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Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence

Kumar, Rakesh - 2016

diversification of funds. In fact, in the age of globalization, stock markets integration has become a matter of great importance for … fund managers and investors, which facilitate to scale down the portfolio risk through diversification of funds across the …

Persistent link: https://www.econbiz.de/10013002313

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Risk-Return Trade-Off in Dhaka Stock Exchange, Bangladesh : An Emerging Market Evidence

Mollik, A. T. - 2011

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....

Persistent link: https://www.econbiz.de/10013121127

The Long-Term Effect of Globalization on International Stock Return Comovements

Jourde, Tristan - 2021

diversification puzzle …

Persistent link: https://www.econbiz.de/10013210771

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

Persistent link: https://www.econbiz.de/10010499593

Residential Real Estate, Risk, Return and Diversification : Some Empirical Evidence

Melser, Daniel - 2019

extent from diversification than homes, the Sharpe ratio of a large portfolio of shares was still well below that of the …

Persistent link: https://www.econbiz.de/10012863481

Recovering the Market Risk Premium from Stock and Option Prices

Chalamandaris, George - 2020

We present a method for extracting the market risk premium from stock and option data and examine its validity. We extend Duan and Zhang's (2014) model to estimate the projected risk aversion coefficient using more information for the discrepancy of the physical from the risk-neutral...

Persistent link: https://www.econbiz.de/10012855658

Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10012101166

Risk-adjusted option-implied moments

Brinkmann, Felix; Korn, Olaf - 2014

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into the corresponding physical ones. The main theoretical...

Persistent link: https://www.econbiz.de/10010399367

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573