This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

This paper aims to shed light on the determinants of systematic risk in the global macro-finance interface. We estimate a time-varying two-factor ICAPM, using weekly equity returns and Msci market-capitalisation weighted basket of foreign currencies. We follow a two-step estimation procedure; in...

There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets, has a poor empirical record and is...

The average return on long-term bonds exceeds the return on short-term bills by a large amount over short investment horizons. A riding-the-yield-curve investment strategy takes advantage of the higher returns on longer term bonds. This strategy involves the purchase of bonds with maturities...

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...

Purpose – This paper aims to review the development of the Channel Islands exchange and assess the potential diversification benefits arising from the inclusion of this market in investment portfolios containing UK and French equity assets. Design/methodology/approach – First this paper uses...

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models-generally identified as"home bias"-across international markets. The innovation we offer is ascribing home...

Copulas erfreuen sich in der Finanzwirtschaft wachsender Beliebtheit. Ursache hierfür ist insbesondere die Möglichkeit, mit ihrer Hilfe nicht-lineare Abhängigkeitsstrukturen darzustellen. Ein weiterer Vorteil besteht darin, dass multivariate Verteilungen mit Hilfe von Copulas separat in ihre...

This study decomposes total risk of a MSCI Asian country index returns into three components: world systematic risk, Asian regional systematic risk and country-specific risk. The study finds an Asian country index returns mostly respond to shocks originated within the country. China, Korea and...