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The role of sentiment in global risk premia
Keiber, Karl Ludwig; Samyschew, Helene - In: Applied economics 47 (2015) 19/21, pp. 2073-2091
Persistent link: https://www.econbiz.de/10010513348
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Risk determinants of gold betas
Lian, Yu-Min; Liao, Szu-Lang - In: The empirical economics letters : a monthly … 13 (2014) 10, pp. 1099-1104
Persistent link: https://www.econbiz.de/10010527311
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Is there a low-risk anomaly across countries?
Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65
Persistent link: https://www.econbiz.de/10011441281
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Financial market risks during the COVID-19 pandemic
Haroon, Omair; Mohsin Ali; Khan, Abdullah; Khattak, … - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 8, pp. 2407-2414
Persistent link: https://www.econbiz.de/10012549916
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Understanding time-varying systematic risks in Islamic and conventional sectoral indices
Rizvi, Syed Aun Raza; Arshad, Shaista - In: Economic modelling 70 (2018), pp. 561-570
Persistent link: https://www.econbiz.de/10012027984
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The climate beta
Dietz, Simon; Gollier, Christian; Kessler, Louise - 2015
Persistent link: https://www.econbiz.de/10011412468
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Global risk premia on international stock and bond markets
Oertmann, Peter - 1997
Persistent link: https://www.econbiz.de/10000621233
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Does beta explain global equity market volatility : some empirical evidence
Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66
this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity …
Persistent link: https://www.econbiz.de/10009770247
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Backtesting GEM vs. GEM2 : Global Beta Performance Attribution, October 2009
Inc., MSCI - 2009
The Barra Global Equity Model (GEM2) introduced Volatility, a new factor that provides managers with a tool that enables close control of a portfolios' exposure to global beta. GEM2's Volatility factor includes global beta as its most significant descriptor. In contrast its predecessor, GEM,...
Persistent link: https://www.econbiz.de/10013154075
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A Beta-return Efficient Portfolio Optimisation Following the CAPM : An Analysis of International Markets and Sectors
Vollmer, Markus - 2015
portfolio in terms of risk and return becomes a perpetual motion machine. Markus Vollmer answers the question how the seemingly … analysts at (investment) banks The Author In addition to his lectureship for investment, corporate finance and risk management …
Persistent link: https://www.econbiz.de/10012819111