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Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the possibilities for hedging against inflation in Croatia...
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benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …
Persistent link: https://www.econbiz.de/10009746020
In this study, we investigate the return enhancement ability of style momentum strategy: a strategy that switches between value and growth styles based on previous performance. We explore the variation in abnormal returns of long-only and long-short momentum strategies using various style based...
Persistent link: https://www.econbiz.de/10012898292
This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … ARMA-GARCH equations based on the student t distribution. Second, we extract the filtered residuals from such estimation … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …
Persistent link: https://www.econbiz.de/10012976965
Stock market anomalies are mispricings based on irrational investor behaviors. Investors can obtain abnormal return based on certain investment strategies in anomaly observed markets. The purpose of this study is to investigate the existence of momentum anomaly in BIST 100 index during the...
Persistent link: https://www.econbiz.de/10012834191
portfolios as a measure of risk and, therefore, Carhart's alpha is its sensitivity to the definition of the market portfolio. In …
Persistent link: https://www.econbiz.de/10014361402
Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence...
Persistent link: https://www.econbiz.de/10013101290