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Macroeconomic Risks and Characteristic-Based Factor Models

Aretz, Kevin; Bartram, Söhnke M.; Pope, Peter F. - Volkswirtschaftliche Fakultät, … - 2010

include innovations in economic growth expectations, inflation, the aggregate survival probability, the term structure of …

Persistent link: https://www.econbiz.de/10011107928

Risk Parity Portfolios with Risk Factors

Roncalli, Thierry; Weisang, Guillaume - Volkswirtschaftliche Fakultät, … - 2012

Portfolio construction and risk budgeting are the focus of many studies by academics and practitioners. In particular, diversification has spawn much interest and has been defined very differently. In this paper, we analyze a method to achieve portfolio diversification based on the decomposition...

Persistent link: https://www.econbiz.de/10011107931

Investimento em Valor Contrário no Brasil: Overreaction ou Efeito Tamanho?

Saturnino, Odilon; Saturnino, Valeria; Lucena, Pierre; … - Volkswirtschaftliche Fakultät, … - 2011

Given the assumption of opposite movements in stock prices due to the behavior of investors, who can use this strategy to take advantage of times of downturn in the economy, this study consisted of an analysis of overreaction in Brazil, which consists in buying loser stocks with the expectation...

Persistent link: https://www.econbiz.de/10011107948

The effects of relative performance objectives on financial markets

Igan, Deniz; Pinheiro, Marcelo - Volkswirtschaftliche Fakultät, … - 2012

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark. In the presence of such relative-performance-based objectives, investors have reduced expected utility but markets are typically more informative and deeper....

Persistent link: https://www.econbiz.de/10011108017

Can Analysts Predict Rallies Better Than Crashes?

Medovikov, Ivan - Volkswirtschaftliche Fakultät, … - 2014

We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...

Persistent link: https://www.econbiz.de/10011108056

Size and liquidity effects in Nigeria: an industrial sector study

Hearn, Bruce - Volkswirtschaftliche Fakultät, … - 2013

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the West African emerging market of Nigeria. The evidence suggests that liquidity factors...

Persistent link: https://www.econbiz.de/10011108128

The arc sine law and the treasury bill futures market

Dale, Charles; Workman, Rosemarie - Volkswirtschaftliche Fakultät, … - 1980

According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual...

Persistent link: https://www.econbiz.de/10011108173

Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics

Fulli-Lemaire, Nicolas - Volkswirtschaftliche Fakultät, … - 2012

Gone are the days when inflation fears had receded under years of 'Great Moderation' in macroeconomics. The US subprime … world brought about a new order characterized by higher inflation volatility, severe commodity price shocks and uncertainty … over sovereign bond creditworthiness to name just a few. All of which tend to put in jeopardy both conventional inflation …

Persistent link: https://www.econbiz.de/10011108246

Can risk explain the profitability of technical trading in currency markets?

Neely, Christopher; Ivanova, Yuliya; Rapach, David E.; … - Federal Reserve Bank of St. Louis - 2014

It is a robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a...

Persistent link: https://www.econbiz.de/10011027337

The Impact of Ambiguity Prudence on Insurance and Prevention

Berger, Loïc - European Centre for Advanced Research in Economics and … - 2014

This paper derives simple and plausible conditions under which ambiguityaversion raises the demand for (self-) insurance and self-protection when theeffort is furnished one period before the realization of the uncertainty. Unlikethe recent contribution made by [Alary D. Gollier C. Treich N....

Persistent link: https://www.econbiz.de/10011031499