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The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...
Persistent link: https://www.econbiz.de/10009564251
This paper shows that the characteristics of convertible bond funds (CBFs) differ considerably based on the regional … European and Asian CBFs returns show a higher correlation with bond returns. This is a consequence of the finding that U ….S. convertibles are more equity-like in nature than European and Asian convertibles, which are constructed more like a bond. Moreover …
Persistent link: https://www.econbiz.de/10012974568
This paper investigates the performance of socially screened bond portfolios of 189 Eurozone companies between 2003 and … 2016. Bond portfolios are formed on the basis of an aggregate measure of corporate social responsibility (CSR) as well as … bond portfolio performance over time. The results indicate that in an earlier stage portfolios of high-rated bonds …
Persistent link: https://www.econbiz.de/10012907556
The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...
Persistent link: https://www.econbiz.de/10013065264
Persistent link: https://www.econbiz.de/10003985503
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...
Persistent link: https://www.econbiz.de/10011705329
Persistent link: https://www.econbiz.de/10012951803
correlations between sukuk and conventional bond and stock markets. Asymmetric volatility spillover effects are observed from …
Persistent link: https://www.econbiz.de/10013023628
track their benchmarks, but that Investment Grade corporate bond ETFs underperform their benchmarks and High Yield corporate … bond ETFs even severely underperform their benchmarks. We provide evidence that the transaction costs of the underlying …
Persistent link: https://www.econbiz.de/10013114749
We discuss the potential benefits of international diversification for high grade sovereign bond portfolios. First, we … apply a CAPM-based model to the G-7 sovereign bonds and find that on average 75% to 80% of the bond returns are determined … by global factors, whereas about 20-25% remains determined by local factors. Thus, while the sovereign bond market is …
Persistent link: https://www.econbiz.de/10013123376