Table of contents
An investor’s perspective on risk-models and characteristic-models
Christian Fieberg, Thorsten Poddig, Armin VarmazIn capital markets, research risk factor loadings and characteristics are considered as opposing explanations for the cross-sectional dispersion in average stock returns. However…
What transaction costs are acceptable in life insurance products from the policyholders’ viewpoint?
Hato Schmeiser, Joël WagnerThe purpose of this paper is to analyze what transaction costs are acceptable for customers in different investments. In this study, two life insurance contracts, a mutual fund…
On portfolio optimization: Forecasting asset covariances and variances based on multi-scale risk models
Theo Berger, Christian FiebergThe purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the…
Toward an optimal hedging strategy considering earnings volatility through fair value accounted financial derivatives
Eva Marie Ebach, Michael Hertel, Andreas Lindermeir, Timm TränklerThe purpose of this paper is to determine a financial institution's optimal hedging degree under consideration of costly earnings volatility induced by fair value accounted…
Private firm pricing and propensity to go public: evidence from mutual funds holdings
Mariluz Alverio, Javier RodríguezThe purpose of this study is to focus on mutual funds’ valuations of their US private firm holdings. According to extant academic literature, mutual funds’ boards of directors…
Study of REIT ETF beta
Stoyu I. IvanovThe aim of this study is to examine real estate investment trust exchange-traded funds (REIT ETFs) and test for the existence of the “asymmetric beta puzzle” phenomenon in these…
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridMerged from:
Balance SheetEditor:
- Nawazish Mirza