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Using grey incidence analysis approach in portfolio selection

Škrinjarić, Tihana; Šego, Boško - In: International Journal of Financial Studies 7 (2019) 1, pp. 1-16

Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and...

Persistent link: https://www.econbiz.de/10011996162

Portfolio choice and the effects of liquidity

González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...

Persistent link: https://www.econbiz.de/10010317124

Inflation and infrastructure sector returns in emerging markets: Panel ARDL approach

Magweva, Rabson; Sibanda, Mabutho - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-17

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE)...

Persistent link: https://www.econbiz.de/10012657574

Tail risk management and the skewness premium

Kipp, Martin; Koziol, Christian - In: Journal of Asset Management 23 (2022) 6, pp. 534-546

aversion (DRRA) and different investment horizons. In contrast to the seminal CAPM, two fund separation does no longer hold …

Persistent link: https://www.econbiz.de/10015210347

Passive portfolio management by indexing: A performance analysis of high, medium and low capitalization indices in Mexico

Samaniego, Angel; Rodríguez Reyes, Luis Raúl - In: Revista de Métodos Cuantitativos para la Economía y … 26 (2018), pp. 269-293

In a passive investing strategy through indexation, the portfolio performance will depend largely on the ability to choose the best index. In this paper, we study the performance of four of the main stock indices in Mexico with the intention of selecting the best one for a passive investing...

Persistent link: https://www.econbiz.de/10014494383

The Bayesian method in estimating Polish and German industry betas: A comparative nalysis of the risk between the main economic sectors from 2001-2020

Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative Economic Research. Central and Eastern Europe 25 (2022) 2, pp. 45-60

estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …

Persistent link: https://www.econbiz.de/10014516405

The Time Variation of Liquidity Risk on US Stock Markets

Ludwig, Michael - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 2, pp. 205-225

The influence of liquidity costs and liquidity risk on asset returns has been proven by several empirical studies. This paper analyzes the conditional version of the liquidity-adjusted capital asset pricing model and shows that betas significantly vary over different economic regimes and that...

Persistent link: https://www.econbiz.de/10014522095

A look at the actual cost of capital of US firms

Moore, David J. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-15

The capital asset pricing model (CAPM) receives both criticism and widespread adoption by practitioners and academics … to address CAPM criticisms and provide new perspective on WACC estimates. The firm-based measure focuses on firm …-based WACC measures, along with the traditional CAPM-based WACC measure, to a broad sector-based cross section from 1972 to 2015 …

Persistent link: https://www.econbiz.de/10011988697

Can social media marketing lead to abnormal portfolio returns?

Bank, Semra; Yazar, Evrim Erdogan; Sivri, Ugur - In: European Research on Management and Business Economics … 25 (2019) 2, pp. 54-62

This study tests the impact of usage of Twitter as a microblogging service provider on shareholders’ returns and abnormal returns. In accordance with this purpose, two portfolios were created based on measurement of whether firms had a Twitter account and, if so, their number of followers and...

Persistent link: https://www.econbiz.de/10012115962

A wavelet approach of investing behaviors and their effects on risk exposures

Mestre, Roman - In: Financial Innovation 7 (2021) 1, pp. 1-37

Exposure to market risk is a core objective of the Capital Asset Pricing Model (CAPM) with a focus on systematic risk …, the CAPM considers only one source of risk and supposes that investors only engage in similar behaviors. In order to …

Persistent link: https://www.econbiz.de/10012602905