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Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence

Kumar, Rakesh - 2016

diversification of funds. In fact, in the age of globalization, stock markets integration has become a matter of great importance for … fund managers and investors, which facilitate to scale down the portfolio risk through diversification of funds across the …

Persistent link: https://www.econbiz.de/10013002313

Risk-return relationship and effect of diversification on non-market risk : application of market index model in Indian stock market

Dhankar, Raj S.; Kumar, Rakesh - In: Journal of financial management and analysis : … 19 (2006) 2, pp. 22-31

Persistent link: https://www.econbiz.de/10003528586

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Does behavioural risk explain the value premium? : a study of Indian equity market

George, Saji; Suresh, P. Srinivasa - In: International Journal of Financial Markets and … 8 (2022) 3, pp. 205-222

Persistent link: https://www.econbiz.de/10013255826

Risk-Return Trade-Off in Dhaka Stock Exchange, Bangladesh : An Emerging Market Evidence

Mollik, A. T. - 2011

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....

Persistent link: https://www.econbiz.de/10013121127

Market risks that change domestic diversification benefits

Sarwar, Ghulam - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10014225809

The Long-Term Effect of Globalization on International Stock Return Comovements

Jourde, Tristan - 2021

diversification puzzle …

Persistent link: https://www.econbiz.de/10013210771

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …

Persistent link: https://www.econbiz.de/10010499593

Exploring the drivers of tracking error constrained portfolio performance

Gunning, Wade; Van Vuuren, Gary - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

Maximising returns is often the primary goal of asset management but managing and mitigating portfolio risk also plays a significant role. Successful active investing requires outperformance of a benchmark through skillful stock selection and market timing, but these bets necessarily give rise...

Persistent link: https://www.econbiz.de/10014232612

Residential Real Estate, Risk, Return and Diversification : Some Empirical Evidence

Melser, Daniel - 2019

extent from diversification than homes, the Sharpe ratio of a large portfolio of shares was still well below that of the …

Persistent link: https://www.econbiz.de/10012863481