Narrow search
Showing 1 - 10 of 1,081
Cover Image
International diversification at home and abroad
Cai, Fang; Warnock, Francis E. - 2005
We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that...
Persistent link: https://www.econbiz.de/10010295674
Cover Image
Firm-level evidence on international stock market comovement
Brooks, Robin; Del Negro, Marco - 2005
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...
Persistent link: https://www.econbiz.de/10010295679
Cover Image
Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10010298784
Cover Image
Long-term benefits from investing in international real estate
Schindler, Felix - 2009
This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less...
Persistent link: https://www.econbiz.de/10010298795
Cover Image
A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
The art market has seen boom and bust during the last years and, despite the downturn, has received more attention from investors given the low interest environment following the financial crisis. However, participation has been reserved for a few investors and the hedging of exposures remains...
Persistent link: https://www.econbiz.de/10010303744
Cover Image
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013
volatility series and empirical findings inthis paper have significance for portfolio optimization, hedging strategies …
Persistent link: https://www.econbiz.de/10010326227
Cover Image
GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - 2013
In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...
Persistent link: https://www.econbiz.de/10010326321
Cover Image
Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - 2013
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10010326358
Cover Image
Financial Dependence Analysis: Applications of Vine Copulae
Allen, David E.; Ashraf, Mohammad A.; McAleer, Michael; … - 2013
This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs...
Persistent link: https://www.econbiz.de/10010326548
Cover Image
The pecking order of cross-border investment
Daude, Christian; Fratzscher, Marcel - 2006
– FDI, portfolio equity securities, debt securities as well as loans – for a broad set of 77 countries, we show that such a … portfolio equity and debt securities. We also show that the share as well as the size of FDI that a country receive are largely … insensitive to institutional factors in host countries, while portfolio investment is by far the most sensitive to the quality of …
Persistent link: https://www.econbiz.de/10011604636