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Articles in "Investment and Risk Management"
What does equity sector orderflow tell us about the economy?
Investors rebalance their portfolios as their views about expected returns
and risk change.
In this study empirical measures of portfolio rebalancing were used to back out
investors' views, specifically their views about the state of the
economy.
Contrary to many theories of price formation, did trading activity therefore
contain information that that is not entirely revealed by resulting relative
price changes?
Updated: 05/01/2012
Comments:
Views: 713
Supervisory effectiveness and bank risk
The banking crisis that began in 2007 led to many questions about the
banking sector and the risks taken by those within the industry.
Inspired by past research from Jackson (2007), Jackson and Roe (2009) and
Coffee (2007), the focus of this paper is on the role of banking supervision in
controlling bank risk.
Does effective supervision rather than the mere adoption of regulation hold the
key in deterring excessive bank risk? Read the full report to find out more.
Updated: 17/11/2011
Comments:
Views: 664
Roads to ruin: A study of major risk events
This major research report, produced by Cass for Airmic (the Association of Insurance and Risk Managers in Industry
and Commerce) investigates the origins and impact of over twenty major
corporate crises of the last decade.
The crises examined involved substantial, well known organisations such as
Coca-Cola, Shell and BP, as well as some smaller firms. Several did not
survive and most of the rest suffered severe damage.
Updated: 02/12/2011
Comments:
Views: 1,914
The dark side of alternative asset markets: networks, performance and risk taking
Hedge Fund network ties can lead to inferior performance and increased risks.
Updated: 03/11/2011
Comments:
Views: 1,634
Value averaging and the automated bias of performance measures
Value averaging is a formula investment strategy which can be shown to achieve a lower average cost and higher IRR than alternative strategies.
Updated: 03/11/2011
Comments:
Views: 550
Measuring investors historical returns: hindsight bias in dollar-weighted returns
In this paper we show that this approach is affected by hindsight bias in the dollar-weighted return.
Updated: 03/11/2011
Comments:
Views: 602
Dollar cost averaging - the role of cognitive error
This paper shows that DCA's continued popularity can be regarded as the result of a specific and demonstrable cognitive error.
Updated: 03/11/2011
Comments:
Views: 650
Downside risk and the size of credit spreads
We use a panel of investment-grade corporate bonds to investigate why credit spreads are so much larger than expected losses from default. We begin by confirming that systematic factors contribute very little to spreads, even if higher moments or downside effects are incorporated.
Updated: 24/10/2011
Comments:
Views: 1,791
The flow-performance relationship around the world
We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We find that flows are convex in past performance creating an incentive for managers to take excessive risk.
Updated: 24/10/2011
Comments:
Views: 1,614
On forecasting daily stock volatility: the role of intraday information and market conditions
This paper presents a comprehensive study of whether augmenting generalized autoregressive conditional heteroskedasticity (GARCH) models by lagged realized volatilitities or by trading volume produces incremental forecast accuracy.
Updated: 24/10/2011
Comments:
Views: 843
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