1,721,420 research outputs found
The signature of sentiment in conditional consumption CAPM estimates: A note
No full textIn this paper, we show that augmenting the consumption CAPM with sentiment, and thus allowing for systematic investor error in forming beliefs, helps reconcile investors' optimizing behaviour with the cross-section of average stock returns. The fit of specifications that do not include sentiment-related factors, instead, crucially hinges on parameters estimates that are inconsistent with standard risk aversion assumptions, as formulated for example by Kimball (1993). This implies that investors must either commit systematic errors, at least ex-post, in assessing the joint distribution of stock returns and aggregate consumption or they must behave in a way that, at the aggregate level, is inconsistent with expected utility maximization under Kimball's (1993) standard risk aversion. © 2014 Elsevier B.V
Performance Attribution in Emerging Markets an Application to Chinese Open-End Active Mutual Funds
No full textIn this study, we offer an overview of methods suitable for performance attribution in emerging markets and present an application of such methods to Chinese mutual funds. Our approach echoes the more recent literature on fund performance attribution that makes use of the so-called stochastic discount factor (SDF) in evaluating fund performance, and offers the first test of conditional risk-adjusted performance (Ferson et al., 2006) of actively managed Chinese funds. In doing so, by using a pricing model implied by the SDF that spans a set of basis assets traded in Chinese capital markets, we directly address the concern put forth by Drew et al. (2003), who question the relevance of popular risk factors, e.g., those included in the Fama-French factor model (Fama and French, 1996), when assessing the performance of Chinese funds
Measuring excess-predictability of asset returns and market efficiency over time
No full textWe build on the predictability bounds of Huang and Zhou (2017) and Poti (2018) to develop an index of informational market inefficiency. This index takes values given by the levels of relative risk aversion (RRA) of the marginal investor such that, net of sampling error at a given confidence level, the observed predictability does not exceed the predictability bound. We demonstrate the usefulness of our index in a study of the predictability of forward exchange rates of currencies of emerging and developed economies from 1994 to 2016, to shed light on how the efficiency of currency markets has evolved over this time. We find widespread evidence of excess-predictability, hence currency market inefficiency, in the early part of the sample period and then at specific times, such as the recent global financial crisis. In the more recent part of the sample period, the evidence of excess-predictability is largely limited to emerging market currencies. (C) 2019 Elsevier B.V. All rights reserved
Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour
No full textThis study explores whether and to what extent cryptocurrency ecosystem network connectivity predicts Bitcoin returns across quantiles of the return distribution. The facets of cryptocurrency ecosystem network connectivity we consider include connectivity between the on- and off-chain segments of the Bitcoin market, the intensity and synchronization of social and traditional crypto-focused media activity, the intensity of network correlations between cryptocurrencies. We identify tail behaviour predictors employing a quantile regression approach. The results demonstrate the effectiveness of several connectivity measures in predicting both price spikes and downfalls, but in a different way before and during the COVID-19 outbreak
Na poti v Kamnik
Full text linkThe volume Na poti v Kamnik (On the Way to Kamnik) is an ethnological and folklore study presenting the life and folk creativity of the wider Kamnik area from the end of the eighteenth century to the present. It is the result of many years of research based on extensive archival material, thorough fieldwork, and theoretical reflections.
The book features many new findings in terms of both the life it discusses and song creativity. The main research focus is on the relationship between the town and the countryside: how the countryside has changed in contact with the town, and how the town changed when its residents used rural folk culture to express their independent ethnic identity. The study uses songs, including ones created in the town, to reveal various social relationships, thereby also shedding light on certain historical processes. Within these frameworks, it observes the perceptions of the Other, which it also traces during times of strong social conflict, such as war and the postwar period. It exemplifies these perceptions with songs and other illustrative material, especially photos.Monografija Na poti v Kamnik je etnološko-folkloristična študija, ki prikazuje življenje in ljudsko ustvarjalnost širšega kamniškega območja od konca osemnajstega stoletja do danes. Je plod dolgoletnega raziskovalnega dela, temelječega na obsežnem arhivskem gradivu, na izčrpnem terenskem delu in na teoretskih premislekih.
Delo prinaša vrsto novih spoznanj tako s stališča življenja, ki ga obravnava, kot s stališča pesemske ustvarjalnosti. Središčno raziskovalno os pomeni razmerje med mestom in podeželjem: monografija prikazuje, kako se je spreminjalo podeželje v stiku z mestom in kako se je spreminjalo mesto, ko so meščani za izražanje nacionalne samobitnosti potrebovali ljudsko kulturo podeželja. S pomočjo pesmi, ki vključujejo tudi ustvarjalnost v mestu, raziskava razkriva različna družbena razmerja, s tem pa osvetljuje tudi nekatere zgodovinske procese. V teh okvirih opazuje razumevanja Drugega, ki jim sledi tudi v času izrazitih družbenih nasprotij, kot sta vojna in povojni čas, ta razumevanja pa ilustrira s pesemskimi zgledi in z drugim ilustrativnim gradivom, predvsem s fotografijami
Na poti v Kamnik
Full text linkThe volume Na poti v Kamnik (On the Way to Kamnik) is an ethnological and folklore study presenting the life and folk creativity of the wider Kamnik area from the end of the eighteenth century to the present. It is the result of many years of research based on extensive archival material, thorough fieldwork, and theoretical reflections.
