Similar Search Results

Dynamic conditional bias-adjusted carry cost rate futures hedge ratios

Leistikow, Dean; Tang, Yi; Zhang, Wei - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-17

This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carry cost rate hedge ratio, where each is...

Persistent link: https://www.econbiz.de/10013201316

Role of international trade competitive advantage and corporate governance quality in predicting equity returns: Static and conditional model proposals for an emerging market

Muzir, Erol; Kizil, Cevdet; Ceylan, Burak - In: Journal of Risk and Financial Management 14 (2021) 3, pp. 1-31

This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM...

Persistent link: https://www.econbiz.de/10012611682

Analyst forecasts during the COVID-19 pandemic: Evidence from REITs

Anglin, Paul M.; Cui, Jianxin; Gao, Yanmin; Zhang, Li - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-23

better understand how financial analysts forecast earnings. We focus on forecasts for Real Estate Investment Trusts (REITs …) in the United States, since REITs are relatively transparent during normal times, and since the real estate sector, as a … forecast error rises by more, for REITs, when focusing on Hospitality and Industrial properties, and dispersion rises by more …

Persistent link: https://www.econbiz.de/10013201141

The rich get richer and the poor get poorer: Social media and the post-IPO behavior of investors in biotechnology firms. The relationship with Twitter volume

Siev, Smadar - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17

This paper analyzes stock returns for biotechnology firms after initial public offering (IPO) and explores the effect of social media-specifically, Twitter-on these returns. The results indicate positive yet insignificant cumulative average abnormal returns (CAARs) of 1.97% in the first 25 days...

Persistent link: https://www.econbiz.de/10013201140

Make the best from comparing conventional and Islamic asset classes: A design of an all-seasons combined portfolio

Foglie, Andrea Delle; Pola, Gianni - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17

This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a...

Persistent link: https://www.econbiz.de/10013201168

Copulas and portfolios in the electric vehicle sector

Stenšin, Andrej; Bloznelis, Daumantas - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-20

How can investors unlock the returns on the electric vehicle industry? Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They...

Persistent link: https://www.econbiz.de/10013201435

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of Risk and Financial Management 11 (2018) 3, pp. 1-19

Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin ('digital gold'). Our approach is to use several different multivariate GARCH models (dynamic...

Persistent link: https://www.econbiz.de/10012611022

Call me when you grow up: Firms' age, size, and IPO performance across sectors

Siev, Smadar; Qadan, Mahmoud - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-22

We provide a fresh look at the performance of the stock prices of firms that launched an IPO between 2009 and 2019 and assess the role of their size, age and sector in affecting future performance. We utilize data about 1611 IPOs spanning 11 economic sectors using the event study method. We...

Persistent link: https://www.econbiz.de/10014332742

The skewness risk in the energy market

Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-24

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...

Persistent link: https://www.econbiz.de/10013201303

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10014332691