Similar Search Results

Harvey, Campbell R. - 2019

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

Persistent link: https://www.econbiz.de/10012867841

Macroeconomic Factors and Foreign Portfolio Investment Volatility : A Case of South Asian Countries

Waqas, Yahya - 2017

Macroeconomic factors play a pivotal role in attracting foreign investment in the country. This study investigates the relationship between macroeconomic factors and foreign portfolio investment volatility in South Asian countries. The monthly data is collected for the period ranging from 2000...

Persistent link: https://www.econbiz.de/10012969850

Emerging Equity Markets in a Globalizing World

Bekaert, Geert - 2017

Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into “developed” and “emerging” market buckets? We argue that the answer is still yes. While correlations between developed and emerging markets have increased, the process of...

Persistent link: https://www.econbiz.de/10012973844

Historical VaR, CVaR and ES to Liquidation : 'A New Tool to Measure Risk by Regulators and Fund Managers'

Crousillat, Cesar - 2016

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Persistent link: https://www.econbiz.de/10013003836

Appetite for Risk in Emerging Stock Markets

Roszkowska, Paulina - 2016

Based on qualitative empirical research, we examine the extent to which Central European emerging stock markets were affected by the recent international financial crisis, and how the current investment climate influences investments in Polish equities. We find that global financial crisis...

Persistent link: https://www.econbiz.de/10013007456

A Multiplicative Factor for Analytic VaR to Avoid Previous Inconsistencies

Crousillat, Cesar - 2015

VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...

Persistent link: https://www.econbiz.de/10013009682

Demand Shock, Speculative Beta, and Asset Prices : Evidence from the Shanghai-Hong Kong Stock Connect Program

Liu, Clark - 2020

Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange … volatility compared with unconnected stocks with similar firm characteristics, especially for stocks with higher market beta. The … beta effect on stock prices is stronger for stocks with higher beta-to-idiosyncratic variance ratios and is reversed within …

Persistent link: https://www.econbiz.de/10012855747

The Chinese IPO Examination Mechanism Affected by Administrative Factors : New Evidence from Rejected IPO Firms

Long, Hai - 2014

Administrative factors permeate the Chinese financial market. This study provides an insight into the emerging government-dominated IPO market. Using up-to-date data from 520 listed firms and 140 rejected IPO applicants in the Chinese stock market over 2006 to 2012, this study, based on prior...

Persistent link: https://www.econbiz.de/10013048191

Emerging Equity Markets in a Globalizing World

Bekaert, Geert - 2014

Persistent link: https://www.econbiz.de/10013051425

Disclosure Universes and Modes of Information : Banks, Innovation, and Divergent Regulatory Quests

Hu, Henry T. C. - 2014

Persistent link: https://www.econbiz.de/10013053461