Download or read book Aggregate Risk Asset Prices and International Portfolio Diversification written by Christian Julliard and published by . This book was released on 2005 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Asset Pricing and Portfolio Diversification with Time Varying Risk written by Giorgio De Santis and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in International Finance written by Oussama M'saddek and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of an introductory chapter and three empirical studies that contribute to the international finance literature by investigating the dynamics of cojumps between major equity markets and assessing their impact on international portfolio allocation and asset pricing. The first study aims to examine the impact of cojumps between international stock markets on asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds (SPY, EFA and EEM) as proxies for international equity markets, we document evidence of significant intraday cojumps, with the intensity increasing during the global financial crisis of 2008-2009. The application of the Hawkes process also shows that jumps propagate from the US and other developed markets to emerging markets. However, the evidence of jump spillover from emerging markets to developed markets is weak. To assess the impact of cojumps on international asset holdings, we consider a representative American investor who allocates his wealth among one domestic risky asset, the SPY fund, and two foreign risky assets, the EFA and EEM funds and compute the optimal portfolio composition from the US investor perspective by minimizing the portfolio's risk. We find that the demand of foreign assets is negatively correlated to jump correlation, implying that a domestic investor will invest less in foreign markets when the frequency of cojumps between domestic and foreign assets increases. In contrast, idiosyncratic jumps are found to increase the diversification benefits and foreign asset holdings in international equity portfolios.The second study tackles the issue of pricing of both continuous and jump risks in the cross-section of international stock returns. We contribute to the literature on international asset pricing by considering a general pricing framework involving six separate market risk factors. We first decompose the systematic market risk into intraday and overnight components. The intraday market risk includes both continuous and jump parts. We then consider the asymmetry and size effects of market jumps by separating the systematic jump risk into positive vs. negative and small vs. large components. Using the intraday data of a set of country exchange traded funds covering developed, emerging and frontier markets, we show that continuous and downside discontinuous risks are positively rewarded in the cross-section of expected stock returns during the pre-financial crisis period whereas the upside and large jump risks are negatively priced during the crisis and post-crisis periods.The third study examines how international equity markets respond to aggregate market jumps at price and volatility levels. Using intraday data of ten exchange-traded funds covering major developed and emerging markets and two international market volatility indices (VIX and VXEEM), we show that both price and volatility jump betas are time-varying and exhibit asymmetric effects across upside and downside market movements. Looking at the relation between future stock market returns and aggregate market price and volatility jumps, we measure the proportion of future excess returns explained by market price and volatility jumps and provide evidence of a significant predictive power that market price and volatility jumps have on future stock returns.
Download or read book Optimal Beliefs Asset Prices and the Preference for Skewed Returns written by Markus Konrad Brunnermeier and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these two incentives, portfolio holdings and asset prices match six observed patterns: (i) because the cost of biased beliefs are typically second-order, investors typically hold biased assessments of probabilities and so are not perfectly diversified according to objective metrics; (ii) because the costs of biased beliefs temper these biases, the utility costs of the lack of diversification are limited; (iii) because there is a complementarity between believing a state more likely and purchasing more of the asset that pays off in that state, investors over-invest in only one Arrow-Debreu security and smooth their consumption well across the remaining states; (iv) because different households can settle on different states to be optimistic about, optimal portfolios of ex ante identical investors can be heterogeneous; (v) because low-price and low-probability states are the cheapest states to buy consumption in, overoptimism about these states distorts consumption the least in the rest of the states, so that investors tend to overinvest in the most skewed securities; (vi) finally, because investors with optimal expectations have higher demand for more skewed assets, ceteris paribus, more skewed asset can have lower average returns.
Download or read book International Capital Market Equilibrium written by Lemma Wolde Senbet and published by . This book was released on 1975 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on International Portfolio Diversification and Asset Prices written by Jun Sato and published by . This book was released on 1999 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Portfolio Diversification written by Theodore Michael Johnson and published by . This book was released on 1989 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Asset Pricing and Portfolio Diversification with Time Varying Risk written by Giorgio De Santis and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the conditional CAPM for the world's eight largest equity markets using a parsimonious GARCH parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable during periods of high interest rates. Our estimates indicate that, although severe market declines are contagious, the expected gains from international diversification for a U.S. investor average 2.11% per year and have not significantly declined over the last two decades.
Download or read book Time varying Risk and International Portfolio Diversification with Contagious Bear Markets written by Giorgio De Santis and published by . This book was released on 1995 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Diversification and Asset Pricing written by Kennedy K. Mbekeani and published by . This book was released on 1997 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Integration and Asset Returns written by Philippe J. Martin and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Beyond Diversification What Every Investor Needs to Know About Asset Allocation written by Sebastien Page and published by McGraw Hill Professional. This book was released on 2020-11-10 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generate solid, long-term profits with a portfolio allocated for your investing needs Asset allocation is the key to investing performance. Unfortunately, no single approach works perfectly—developing the right balance requires a clear-eyed look at the many models available to you, various investing methodologies, and your or your client’s level of risk tolerance. And that’s where this important guide comes in. Written by a leading allocation expert from T. Rowe Price, Beyond Diversification provides the knowledge, insights, and approaches you need to make the best allocation decisions for your goals. This deep dive into the how’s and why’s of asset allocation is organized by the three decisive components of a successfully allocated portfolio: Return Forecasting discusses the desired return investors seek. Risk Forecasting covers the level of risk investors are prepared to assume to achieve that return. Portfolio Construction calibrates the stock-bond mix that balances the risks and returns. With examples from T. Rowe Price’s asset allocation team showing you how the process works in the real world, Beyond Diversification provides everything you need to find the asset combination that will deliver the results you seek. You’ll learn how to choose the right tradeoffs, build the most effective asset allocation combination for your needs, and dramatically increase your odds of success for the long run.
Download or read book Revisiting Risk Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Download or read book International Portfolio Diversification Asset return Determination and Foreign Exchange Risk Premium Under Uncertainty written by Tetsufumi Yamakawa and published by . This book was released on 1992 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
