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Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes

Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … individual portfolios and later compared to the hypothetical common equity index. The results show diversification benefits …35, FTSE MIB, and FTSE100. In contrast, DAX, MDAX, and CAC40 on average tend to be less diversified. The diversification …

Persistent link: https://www.econbiz.de/10013277308

Outperforming naive diversification using stock level information

Berrada, Tony; Coupy, Sebastien - 2015

methodology to the 1/N naive diversification strategy, standard shrinkage procedures, and alternative factor model estimation. We …

Persistent link: https://www.econbiz.de/10011412212

On Crashes

Ferguson, Robert - 2018

The principles of behavioral psychology can explain how crashes occur. In particular, the concept of "stimulus generalization" tells us that organisms tend to respond in the same way to similar stimuli. In a crash, or pre-crash, context, several stimuli - including rising prices, above-average...

Persistent link: https://www.econbiz.de/10012928814

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

Technical Analysis of Indian Financial Market with the Help of Technical Indicators

Naved, Mohd - 2015

This study includes the description of indicators which can be used for technical analysis of Indian market Nifty stocks. The indicators which have been used in this study are Moving Averages, Moving Averages cross rules and Moving Averages Convergence/Divergence. Later this study also includes...

Persistent link: https://www.econbiz.de/10013025199

The Modified Dividend-Price Ratio

Polimenis, Vassilis - 2019

We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...

Persistent link: https://www.econbiz.de/10012905483

Impact of CSR on the Stock Returns of Indian Companies

Jagadeesh, M - 2021

Purpose- This study investigates the impact of Corporate Social Responsibility (CSR) on stock prices of Indian listed companies. The literature reviews show a strong contradictory of the relationship between CSR and stock prices which is still debatable. This study will tell whether there is a...

Persistent link: https://www.econbiz.de/10014361794

The Reality of Stock Market Jumps Diversification (with Internet Appendix)

Chen, Ke - 2017

We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...

Persistent link: https://www.econbiz.de/10012963201

Pakistan : a study of market's returns and anomalies

Tauseef, Sana; Dupuy, Philippe - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 344-363

diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and … cost as liquidity measures. Findings - Pakistan's equity offers substantial diversification benefits if added to developed …

Persistent link: https://www.econbiz.de/10014339149

Minimum variance portfolio in ASEAN-6 stock markets diversification : a Vietnamese perspective

Tri Hoang - In: Cogent business & management 9 (2022) 1, pp. 1-23

2007 and 2021, this study aims to examine if there are any advantages to diversification in ASEAN markets for Vietnamese … period and a 12-month rolling correlation window. To assess the benefits of diversification, several portfolios are built … have risen between before and after crises. Diversification advantages are available to Vietnamese investors, although …

Persistent link: https://www.econbiz.de/10014429106