Results 61 to 70 of about 6,534 (244)

Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence From Markov‐Switching Multifractal Models

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, Mawuli Segnon, Oguzhan Cepni, Rangan Gupta   +3 more
wiley   +1 more source

Inconsistency of the Capital Asset Pricing Model in a Multi‐Currency Environment

International Journal of Finance &Economics, EarlyView.
ABSTRACT The capital asset pricing model (CAPM) is a widely adopted model in asset pricing theory and portfolio construction because of its intuitive nature. One of its main conclusions is that there exists a global market portfolio that each rational investor should hold in proportion to the risk‐free asset. In this paper, we demonstrate theoretically
Khalifa Al‐Thani, Domenico Mignacca, Gianluca Fusai, Fabio Caccioli, Guido Germano   +4 more
wiley   +1 more source

Kryptonite for Cryptocurrencies? What Are the Effects of Regulatory Controls on Bitcoin Returns and Volatility?

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper examines the impact of regulatory controls on Bitcoin's excess returns and volatility. The paper innovates by proxying changes in the regulatory environment using global Google search volume intensity data. The generated regulatory indices accurately identify episodes of regulatory tightening within cryptocurrency markets.
Robert Mullings
wiley   +1 more source

Portfolio return optimization under an endogenous investment set: evidence from P2P lending [PDF]

Seonmul yeongu
We develop a Sharpe ratio–maximizing decision framework for environments in which binary approval rules endogenously determine the investable set. In conventional portfolio theory, investors optimize weights within an exogenously given asset universe; in
Jaesung James Park, Jonghyun Moon, HyeIn Yu, Hyomin Lee, Hyebin Jeong, Minseo Choi, Hyeseong Hwang   +6 more
doaj   +1 more source

Investment portfolio optimization with supervised learning and attention mechanism

Egyptian Informatics Journal
Portfolio optimization is a process that involves distribution of capital with the purpose of maximizing returns and at the same time minimizing risks.
Zetao Yan
doaj   +1 more source

The effect of ESG on portfolio’s alpha and Sharpe ratio [PDF]

, 2022
I study the relationship between ESG scores (Environmental, Social, Governance) and ESG-portfolio returns in Europe and the United States. Using portfolio regressions with two different asset pricing models, I find that long-only portfolios consisting of
Nieminen, Joonas
core  

Diversifying Environmental, Social and Governance Portfolios: Evidence From China

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study extends traditional portfolio optimization methods by incorporating Environmental, Social and Governance (ESG) performance measures into diversification strategies, specifically focusing on data from the Chinese stock market. By integrating ESG scores and their constituent components (E, S and G), the study examines portfolio ...
Danyang Li, Yating Li, Charalampos Stasinakis, Yang Zhao   +3 more
wiley   +1 more source

Predictive power of Brazilian equity fund performance using R2 as a measure of selectivity

Revista Contabilidade & Finanças, 2017
This paper aimed to investigate the impact of levels of selectivity on the performance of equity funds using a methodology applied for the first time ever (as far as we know) in the Brazilian market.
Marcelo dos Santos Guzella, Carlos Heitor Campani   +1 more
doaj   +1 more source

PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018

Journal of Management and Entrepreneurship Research, 2020
Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio.
Happy Catherine, Robiyanto Robiyanto
doaj   +1 more source

Industry Portfolio Volatility Connections and Industry Portfolio Returns

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper tracks dynamic connections that form among daily US industry portfolio return volatilities using a Bayesian time‐varying parameter VAR model. Market participants often focus on sectors to filter vast amounts of information, and this focus results in cross‐industry return predictability. We characterise connections that form over the
Michael Ellington, Michalis Stamatogiannis, Yawen Zheng   +2 more
wiley   +1 more source