Empirical Essays On Portfolio Diversification
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Empirical Essays On Portfolio Diversification
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Author : Dennis Dlugosch
language : en
Publisher:
Release Date : 2014
Empirical Essays On Portfolio Diversification written by Dennis Dlugosch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Essays In Empirical Corporate Finance And Portfolio Choice
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Author : Andrij Bodnaruk
language : en
Publisher:
Release Date : 2005
Essays In Empirical Corporate Finance And Portfolio Choice written by Andrij Bodnaruk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Going public (Securities) categories.
Essays In International Portfolio Diversification
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Author : Hansoo Kim
language : en
Publisher:
Release Date : 2004
Essays In International Portfolio Diversification written by Hansoo Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Two Essays On Empirical Asset Pricing
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Author : Yangqiulu Luo
language : en
Publisher:
Release Date : 2013
Two Essays On Empirical Asset Pricing written by Yangqiulu Luo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Finance categories.
This dissertation consists of two essays on empirical asset pricing. The first essay examines if the idiosyncratic risk is priced. Theories such as Merton (1987) predict that idiosyncratic risk should be priced when investors do not diversify their portfolio. However, the previous literature has presented a mixed set of results of the pricing of idiosyncratic risk. We find strong evidence that idiosyncratic risk is priced differently across bull and bear markets. For the sample period from June 1946 to the end of 2010, a factor portfolio long on stocks with high idiosyncratic volatility and short on stocks with low idiosyncratic volatility yields an equal-weighted monthly return of 1.59% for bull markets but -1.29% for bear markets. These evidences support the hypothesis that investors are rewarded for betting on individual stocks during bull markets and holding more diversified portfolios during bear markets. The second essay examines the role of the limits to arbitrage in the negative effect of liquidity on subsequent stock returns. I hypothesize that if the negative effect persists because of the limits to arbitrage, the effect should be more pronounced when there are more severe limits to arbitrage. My empirical evidence supports the hypothesis. In addition, I find that the effect of the limits to arbitrage on the liquidity anomaly is not correlated to the liquidity risk.
Three Essays In International Portfolio Diversification
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Author : Amir Andrew Amadi
language : en
Publisher:
Release Date : 2004
Three Essays In International Portfolio Diversification written by Amir Andrew Amadi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Portfolio Theory 25 Years After
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Author : Harry Markowitz
language : en
Publisher: North-Holland
Release Date : 1979
Portfolio Theory 25 Years After written by Harry Markowitz and has been published by North-Holland this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Business & Economics categories.
Portfolio Diversification
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Author : Graeme Frederick Crawford
language : en
Publisher:
Release Date : 1970
Portfolio Diversification written by Graeme Frederick Crawford and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Investments categories.
An Empirical Examination Of International Portfolio Diversification
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Author : Mark E. Merrill
language : en
Publisher:
Release Date : 1978
An Empirical Examination Of International Portfolio Diversification written by Mark E. Merrill and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with categories.
Diversification And Portfolio Management Of Mutual Funds
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2006-11-17
Diversification And Portfolio Management Of Mutual Funds written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-17 with Business & Economics categories.
This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance. This book is a crucial tool for any investor looking to improve the profit gain from their investment.
Essays On Consumer Portfolio And Credit Risk
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Author : Tingting Ji
language : en
Publisher:
Release Date : 2004
Essays On Consumer Portfolio And Credit Risk written by Tingting Ji and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bankruptcy categories.
Abstract: Three essays comprise this dissertation. The first essay uses panel data to show that labor income risk alone cannot explain limited stock market participation. However, transaction costs and household demographics, considered jointly, can determine both the discrete choice of whether to hold stock and the amount held, conditional on whether the household is already investing in the stock market. Transaction costs are proxied by state-level number of brokers per capita. The second essay builds on the first essay. I measure two different covariance terms. One is between self-evaluated house value and uninsurable labor income risk. The other is between housing investment return and stock return. The results show that homeownership has a diversification effect on stock holdings. This effect occurs because adding a house to the household portfolio can significantly decrease the overall risk of the portfolio. The last essay empirically shows that unemployment is significant in determining both consumer bankruptcy filings and delinquency even after controlling for household demographics. Furthermore, I show that unemployment and the debt/wealth ratio also affect the choice of whether to file for bankruptcy under chapter 7 or chapter 13, after controlling for demographics. The paper then points out some of the implications the empirical results have for policy-makers and banking regulators.