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Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach

Nguyen, Duc Khuong; Topaloglou, Nikolas; Walther, Thomas - 2020

We propose a stochastic spanning approach to assess whether a traditional portfolio of stocks and bonds spans augmented portfolios including commodities, foreign exchange, and real estate. We empirically show that in all seven portfolio combinations, the augmented portfolio is not spanned by the...

Persistent link: https://www.econbiz.de/10015222827

Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market

Kucuk, Ugur N. - 2010

default risk, such as liquidity. The author estimates the non-default component of the yield spreads as the basis between the …

Persistent link: https://www.econbiz.de/10015224715

Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach

Nguyen, Duc Khuong; Topaloglou, Nikolas; Walther, Thomas - 2020

Persistent link: https://www.econbiz.de/10015229367

EMU sovereign spreads and macroeconomic news

Arru, Daniela; Iacovoni, Davide; Monteforte, Libero; … - 2012

We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by...

Persistent link: https://www.econbiz.de/10015230956

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - 2011

studies on cross-sectional risk pricing …

Persistent link: https://www.econbiz.de/10015231736

Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U ….K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the … behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …

Persistent link: https://www.econbiz.de/10015231990

U.K. cross-sectional equity data: The case for robust investability filters

Rossi, Francesco - 2012

studies on cross-sectional risk pricing …

Persistent link: https://www.econbiz.de/10015235069

An Analysis of Stock Index Distributions of Selected Emerging Markets

Camilleri, Silvio John - 2006

Stock market data tends to display distinct characteristics commonly known as “stylized facts”. These include non-stationarity of price levels, as well as peak-shaped, fat-tailed and heteroskedastic log returns. This paper presents empirical evidence of these characteristics for emerging...

Persistent link: https://www.econbiz.de/10015246535

Low Versus High Leverage (LVH)

Bebel, Arkadiusz - 2014

Disputes whether financial structure can create value or not were started more than 50 years ago with Modigliani Miller theorem. In this paper I would like to present my own view on level of debt in value creation process. What I am going to prove is that due to expansion option companies with...

Persistent link: https://www.econbiz.de/10015246729

Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE

Okur, Mustafa; Cevik, Emrah Ismail - 2013

The aim of this article is to examine the presence of volatility transmission between futures index and underlying stock index by using intraday data in Turkey. We first examined the sudden changes in the variance of futures index return and the underlying spot index return. Then we employed the...

Persistent link: https://www.econbiz.de/10015251964