I introduce novel preference formulations which capture aversion to ambiguity about unknown and potentially time-varying volatility. I compare these preferences with Gilboa and Schmeidler’s maxmin expected utility as well as variational formulations of ambiguity aversion. The impact of...

This paper investigates forecasts of long-term volatility for the fast-growing field of long-short factor strategies in an extensive in- and out-of-sample framework. More in detail, the study follows previous authors by empirically comparing various forecast configurations to provide guidance to...

The purpose of this study was to examine the relationship between dividend policy and share price volatility with a focus on consumer product companies listed in Malaysian stock market. For this purpose, a sample of 84 companies from 142 consumer product companies listed in main market of Bursa...

We set out in this study to examine: (i) whether ‘socially responsible investment' (SRI) portfolios can outperform less-SRI portfolios in the emerging Asian stock markets; and (ii) whether investors within these emerging markets achieve awareness of SRI through publicly available news. Based...

We explore the implications for asset prices and implied volatilities in an equilibrium model of commodity production. Production of the commodity can be carried out in one of two regimes. In the first regime the reserves are set in constant decline while in the second regime new additions to...

Understanding the pattern of stock market volatility is important to investors as well as for investment policy. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The volatility of the Zimbabwean stock market is modeled using...

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value-added output, we calculate for each state the efficient frontier for investments in the real economy. We study how rapidly...

We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...

This paper an attempt to examine the movement and linkages (relationship) between Gold price and CNX Nifty index during the period from 2000 to 2018. By testing the normality, stationary, movements and linkages of sample variables through the econometric tools like descriptive statistics, ADF,...

This paper shows that tracking error volatility (TEV) is characterized by reversion toward the mean. Mutual funds with relatively high (low) TEV in a given period tend to reduce (increase) their TEV in subsequent periods, and the degree to which a given fund’s TEV is relatively high or low...