ERN: International Finance (Topic)最新文献_第7页

Exchange Rate Uncertainty and International Portfolio Flows 汇率不确定性与国际投资组合流动

ERN: International Finance (Topic) Pub Date : 2013-05-21 DOI: 10.2139/ssrn.2264178

G. Caporale, F. Menla Ali, Nicola Spagnolo

引用次数: 12

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation 趋势是我们的朋友:全球资产配置中的风险平价、动量和趋势跟踪

ERN: International Finance (Topic) Pub Date : 2013-05-01 DOI: 10.2139/ssrn.2126478

A. Clare, Peter N. Smith, Steve Thomas

{"title":"The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation","authors":"A. Clare, Peter N. Smith, Steve Thomas","doi":"10.2139/ssrn.2126478","DOIUrl":"https://doi.org/10.2139/ssrn.2126478","url":null,"abstract":"We examine applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. This strategy offers substantial improvement in risk-adjusted performance compared to buy-and-hold portfolios and a superior method of asset allocation than risk parity. We believe the discipline of trend following overcomes many of the behavioural biases investors succumb to, such as regret and herding, and offers a solution to the inappropriate sequence of returns which can be problematic for decumulation portfolios. The other side of behavioural biases is that they may be exploited by investors: an example is momentum investing where herding leads to continuation of returns and has been identified across many assets. Momentum and trend following differ as the former is a relative concept and the latter absolute. Combining both can achieve the higher return levels associated with momentum portfolios with much reduced volatility and drawdowns due to trend following. Measures based on utility of a representative investor reinforce the superiority of combining trend following with momentum strategies. These techniques help address the sequencing of returns issue which can be a serious issue for financial planning.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125704390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 54

Long-Run Price Elasticities of Demand for Credit: Evidence from a Countrywide Field Experiment in Mexico 信贷需求的长期价格弹性:来自墨西哥全国实地试验的证据

ERN: International Finance (Topic) Pub Date : 2013-05-01 DOI: 10.2139/ssrn.2272723

Dean S. Karlan, Jonathan Zinman

引用次数: 52

Capital Account Policies in Chile Macro-Financial Considerations Along the Path to Liberalization 智利资本账户政策:自由化道路上的宏观金融考量

ERN: International Finance (Topic) Pub Date : 2013-05-01 DOI: 10.5089/9781484331460.001.A001

Yan Carrière-Swallow, Pablo Garcia-Silva

引用次数: 34

Impact of International Financial Flows on Indian Stock Markets – An Empirical Study 国际资金流动对印度股市影响的实证研究

ERN: International Finance (Topic) Pub Date : 2013-04-23 DOI: 10.2139/ssrn.2255404

K.S.Venkateswara Kumar, V. R. Devi

{"title":"Impact of International Financial Flows on Indian Stock Markets – An Empirical Study","authors":"K.S.Venkateswara Kumar, V. R. Devi","doi":"10.2139/ssrn.2255404","DOIUrl":"https://doi.org/10.2139/ssrn.2255404","url":null,"abstract":"FDI and FII have become instruments of international economic integration and stimulation. Fast growing economies like Singapore, China, Korea etc have registered incredible growth at onset of FDI. Though US captures most of the FDI inflows, developing countries still account for significant growth of FDI and rise in FII. FDI not only gives access to foreign capital but also provides domestic countries with cutting edge technology, desired skill sets, tools of innovation and other complementary skills. The policies drafted to stimulate the flow of foreign capital in to India provided much needed impetus for India to emerge as an attractive destination for foreign investors. External factors such as global economic cues, FDI & FII, Exchange rate and Internal factors such as demand and supply, market cap, EPS generally drive and dictates the Indian stock market. The current paper makes an attempt to study the relationship and impact of FDI & FII on Indian stock market using statistical measures correlation coefficient and multi regression for 12 years data starting from 2001 to 2012. Sensex and Nifty were considered as the representative of stock market as they are the most popular Indian stock market indices.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114633648","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7

