Showing 361 - 370 of 379
We report our investigation of the relationship between statistical measures of tracking error and asset allocation restrictions expressed as admissible weight ranges. Tracking errors are typically calculated as annualized second moments of return differentials between a portfolio and a...
Persistent link: https://www.econbiz.de/10012754707
The impact of the time horizon upon the risk of equity investments is still a controversial issue. In this paper, we analyse long-term risk in a portfolio insurance framework based on option pricing theory. The insurance strategies are implemented alternatively with a portfolio of stocks and put...
Persistent link: https://www.econbiz.de/10012754734
Persistent link: https://www.econbiz.de/10012311843
This study investigates the announcement and issuance effects of offering convertible bonds and exchangeable bonds using data for the Swiss and German market during January 1996 and May 2003. The analysis shows that announcement effects of convertible bonds and exchangeable bonds are associated...
Persistent link: https://www.econbiz.de/10012707237
We conduct an event study to investigate the processing of information and the existence of insider trading on the Swiss stock market. Although Swiss laws are less restrictive than those of other countries, we find the empirical evidence for systematic insider trading before the publication of...
Persistent link: https://www.econbiz.de/10012707238
We propose a new approach for the estimation of conditional asset pricing models based on a Markov Chain Monte Carlo (MCMC) approach. In contrast to existing approaches, it is truly conditional because the assumption that time variation in betas is driven by a set of conditioning variables is...
Persistent link: https://www.econbiz.de/10012710074
We analyze the behavior of mutual fund managers with a special focus on the impact of prior performance. In contrast to previous studies, we do not solely focus on the volatility as a measure of risk, but also consider alternative definitions of risk and style. Using a Dynamic Bayesian Network,...
Persistent link: https://www.econbiz.de/10012710874
We use Markov Chain Monte Carlo (MCMC) methods for the parameter estimation and the testing of conditional asset pricing models. In contrast to traditional approaches, it is truly conditional because the assumption that time variation in betas is driven by a set of conditioning variables is not...
Persistent link: https://www.econbiz.de/10012753882
Persistent link: https://www.econbiz.de/10011756343
We exploit variation in the ancestries of U.S. equity mutual fund managers to show that ancestry affects portfolio decisions. Controlling for fund firm location, we find that funds overweight stocks from their managers’ ancestral home countries in their non-U.S. portfolio by 132 bps or 20.34%...
Persistent link: https://www.econbiz.de/10012873672