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Hedge ratios for short and leveraged ETFs
Schubert, Leo - In: Atlantic Review of Economics 1 (2011), pp. 1-33
management the ETFs with negative leverage factors can also be applied for the hedge or cross hedge of a portfolio. These hedging … case that a bearish market is supposed, minimizing the variance of the hedge seems not to obtain better hedging results …, due to a very skewed return distribution of the hedge. The risk measure target-shortfall probability confirms the use of …
Persistent link: https://www.econbiz.de/10010290046
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Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior
Witte, Björn-Christopher - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-24, pp. 1-29
This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences … capital invested in a risky asset and the amount of excessive risk accepted, where a positive value of the latter parameter … conditions on investment behavior and attitudes towards risk is significant. What is alarming is that intense competitive …
Persistent link: https://www.econbiz.de/10010309602
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Transaction costs and market impact in investment management
Kociński, Marek - In: e-Finanse: Financial Internet Quarterly 10 (2014) 4, pp. 28-35
The aim of this article is to analyse the major sources of transaction costs in financial markets, in particular to find the amounts of such costs on the Warsaw Stock Exchange (WSE). Sources of transaction costs are considered: commissions, bid-ask spread and market impact. The commissions are...
Persistent link: https://www.econbiz.de/10011551438
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Using equity capital to unlock investment in building energy efficiency?
Michelsen, Claus; Neuhoff, Karsten; Schopp, Anne - In: DIW Economic Bulletin 5 (2015) 19, pp. 259-265
be due to an inadequate risk assessment by investors. Alternative financing approaches that rely mainly on the principle …
Persistent link: https://www.econbiz.de/10010516275
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Beteiligungskapital als Option für mehr Investitionen in die Gebäudeenergieeffizienz?
Michelsen, Claus; Neuhoff, Karsten; Schopp, Anne - In: DIW Wochenbericht 82 (2015) 19, pp. 463-470
project durations of energy efficiency investments. The reluctance may also be due to an inadequate risk assessment by …
Persistent link: https://www.econbiz.de/10010516277
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Does trading volume drive systemic banks' stock return volatility? Lessons from the Greek banking system
Tsagkanos, Athanasios; Gillas, Konstantinos Gkillas; … - In: International Journal of Financial Studies 9 (2021) 2, pp. 1-13
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001-30 December 2020. This period...
Persistent link: https://www.econbiz.de/10013200349
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Realized measures to explain volatility changes over time
Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-19
We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily...
Persistent link: https://www.econbiz.de/10012611354
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Does direct-sold funds provide a sizeable edge to investors? Evidences from selected mutual funds in India
Seal, Jayanta Kumar; Paul, Arunima - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-17
In this study, an attempt has been made to find out why investors still prefer broker-sold fund over direct-sold fund despite the superior performance of the latter. We find the sensitivity of funds flow in selected direct-sold funds and broker-sold funds in India. We do not find any evidence...
Persistent link: https://www.econbiz.de/10012657529
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The impact of CEO educational background on corporate risk-taking in China
Zhang, Jinyi; Xue, Chunxiao; Zhang, Jianing - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-16
This article investigates whether, and how, CEO educational background affects Chinese corporate risk-taking. Using a … with corporate risk-taking. The nonlinear quadratic regression shows a convex relationship, consistent with the finding …
Persistent link: https://www.econbiz.de/10014332784
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Caracterización de la financiación para desarrollo en Colombia (2010-2018): Caso empresa ACME SA
Giraldo Cardona, Ingrid; Socorro Márquez, Félix O.; … - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 17-36
The investigation focused on a financing problem, through the analysis of historical data, in a period of 8 years given the feasibility of comparable data, of the company ACME SA. The main objective of this study was to provide an updated characterization of ACME SA's investments, based on the...
Persistent link: https://www.econbiz.de/10014494441