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International stock comovements with endogenous clusters

Coroneo, Laura; Jackson, Laura; Owyang, Michael T. - In: Journal of economic dynamics & control 116 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012503214

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

Persistent link: https://www.econbiz.de/10009770247

Hedge funds: performance analysis, strategy classification, and portfolio construction

Moerth, Patrick (contributor) - 2007

Persistent link: https://www.econbiz.de/10003641308

Risk-weighted cryptocurrency indices

Feng, Wenjun; Zhang, Zhengjun - In: Finance research letters 51 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014291558

Volatility spillovers and hedging strategies between impact investing and agricultural commodities

Banerjee, Ameet Kumar; Akhtaruzzaman, Md.; Sensoy, Ahmet; … - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543920

Global portfolio diversification : risk management, market microstructure, and implementation issues

Aggarwal, Raj (ed.); Schirm, David Craig (contributor) - 1995

Persistent link: https://www.econbiz.de/10000921137

Internationale Diversifikation in den Portfolios deutscher Kapitalanleger : Theorie und Empirie

Lapp, Susanne - 2001

Persistent link: https://www.econbiz.de/10001609952

Performance measures and investment decisions : evidence from international stock markets

Pasricha, Laurel; Dhanda, Neelam - In: International Journal of Financial Markets and … 8 (2022) 3, pp. 290-313

Persistent link: https://www.econbiz.de/10013255836

Carbon emissions and asset management

Alankar, Ashwin Gopal; Scholes, Myron S. - In: Journal of investment management : JOIM 20 (2022) 4, pp. 5-16

Persistent link: https://www.econbiz.de/10014228219

Firm Characteristics and Empirical Factor Models : A Data-Mining Experiment

Kogan, Leonid; Tian, Mary H. - 2017

"A three-factor model using the standardized-unexpected-earnings and cashflow-to-price factors explains 15 well-known asset pricing anomalies." Our data-mining experiment provides a backdrop against which such claims can be evaluated. We construct three-factor linear pricing models that match...

Persistent link: https://www.econbiz.de/10014121090