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Information spillover effects of real estate markets : evidence from ten metropolitan cities in China

Li, Junjie; Zheng, Li; Liu, Chunlu; Shen, Zhifeng - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-19

With the rapid development of information communication technology and the Internet, information spillover between cities in real estate markets is becoming more frequent. The influence of information spillover in real estate markets is becoming more and more prominent. However, the current...

Persistent link: https://www.econbiz.de/10012587792

Expected return, time-varying risk, and hedging demand in the US REITs market

Xiao, Zhongyi; Lin, Zhangxi; Li, Siming - In: Journal of management analytics 1 (2014) 1, pp. 78-98

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Stock returns and inflation risk : economic versus statistical evidence

Katzur, Tomek; Spierdijk, Laura - In: Applied financial economics 23 (2013) 13/15, pp. 1123-1136

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The impacts of risk management on investment and stock returns

Lee, Hangyong - In: Journal of economic research 11 (2006) 2, pp. 279-316

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Three essays on financial economics

Lee, Hangyong - 2003

Persistent link: https://www.econbiz.de/10003623717

Dynamisches Hedging zur Absicherung des Garantierisikos bei indexgebundenen Versicherungen

Hauser, Melanie - 2010

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Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing

Michelfelder, Richard A.; Pilotte, Eugene A. - In: Journal of economics & business 63 (2011) 6, pp. 582-604

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Hedge fund performance using scaled Sharpe and Treynor measures

Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300

Persistent link: https://www.econbiz.de/10011279837

Tail risk in hedge funds : a unique view from portfolio holdings

Agarwal, Vikas; Ruenzi, Stefan; Weigert, Florian - 2015 - This Version: May 10, 2015

We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to … identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and … investments in both, tailsensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as …

Persistent link: https://www.econbiz.de/10011308031

Volatility of aggregate volatility and hedge funds returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - 2015 - This version: June 7, 2015

set of fund characteristics, we document a robust and significant negative risk premium for VOV exposure in the cross … of hedge funds is distinct from that of mutual funds and is consistent with the dynamic trading of hedge funds and risk …

Persistent link: https://www.econbiz.de/10011308590