Asset Allocation and International Investments

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Asset Allocation and International Investments (eBook) Pub. Date: 11/17/2006 Publisher: Palgrave Macmillan
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Asset Allocation and International Investments (First Edition) Pub. Date: 12/22/2006 Publisher: Palgrave Macmillan

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Overview

This volume consists of a collection of edited papers from respected academics worldwide on the latest developments in asset allocation, portfolio management and international investments, including original scientific articles that will help the investor

Product Details

ISBN-13: 9780230019171
Publisher: Palgrave Macmillan
Publication date: 12/22/2006
Edition description: First Edition
Pages: 264
Series: Finance and Capital Markets Series
Product dimensions: 6.14 (w) x 9.21 (h) x 0.62 (d)

Meet the Author

GREG N. GREGORIOU is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at State University of New York (Plattsburgh). He has edited twelve books on hedge funds, funds of hedge funds, CTAs, IPOs, Corporate Governance and investment management.

Acknowledgments     xi
Notes on the Contributors     xii
Introduction     xvii
Time-Varying Downside Risk: An Application to the Art Market   Rachel Campbell   Roman Kraussl     1
Introduction     1
Art as an investment     3
Previous empirical studies     4
Empirical analysis     5
Data     6
Methodology     9
Results     10
Discussion     11
Conclusion     13
International Stock Portfolios and Optimal Currency Hedging with Regime Switching   Markus Leippold   Felix Morger     16
Introduction     16
The model     18
Estimation results     21
Discussion     26
Conclusion     39
The Determinants of Domestic and Foreign Biases: An Empirical Study   Fathi Abid   Slah Bahloul     42
Introduction     42
Theoretical framework of domestic and foreign biases     44
Data and preliminary statistics     46
The determinants of domestic and foreign biases     56
The empirical analysis     67
Additional tests     71
Conclusion     74
The Critical Line Algorithm for UPM-LPM Parametric General Asset Allocation Problem with Allocation Boundaries and Linear Constraints   Denisa Cumova   David Moreno   David Nawrocki     80
Introduction     80
The upside potential-downside risk portfolio model     82
An empirical example     92
Conclusion     94
Currency Crises, Contagion and Portfolio Selection   Arindam Bandopadhyaya   Sushmita Nagarajan     96
Introduction     96
Stock market average rates of return and average volatility     97
Stock market correlations     99
Portfolio performance     100
Conclusion     101
Bond and Stock Market Linkages: The Case of Mexico and Brazil   Arindam Bandopadhyaya     103
Introduction     103
The estimation equations and data     105
Results     109
Conclusion     112
The Australian Stock Market: An Empirical Investigation   Adeline Chan   J. Wickramanayake     114
Introduction     114
Existing evidence     115
Hypothesis     118
The data      119
Data analysis and results     127
Conclusion     132
The Price of Efficiency - So, What Do You Think About Emerging Markets?   Zsolt Berenyi     137
Introduction     137
Higher moment performance analysis - the theory     138
The efficiency gain/loss methodology     140
Testing results     143
Conclusion     149
Liquidity and Market Efficiency Before and After the Introduction of Electronic Trading at the Sydney Futures Exchange   Mark Burgess   J. Wickramanayake     151
Introduction     151
Review of the literature     152
Options data volume as a proxy for liquidity     154
Sample design     159
Analysis of results     165
Conclusion     178
How Does Systematic Risk Impact Stocks? A Study of the French Financial Market   Hayette Gatfaoui     183
Introduction     183
Theoretical framework     185
Empirical study     187
The impact of systematic risk     190
Further investigation     195
Market benchmark comparison     201
Conclusion     209
Matrix Elliptical Contoured Distributions versus a Stable Model: Application to Daily Stock Returns of Eight Stock Markets   Taras Bodnar   Wolfgang Schmid     214
Introduction     214
Small sample tests     216
Analysis of the power functions     221
Empirical study     222
Conclusion     224
The Modified Sharpe Ratio Applied to Canadian Hedge Funds   Greg N. Gregoriou     228
Introduction     228
Literature review     229
Data and methodology     230
Empirical results     231
Conclusion     233
Index     235

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