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A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

Alexander, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2004

We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a … properties of cointegration optimal equity portfolios with those of portfolios optimised on the tracking error variance. From an … eleven year out of sample performance analysis we find that for simple index tracking the additional feature of cointegration …

Persistent link: https://www.econbiz.de/10005146622

The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies

Alexandra, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2002

This paper presents two applications of cointegration based trading strategies: a classic index tracking strategy and a …, the portfolio optimisation is based on cointegration rather than correlation. The first strategy aims to replicate a … the applicability of the cointegration technique to asset allocation, pioneered by Lucas (1997) and Alexander (1999), and …

Persistent link: https://www.econbiz.de/10005357667

Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios?

Kryzanowski, Lawrence; Singh, Shishir - In: Frontiers in Finance and Economics 7 (2010) 2, pp. 1-37

This paper uses various (un)conditional metrics to measure the benefits of diversification to determine if a minimum portfolio size should be prescribed to achieve a naively but sufficiently well-diversified portfolio for various investment opportunity sets (un)differentiated by cross-listing...

Persistent link: https://www.econbiz.de/10009651154

Immobilienkrise?: Warum in Deutschland die Preise seit Jahren stagnieren

Kholodilin, Konstantin A.; Menz, Jan-Oliver; … - In: DIW Wochenbericht 75 (2008) 17, pp. 214-220

Die derzeitigen Turbulenzen auf den Immobilienmärkten in Ländern wie den USA und Spanien verstellen den Blick auf die längerfristige Entwicklung der realen Immobilienpreise. Während sie in den vergangenen Jahren in vielen westlichen Industrieländern deutlich anzogen, stagnieren sie...

Persistent link: https://www.econbiz.de/10005071037

What Drives Housing Prices Down?: Evidence from an International Panel

Kholodilin, Konstantin A.; Menz, Jan-Oliver; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

In this study, we suggest an explanation for the alarmingly low growth rates of real housing prices in Canada and Germany in comparison to other OECD countries over 1975-2005. We show that the long-run development of housing markets is determined by real disposable per capita income, real...

Persistent link: https://www.econbiz.de/10005068727

Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models

Groen, J.J.J.; Kleibergen, F. - de Nederlandsche Bank - 2001

We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector … cointegration rank across the individual vector error correction models, both with heterogeneous and homogeneous cointegrating …

Persistent link: https://www.econbiz.de/10005021870

Sovereign credit ratings

Eliasson, Ann-Charlotte - Deutsche Bank Research - 2002

This paper describes sovereign credit ratings in emerging markets both for a specific year and over time, using quantitative explanatory variables. It turns out that rating adjustments have been worse than what economic fundamentals justify for some countries and also more frequently altered,...

Persistent link: https://www.econbiz.de/10008677270

The determinants of the Harare Stock Exchange (HSE) market capitalisation

Ilmolelian, Peter - Volkswirtschaftliche Fakultät, … - 2005

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

Persistent link: https://www.econbiz.de/10005787110

Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding

Alexander, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2003

In the field of optimisation models for passive investments, we propose a general portfolio construction model based on principal component analysis. The portfolio is designed to replicate the first principal component of a group of stocks, instead of a traditional benchmark, thus capturing only...

Persistent link: https://www.econbiz.de/10005558330

Determinants of Stock Market Prices in Namibia

Eita, Joel Hinaunye - Economic Research Southern Africa (ERSA) - 2011

This paper investigates the macroeconomic determinants of stock market prices in Namibia. The investigation was conducted using a VECM econometric methodology and revealed that Namibian stock market prices are chiefly determined by economic activity, interest rates, inflation,money supply and...

Persistent link: https://www.econbiz.de/10008876352