Portfolios be Crisis Proofed?

Harvey, Campbell R. - 2019

In the late stages of long bull markets, a popular question arises: What steps can an investor take to mitigate the impact of the inevitable large equity correction? However, hedging equity portfolios is notoriously difficult and expensive. We analyze the performance of different tools that...

Persistent link: https://www.econbiz.de/10012871175

A Semiparametric Model for the Systematic Factors of Portfolio Credit Risk Premia

Giammarino, Flavia - 2015

The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is...

Persistent link: https://www.econbiz.de/10013011571