Impact of the Foreign Exchange Rates Fluctuations on Returns and Volatility of the Bucharest Stock Exchange 汇率波动对布加勒斯特证券交易所收益和波动性的影响

ERN: International Finance (Topic) Pub Date : 2013-04-15 DOI: 10.2139/ssrn.2250937

R. Stefanescu, Ramona Dumitriu

{"title":"Impact of the Foreign Exchange Rates Fluctuations on Returns and Volatility of the Bucharest Stock Exchange","authors":"R. Stefanescu, Ramona Dumitriu","doi":"10.2139/ssrn.2250937","DOIUrl":"https://doi.org/10.2139/ssrn.2250937","url":null,"abstract":"This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock prices from the Romanian capital market for the period of time January 2000 - December 2012. This period was split in four sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in this investigation provided different results. For the transition period January 2000 - December 2007 we found no evidence of the foreign exchange market on the Bucharest Stock Exchange. During a period of time between the Romania’s adhesion to European Union and the announcement of Lehman Brothers’ bankruptcy the results indicate a significant impact of the foreign exchange rates on the stock returns. For the period from September 2008 to February 2010 we find that foreign exchange rates influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the foreign exchange market on the Romanian capital market was limited to the returns. We conclude that influence of the foreign exchange rates variation on the returns and volatility of the stock prices depended on the factors such as the foreign capitals inflows, the global crisis effects and the perceptions of the national economy.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123003385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Deleveraging from Emerging Markets: The Case of Euro-Area Banks 新兴市场去杠杆化:以欧元区银行为例

ERN: International Finance (Topic) Pub Date : 2013-03-21 DOI: 10.2139/ssrn.2253121

A. Garcia-Herrero, F. Chen

{"title":"Deleveraging from Emerging Markets: The Case of Euro-Area Banks","authors":"A. Garcia-Herrero, F. Chen","doi":"10.2139/ssrn.2253121","DOIUrl":"https://doi.org/10.2139/ssrn.2253121","url":null,"abstract":"This paper shows stylized facts on the rather large retrenchment of cross-border lending by Euro-area banks into emerging markets. The clearest case is Asia where Euro-area banks have massively lost market share. The reason, however, is not only related to their retrenching but also to the surge in lending from others banks, especially from Emerging Asia. As a second step, we investigate empirically the determinants of cross-border bank flows with a gravity model and differentiate across Euro-area, US and Asian banks. We find a number of home factors behind the retrenchment in lending. Two are common to all home countries analyzed, namely global risk aversion and trade which, respectively, discourage and foster banksA¢â‚¬â„¢ overseas lending. Other factors, however, are specific of Euro-area banks, such as the higher cost of funding which is found to discourage lending while poor economic growth tends to foster it. The latter result would indicate that economic weakness of the last few years may have actually cushioned Euro-area banksA¢â‚¬â„¢ deleveraging from emerging markets. All in all, Euroarea banksA¢â‚¬â„¢ cross border lending appear to be more dependent on their cycle (both in terms of growth and external cost of funding) when compared with US and Asian banks.","PeriodicalId":381709,"journal":{"name":"ERN: International Finance (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116655875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Libor Market Model with Stochastic Basis - Calibration Using OIS Yield and Money Market Basis Spreads Libor市场随机基差模型-使用OIS收益率和货币市场基差进行校准

ERN: International Finance (Topic) Pub Date : 2013-02-04 DOI: 10.2139/ssrn.2211175

Joerg Kienitz

引用次数: 1

Dual Liquidity Crises - A Financial Accounts Framework 双重流动性危机-金融账户框架

ERN: International Finance (Topic) Pub Date : 2013-02-01 DOI: 10.1111/roie.12026

U. Bindseil, A. Winkler

引用次数: 8

Gravity, Scale and Exchange Rates 重力、规模和汇率

ERN: International Finance (Topic) Pub Date : 2013-02-01 DOI: 10.3386/W18807

James E. Anderson, Mykyta Vesselovsky, Y. Yotov

引用次数: 14