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Value at Risk of Momentum Investment Strategy : Indonesia's Liquid Stocks Portfolio

Pasaribu, Rowland Bismark - 2019

The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid stock collection in Indonesia stock exchange period 2008-2016. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk...

Persistent link: https://www.econbiz.de/10012866158

The Effects of Environment, Society and Governance Scores on Investment Returns and Stock Market Volatility

Meher, Bharat Kumar - 2020

Sustainability reporting and disclosure in India have received significant attention over the most recent few years propelled to a large extent by investors and policymakers. The sustainable business leadership forum (SBLF) has been closely working with many firms, owners of the companies, and...

Persistent link: https://www.econbiz.de/10012833822

A Model-based Commodity Risk Measure on Commodity and Stock Market Returns

Hou, Ai Jun; Platanakis, Emmanouil; Ye, Xiaoxia; Zhou, Guofu - 2022

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...

Persistent link: https://www.econbiz.de/10014239736

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Bali, Turan G. - 2012

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant...

Persistent link: https://www.econbiz.de/10013116938

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu - 2009

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent (modified)...

Persistent link: https://www.econbiz.de/10013156240

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Persistent link: https://www.econbiz.de/10009576319

Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes

Fülle, Markus J.; Herwartz, Helmut - 2022

To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS-C-MGARCH) model of Fülle and Herwartz (2021). As an...

Persistent link: https://www.econbiz.de/10013405757

Private equity and the leverage myth

Czasonis, Megan; Kinlaw, William; Kritzman, Mark; … - 2020 - This version: February 11, 2020

Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...

Persistent link: https://www.econbiz.de/10012225151

Constant correlation model for optimal portfolio formation and expected shortfall risk measurement4Dempirical evidence from Indonesian Stock Marke

Devita, Febrina; Wilandari, Yuciana; Maruddani, Di Asih I - In: Financial studies 27 (2023) 3, pp. 25-39

Stock investment is one option of investment choice with risks. Investors can reduce their risk by combining several stocks and then forming a portfolio. One method to form an optimal portfolio is by using the Constant Correlation Model (CCM) method. The CCM method focuses on the correlation...

Persistent link: https://www.econbiz.de/10014506648