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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …
Persistent link: https://www.econbiz.de/10012309325
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The Attributes, Behavior, and Performance of U.S. Mutual Funds
Connor, Gregory - 2011
This article examines the risk and return characteristics of U.S. mutual funds. We employ an equilibrium version of the Arbitrage Pricing Theory (APT) and a principal-components-based statistical technique to identify performance benchmarks. We also consider the Capital Asset Pricing Model...
Persistent link: https://www.econbiz.de/10013119222
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Does Money Grow on Trees? The Diversification Properties of US Timberland Investments
Spierdijk, Laura - 2009
This paper quantifies the diversification potential of timberland investments in a mean-variance framework. The … investments from the US and Canada in the portfolio does not significantly increase mean-variance efficiency. At first sight, US … private equity timberland seems to improve the mean-variance frontier, even if the portfolio already contains a forestry and …
Persistent link: https://www.econbiz.de/10013154108
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Portfolio Returns and Consumption Growth Covariation in the Frequency Domain, Real Economic Activity, and Expected Returns
Piccotti, Louis R. - 2019
The slope of the portfolio return and consumption growth cospectrum contains predictive information about future real economic activity, future recession probabilities, the risk aversion coefficient, as well as future expected returns. Commonly used economic variables do not subsume the...
Persistent link: https://www.econbiz.de/10012900058
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Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITSs
Cakici, Nusret - 2014
demonstrate that this negative relation changes over time. These findings amplify the "idiosyncratic volatility puzzle," as …
Persistent link: https://www.econbiz.de/10013056735
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The Empirical Law of Active Management : Perspectives on the Declining Skill of U.S. Fund Managers
Senechal, Edouard - 2023
Sénéchal proposes a new analytical framework—the empirical law of active management—to assess the breadth, or diversification, and the skill of a portfolio manager. The framework requires no assumptions regarding a manager’s asset return expectations or investment process. The framework...
Persistent link: https://www.econbiz.de/10014349349
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Contrarian Strategies, Investor Expectations and Sentiments : The U.S. Evidence
Zou, Liping - 2015
This study documents that contrarian investment strategies offer superior returns because these strategies exploit investors' expectation errors. The underlying source of these expectation errors may be due to biases on analysts' earnings forecasts. We found both positive earnings surprises and...
Persistent link: https://www.econbiz.de/10013028858
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Conventions in the foreign exchange market : do they really explain exchange rate dynamics?
Filippo, Gabriele Di - 2010
exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …
Persistent link: https://www.econbiz.de/10011373501
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …
Persistent link: https://www.econbiz.de/10011520321