Results 141 to 150 of about 242,971 (299)
Asset Pricing - A Brief Review [PDF]
I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal
Li, Minqiang
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Journal of Forecasting, EarlyView.ABSTRACT Sustainability has become an important factor shaping financial markets and investor behavior. This paper examines the relationship between sustainability indices and Central European stock markets using a time–frequency approach. Wavelet coherence is employed to capture time‐varying co‐movements between sustainability indices and stock market
Zuzana Janková +4 more
wiley +1 more source
Journal of Forecasting, EarlyView.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
wiley +1 more source
Export Implicit Financial Performance: The Case of French Wine Companies [PDF]
Noting the difficulties of measuring a company’s export performance and especially financial performance, we develop a new measurement approach grounded on modern portfolio theory.
Viviani, Jean-Laurent
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Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach
Journal of Forecasting, EarlyView.ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant +2 more
wiley +1 more source
Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle [PDF]
We examine the portfolio-choice puzzle posed by Canner, Mankiw, and Weil (1997). The idea is to test a conclusion reached by Elton and Gruber (2000), stating that a bonds/stocks ratio which decreases in relation to risk tolerance does not necessarily ...
Amélie Dugas-Sampara +2 more
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Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source
Strategic Management Journal, EarlyView., 2023 Abstract Research Summary Using detailed plant‐ and individual‐level data from a major Japanese cotton spinning company in the early 20th century, we examine the within‐firm allocation of skilled human capital in conjunction with investment in physical capital, accompanying the firm's evolving strategic priorities.
Shotaro Yamaguchi +3 more
wiley +1 more source
Foreign reserves’ strategic asset allocation [PDF]
Despite foreign reserves’ strategic asset allocation relies mainly on Modern Portfolio Theory (MPT), the unique characteristics of central banks obliges them to articulate and reconcile typical optimization procedures with reserves’ management objectives
Carlos Léon, Daniel vela
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Geological Journal, EarlyView.Energy security risk has a positive impact on material footprint. Renewable energy consumption reduces material footprint. ABSTRACT Following a high economic growth path, the group of G7 economies is found to be utilising more and more material, causing a material footprint (MF), which in turn contributes to pollution.
Serhat Çamkaya +4 more
wiley +1 more source