Financial Markets and Portfolio Management最新文献_第3页

Securities transaction taxes and stock price informativeness: evidence for France and Italy 证券交易税与股价信息:以法国和意大利为例

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-07-01 DOI: 10.1007/s11408-023-00430-5

Paulo Pereira da Silva

引用次数: 0

What we know about the low-risk anomaly: a literature review 我们对低风险异常的了解:文献综述

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-04-28 DOI: 10.1007/s11408-023-00427-0

Joshua Traut

引用次数: 1

Beta estimation in the European network regulation context: what matters, what doesn't, and what is indispensable. 欧洲网络监管背景下的贝塔估计：什么重要，什么不重要，什么是不可或缺的。

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-04-26 DOI: 10.1007/s11408-023-00428-z

Dmitry Bazhutov, André Betzer, Richard Stehle

引用次数: 1

Securitization of pandemic risk by using coronabond. 利用新冠债券实现疫情风险证券化。

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-04-17 DOI: 10.1007/s11408-023-00425-2

Adlane Haffar, Éric Le Fur, Mohamed Khordj

{"title":"Securitization of pandemic risk by using coronabond.","authors":"Adlane Haffar, Éric Le Fur, Mohamed Khordj","doi":"10.1007/s11408-023-00425-2","DOIUrl":"10.1007/s11408-023-00425-2","url":null,"abstract":"This article investigates the pandemic risk coverage within the European Union member states through insurance securitization. This strategy allows the transfer of health risks from the insurance market to the financial markets. We focus on the financial market crisis caused by the COVID-19 pandemic to securitize the losses caused by the latter. Over the period from 24/01/2020 (the first proven case of contamination in Europe) to 31/03/2020 (end of the dramatic decrease in financial markets), we apply the extreme value theory allowing the selection of the trigger threshold. We identify an immediate reaction of the financial markets following a pandemic shock, the effect of which fades after a few days. The response of stock market indices, measured by the fluctuation of return rates, is not very high. Nevertheless, the reaction of the financial markets is sufficient for the corona bond triggering, provided that the threshold for triggering the incidence rate is optimal. In addition, the securitization of insurance risk could be an alternative process to the classic risk transfer techniques such as co-insurance and reinsurance. Finally, a reinsurance pool dedicated to the insurance scheme's management against the effects of a pandemic is crucial for insurance securitization. These results could have implications for various actors such as insurers, financial investors, and States.","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10109232/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9719880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Morgan Housel: The psychology of money: timeless lessons on wealth, greed, and happiness (Harriman House, 2020) 摩根·豪斯:《金钱心理学:关于财富、贪婪和幸福的永恒教训》(哈里曼·豪斯，2020)

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-01-17 DOI: 10.1007/s11408-022-00424-9

Joshua Traut

引用次数: 0

Will the reddit rebellion take you to the moon? Evidence from WallStreetBets. reddit的叛乱会带你去月球吗?来自WallStreetBets的证据。

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-01-01 DOI: 10.1007/s11408-022-00415-w

Ryan G Chacon, Thibaut G Morillon, Ruixiang Wang

引用次数: 5

Report of the Editor 2022. 编者报告2022。

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-01-01 DOI: 10.1007/s11408-023-00426-1

Markus Schmid

引用次数: 0

Constrained portfolio strategies in a regime-switching economy. 制度转换经济中的约束投资组合策略。

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2023-01-01 DOI: 10.1007/s11408-022-00414-x

Marcelo Lewin, Carlos Heitor Campani

{"title":"Constrained portfolio strategies in a regime-switching economy.","authors":"Marcelo Lewin, Carlos Heitor Campani","doi":"10.1007/s11408-022-00414-x","DOIUrl":"https://doi.org/10.1007/s11408-022-00414-x","url":null,"abstract":"We implement an allocation strategy through a regime-switching model using recursive utility preferences in an out-of-sample exercise accounting for transaction costs. We study portfolios turnover and leverage, proposing two procedures to constrain the allocation strategies: a low-turnover control (LoT) and a maximum leverage control (MaxLev). LoT sets a dynamic threshold to trim minor rebalancing, reducing portfolio turnover, mitigating costs. MaxLev calculates dynamic adjustments to the risk aversion parameter to constrain the portfolio leverage. The MaxLev adjustments depend on the risk aversion and permitted portfolio leverage, which enables optimal strategies considering the leverage constraints. The study uses US equity portfolios, and shows that, first, models with LoT result in superior return-to-risk measures than those without it when transaction costs increase. Second, considering transaction costs, the return-to-risk measures of the models using MaxLev closely match or exceed those from the corresponding unconstrained regime-switching benchmarks. Third, MaxLev returns have lower volatility and higher return-to-risk than conventional numerically constrained benchmarks. Fourth, the certainty equivalent returns indicate that models using MaxLev and LoT outperform both single-state models and unconstrained regime-switching models with statistical significance.Supplementary information: The online version contains supplementary material available at 10.1007/s11408-022-00414-x.","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9243879/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9129239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The palgrave handbook of FinTech and blockchain 帕尔格雷夫金融科技和区块链手册

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2022-12-10 DOI: 10.1007/s11408-022-00423-w

Luca J. Liebi

引用次数: 5

Neural network predictions of the high-frequency CSI300 first distant futures trading volume 神经网络高频预测CSI300期货首远成交量

IF 1.9

Financial Markets and Portfolio Management Pub Date : 2022-11-04 DOI: 10.1007/s11408-022-00421-y

Xiaojie Xu, Yun Zhang

引用次数: 18