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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
frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we …
Persistent link: https://www.econbiz.de/10010317124
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Instability in the Cee Banking System. Evidence from the Recent Financial Crisis
Karkowska, Renata - In: CES Working Papers 5 (2013) 4, pp. 535-547
within both the academic and public community in measuring and modeling systemic risk. This article introduces a new … framework for measuring systemic risk by using a risk-adjusted balance sheet approach. In this regard, the analysis of 21 … largest commercial banks operating in 7 countries from Central and Eastern Europe, shows potential risk which could threaten …
Persistent link: https://www.econbiz.de/10012017101
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Stock market reaction to selected macroeconomic variables in the Nigerian economy
Abraham, Terfa Williams - In: CBN Journal of Applied Statistics 02 (2011) 1, pp. 61-70
This study examines the relationship between the stock market and selected macroeconomic variables in Nigeria. The all share index was used as a proxy for the stock market while inflation, interest and exchange rates were the macroeconomic variables selected. Employing error correction model, it...
Persistent link: https://www.econbiz.de/10011482556
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Macroeconomic determinants of stock market fluctuations: The case of BIST-100
Demir, Caner - In: Economies 7 (2019) 1, pp. 1-14
The purpose of this study is to analyze the impacts of some prominent macroeconomic factors on the Turkish Stock Market index, BIST-100 (Borsa Istanbul-100). For centuries, and mostly since the 20th century, stock markets are at the heart of economies. In our era, the largest economic crises...
Persistent link: https://www.econbiz.de/10013199521
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A closer look at the Halloween effect: The case of the Dow Jones industrial average
Arendas, Peter; Malacka, Viera; Schwarzova, Maria - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-12
The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November-April) than over the summer half of the year (May-October). The vast majority of studies that investigated...
Persistent link: https://www.econbiz.de/10011996116
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DrawDown constraints and portfolio optimization
Davidsson, Marcus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 93-105
been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in … risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer …
Persistent link: https://www.econbiz.de/10010286830
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Hohe Risikoaversion privater Haushalte bei Geldanlagen
Barasinska, Nataliya; Schäfer, Dorothea; Stephan, Andreas - In: DIW Wochenbericht 75 (2008) 45, pp. 704-710
Investitionsentscheidungen. Die Mehrzahl der Haushalte in Deutschland streut auch ihr Geldvermögen über mehrere Anlageformen. Ihr Anlageverhalten … Anlagekorb" handelt. Die Neigung, ein Portfolio mit allen Anlageformen zu halten, nimmt mit wachsender Scheu vor dem Risiko ab …
Persistent link: https://www.econbiz.de/10011601910
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Redicovering Mises-Hayek monetary and business cycle theory in light of the current crisis: Credit expansion as a source of economic boom and bust
Mrowiec, Marcin - In: e-Finanse: Financial Internet Quarterly 9 (2013) 2, pp. 64-74
The article starts with a brief description of Mises' monetary theory, with emphasis on the Misesian differentiation of two kinds of credit: commodity and circulation credit, and with the description of the impact of circulation credit expansion on the business cycle. Further on it is described...
Persistent link: https://www.econbiz.de/10011551396
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Asset prices and wealth inequality in a simple model with idiosyncratic shocks
Salas, Sergio - In: Estudios de Economía 44 (2017) 1, pp. 105-119
This paper analytically solves a heterogeneous agent model with idiosyncratic shocks to marginal utility of consumption and explores the effects of the borrowing constraint on the price of the asset, the composition of borrowers and lenders in the credit market, and wealth inequality. Results...
Persistent link: https://www.econbiz.de/10011985523
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Yield curve in Bosnia and Herzegovina: Financial and macroeconomic framework
Baskot, Bojan; Orsag, Silvije; Mikerevic, Dejan - In: UTMS Journal of Economics 9 (2018) 1, pp. 1-15
Finance and macroeconomics have different perspectives on the yield curve. In the case of Bosnia and Herzegovina, specific context, data issue and financial market that is in its developing phase, do not allow us to have one, unique perspective. The Nelson-Siegel yield curve model could be...
Persistent link: https://www.econbiz.de/10011994735