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literature, and the general perception of diversification benefits within cryptomarkets mostly builds on popular beliefs. The …
Persistent link: https://www.econbiz.de/10012695549
high degree of diversification. This model is applied quarterly, to stock portfolios of the countries of the MILA: Colombia …
Persistent link: https://www.econbiz.de/10014494386
Despite extensive research support, the role of diversification in current factor investing strategies remains …, but should also include portfolio diversification effects. While the alpha concentration approach mainly considers factor … account for portfolio diversification. The corresponding out-of-sample results show that including an efficient covariance …
Persistent link: https://www.econbiz.de/10014502065
diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and … cost as liquidity measures. Findings - Pakistan's equity offers substantial diversification benefits if added to developed …
Persistent link: https://www.econbiz.de/10014516435
Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...
Persistent link: https://www.econbiz.de/10010494390
This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29...
Persistent link: https://www.econbiz.de/10011792016
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10011381581
diversification across large shareholders. Exploiting this heterogeneity, we document that firms controlled by diversified large … shareholder diversification on corporate risk-taking is both economically and statistically significant. Our results have … welfare. -- Risk-taking choices ; Large shareholders ; Portfolio diversification …
Persistent link: https://www.econbiz.de/10009411473
examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our … PO results imply that the domestic diversification strategy dominates the international diversification strategy at a …
Persistent link: https://www.econbiz.de/10011553184
documented that diversification among risky assets in a particular country leads to risk reduction, but the potential gains are … limited due to high correlations within an economy. Therefore, international portfolio diversification, primarily in stocks … contracts to the international dimension. The findings lend support to the arguments in favor of international diversification …
Persistent link: https://www.econbiz.de/10013130535