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Home country interest rates and international investment in U.S. bonds

Ammer, John; Claessens, Stijn; Tabova, Alexandra; … - 2018

We analyze how interest rates affect cross-border portfolio investments. Data on U.S. bond holdings by foreign investors from 31 countries for the period 2003 - 2016 and a large variety in movements in interest rates in these countries provide for a unique way to analyze shifts in investment...

Persistent link: https://www.econbiz.de/10011917242

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Persistent link: https://www.econbiz.de/10009576319

Optimale passive Portfolios

Schmidl, Norman - 2016

Persistent link: https://www.econbiz.de/10011565771

Taxation and portfolio structure : issues and implications

Poterba, James M. - 2001

Persistent link: https://www.econbiz.de/10001570417

The return characteristics of major U.S. equity asset classes

Patel, Jayen B. - In: Journal of international business and economics : JIBE 19 (2019) 4, pp. 49-60

Persistent link: https://www.econbiz.de/10012879606

Multiple tests for the performance of different investment strategies

Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - 2010

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which …

Persistent link: https://www.econbiz.de/10008939375

Fundamentals of investments : valuation and management

Jordan, Bradford D.; Miller, Thomas W.; Dolvin, Steven D. - 2012 - 6. ed., internat. student ed.

Persistent link: https://www.econbiz.de/10008991797

Encyclopedia of Finance

Lee, Cheng F. (ed.); Lee, Alice C. (ed.) - 2022 - 3rd ed. 2022.

-- Experimental Economics and the Theory of Finance -- Merger and Acquisition: Definitions, Motives, and Market Responses … -- Multistage Compound Real Options: Theory and Application -- Market Efficiency Hypothesis -- The Microstructure … regression and hazard method in accounting and finance research -- Cube Root Utility Theory -- A Global Comparative Study of …

Persistent link: https://www.econbiz.de/10013368542

Kapitalmarktanomalie Value versus Growth : eine empirische Analyse des Value Effekts bei Aktien und Anleihen

Schneider, Martin - 2018

Systematische Abweichungen zwischen gehandelten Marktpreisen und fundamentalen Werten von Wertpapieren zeigen bis heute, dass Kapitalmärkte weder vollkommen noch effizient sind. Sowohl die Finanzmarktforschung als auch die Investmentpraxis befassen sich weiter mit der Suche nach geeigneten...

Persistent link: https://www.econbiz.de/10013464290

Investments : an introduction

Mayo, Herbert B. - 1997 - 5. ed.

Persistent link: https://www.econbiz.de/10013467743