The book features many new findings in terms of both the life it discusses and song creativity. The main research focus is on the relationship between the town and the countryside: how the countryside has changed in contact with the town, and how the town changed when its residents used rural folk culture to express their independent ethnic identity. The study uses songs, including ones created in the town, to reveal various social relationships, thereby also shedding light on certain historical processes. Within these frameworks, it observes the perceptions of the Other, which it also traces during times of strong social conflict, such as war and the postwar period. It exemplifies these perceptions with songs and other illustrative material, especially photos.Monografija Na poti v Kamnik je etnološko-folkloristična študija, ki prikazuje življenje in ljudsko ustvarjalnost širšega kamniškega območja od konca osemnajstega stoletja do danes. Je plod dolgoletnega raziskovalnega dela, temelječega na obsežnem arhivskem gradivu, na izčrpnem terenskem delu in na teoretskih premislekih.
Delo prinaša vrsto novih spoznanj tako s stališča življenja, ki ga obravnava, kot s stališča pesemske ustvarjalnosti. Središčno raziskovalno os pomeni razmerje med mestom in podeželjem: monografija prikazuje, kako se je spreminjalo podeželje v stiku z mestom in kako se je spreminjalo mesto, ko so meščani za izražanje nacionalne samobitnosti potrebovali ljudsko kulturo podeželja. S pomočjo pesmi, ki vključujejo tudi ustvarjalnost v mestu, raziskava razkriva različna družbena razmerja, s tem pa osvetljuje tudi nekatere zgodovinske procese. V teh okvirih opazuje razumevanja Drugega, ki jim sledi tudi v času izrazitih družbenih nasprotij, kot sta vojna in povojni čas, ta razumevanja pa ilustrira s pesemskimi zgledi in z drugim ilustrativnim gradivom, predvsem s fotografijami
Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon
No full textDuring times of market turmoil, investors often seek to mitigate risks associated with traditional investment assets such as equities and debt. The hedging and safe-haven properties of gold are examined in this paper for investors with short- and long-run horizons. Utilizing wavelet analysis, we find that gold acts as a hedge for a variety of international equity and debt markets for horizons of up to one year. The safe haven properties of gold during financial crises are further established, with gold shown to act as a safe haven for equity investors for long-run horizons of up to one year. However, during the economic contractions of the early 1980s gold is found not to act as a safe haven, displaying a positive relationship with equities across a range of horizons
Predictability and diversification benefits of investing in commodity and currency futures
No full textWe re-examine diversification benefits of investing in commodities and currencies by considering a risk-averse investor with mean-variance preferences who exploits the possibility of predictable time variation in asset return means, variances, and covariances. We implement unconditional and conditional efficient portfolio strategies designed to exploit this predictability, together with more traditional and/or ad hoc ones yet hitherto relatively unexplored in this context (including the equally weighted, fixed weight, volatility timing, and reward-to-risk timing strategies). We find that, for all portfolio strategies, commodities and currencies do not improve the investment opportunity set of the investor with an existing portfolio of stocks, bonds and T-bills, and an investment horizon of one month. Our findings, which reverse the conclusions of previous studies that focus on static portfolio strategies, are robust across several performance metrics. (C) 2017 Elsevier Inc. All rights reserved
The price of shelter - Downside risk reduction with precious metals
Full text linkInvestor aversion to extreme losses may motivate them to seek out investments perceived to function as a safe haven during times of crisis. In this study, we consider the potential for precious metals to mitigate downside risk when combined with equities, and evaluate the impact on portfolio risk-adjusted returns. Each of gold, silver and platinum are found to contribute to downside risk reduction at short horizons, but diversification into silver and platinum may result in increased long horizon portfolio risk. The price of sheltering an equity portfolio from downside risk is a relative reduction in portfolio risk-adjusted returns. Variance and kurtosis properties of precious metals are identified as marginal contributors to downside risk reduction. Futures markets on precious metals are also shown to present an interesting and viable diversification alternative to physical metals. (C) 2016 Elsevier Inc. All rights reserved
Na poti v Kamnik
Full text linkThe volume Na poti v Kamnik (On the Way to Kamnik) is an ethnological and folklore study presenting the life and folk creativity of the wider Kamnik area from the end of the eighteenth century to the present. It is the result of many years of research based on extensive archival material, thorough fieldwork, and theoretical reflections.
The book features many new findings in terms of both the life it discusses and song creativity. The main research focus is on the relationship between the town and the countryside: how the countryside has changed in contact with the town, and how the town changed when its residents used rural folk culture to express their independent ethnic identity. The study uses songs, including ones created in the town, to reveal various social relationships, thereby also shedding light on certain historical processes. Within these frameworks, it observes the perceptions of the Other, which it also traces during times of strong social conflict, such as war and the postwar period. It exemplifies these perceptions with songs and other illustrative material, especially photos.Monografija Na poti v Kamnik je etnološko-folkloristična študija, ki prikazuje življenje in ljudsko ustvarjalnost širšega kamniškega območja od konca osemnajstega stoletja do danes. Je plod dolgoletnega raziskovalnega dela, temelječega na obsežnem arhivskem gradivu, na izčrpnem terenskem delu in na teoretskih premislekih.
Delo prinaša vrsto novih spoznanj tako s stališča življenja, ki ga obravnava, kot s stališča pesemske ustvarjalnosti. Središčno raziskovalno os pomeni razmerje med mestom in podeželjem: monografija prikazuje, kako se je spreminjalo podeželje v stiku z mestom in kako se je spreminjalo mesto, ko so meščani za izražanje nacionalne samobitnosti potrebovali ljudsko kulturo podeželja. S pomočjo pesmi, ki vključujejo tudi ustvarjalnost v mestu, raziskava razkriva različna družbena razmerja, s tem pa osvetljuje tudi nekatere zgodovinske procese. V teh okvirih opazuje razumevanja Drugega, ki jim sledi tudi v času izrazitih družbenih nasprotij, kot sta vojna in povojni čas, ta razumevanja pa ilustrira s pesemskimi zgledi in z drugim ilustrativnim gradivom, predvsem s fotografijami
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