This study examines historical data on S&P500 and EURO STOXX 50, VIX and VSTOXX, VIX and VSTOXX futures, to reveal linkages between these important series that can be used by equity investors to generate alpha and protect their investments during turbulent times. A comparative portfolio...

The paper looks at the existence of portfolio risk management for the UAE Financial Market. The research methodology centers on applying Modern Portfolio Theory, with particular emphasis on the Markowitz Efficient Frontier, Minimum Variance Analysis, and Portfolio Optimization. The data is...

The first part of this thesis aims to analyse the weaknesses of capitalization-based indexing methods and compares different weighting strategies, which are dedicated to alleviate the conspicuous flaws. At the present day, these alternative portfolio construction schemes are popularly labelled...

We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...

This paper analyses the diversification properties of country equity factors across six equity factors and twenty developed markets from 1991 to 2015. The factors considered are the market excess return, size, value, momentum, low beta and quality. I find substantial diversification benefits...

Open-end mutual funds face redemptions by investors, but the sale of the underlying assets depends on the portfolio decision of asset managers. If asset managers use their cash holding as a buffer to meet redemptions, they can mitigate fire sales of the underlying asset. If they hoard cash in...

In this paper we studied the impact of the integration of emerging markets in a portfolio composed initially of developed markets. The sample is composed of seven stock indices of developed markets and nine emerging market stock indices. Our main conclusions are the following. First, a study of...

This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...

We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market...

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. We find that, contrary to most other studies, correlations fall in both bull and bear markets,...