The influence of liquidity costs and liquidity risk on asset returns has been proven by several empirical studies. This paper analyzes the conditional version of the liquidity-adjusted capital asset pricing model and shows that betas significantly vary over different economic regimes and that...

In this paper we study a higher moment diversification measure, the so-called diversification delta (Vermorken et al. (2012)), in a dynamic portfolio optimization context. Particularly, we set up an investment strategy that dynamically maximizes the diversification delta for a given set of...

Vergleichende Analyse alternativer Kreditrisikomodelle In den letzten Jahren wurden verschiedene Modelle entwickelt, um das Ausfallrisiko von Banken unter Berücksichtigung von Portfolioeffekten zu quantifizieren. Bisher hat sich kein Ansatz als allgemein akzeptierter Standard durchsetzen...

Unstable fluctuations in financial markets caused by the 2008 financial crisis and currently by the Covid-19 crisis have generated greater concern among investors regarding their capital protection. In view of this situation, the consideration of alternative investments has taken a relevant...

Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between...

In this study, we analyze the stock market reaction to 35 events associated with 32 publicly traded companies from six countries that have announced cryptocurrency acquisitions, selling, or acceptance as a means of payment. Our analysis focuses on tra‑ ditional frms whose core business is...

Using a wavelet coherence approach, this study investigates the relationship between Bitcoin return and Bitcoin-specifc sentiment from January 1, 2016 to June 30, 2021, covering the COVID-19 pandemic period. The results reveal that before the pandemic, sentiment positively drove prices,...

This study examines how Corporate Social Responsibility (CSR) disclosure and Sustainable Development Goals (SDGs) affect investment decisions mediated by Environmental, Social, and Governance (ESG) scores. Structural Equation Modeling (SEM) was used to test the hypotheses of this study using the...

This study applied the Piotroski score for 63 selected companies of Mexico, for the period 2005 to 2011. The Piotroski score provides an evaluation on the historical financial performance of a company, with the evaluation of nine financial analysis ratios or criteria. We decided to add this...

Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from...