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Outperforming naive diversification using stock level information
Berrada, Tony; Coupy, Sebastien - 2015
methodology to the 1/N naive diversification strategy, standard shrinkage procedures, and alternative factor model estimation. We …
Persistent link: https://www.econbiz.de/10011412212
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The 2008 - 2009 financial crisis : risk model transparency and incentives
Pfleiderer, Paul; Marsh, Terry Alan - 2009
In this Preface, we offer some analysis of the 2008-2009 financial crisis and its implications for financial industry reform and research. We primarily focus on issues relating to transparency and the measurement of risk and how these are affected by management incentives that are often...
Persistent link: https://www.econbiz.de/10009506977
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Crash Narratives
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2022
The financial press is a conduit for popular narratives that reflect collective memory about historical events. Some collective memories relate to major stock market crashes, and investors may rely on associated narratives, or "crash narratives," to inform current beliefs and choices. Using...
Persistent link: https://www.econbiz.de/10013334413
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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong - National Bureau of Economic Research - 2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
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Emotions and Subjective Crash Beliefs
Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024
Over the past two decades, respondents to the Shiller Investor Confidence Surveys assess the probability of a catastrophic stock market crash to be much higher that the historical frequency of such events. We decompose these crash probabilities into fundamental and subjective components and use...
Persistent link: https://www.econbiz.de/10014576618
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Diversification among cryptoassets : Bitcoin maximalism, active portfolio management, and survival biass
Sun, Weizhi; Krištoufek, Ladislav - 2021
literature, and the general perception of diversification benefits within cryptomarkets mostly builds on popular beliefs. The …
Persistent link: https://www.econbiz.de/10012650668
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Large shareholder diversification and corporate risk-taking
Faccio, Mara; Marchica, Maria-Teresa; Mura, Roberto - 2011
diversification across large shareholders. Exploiting this heterogeneity, we document that firms controlled by diversified large … shareholder diversification on corporate risk-taking is both economically and statistically significant. Our results have … welfare. -- Risk-taking choices ; Large shareholders ; Portfolio diversification …
Persistent link: https://www.econbiz.de/10009411473
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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements
Lizyayev, Andrey - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10011381581
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402