Author(s): Daniel Giamouridis, Cass Business School, Ioannis Vrontos, Athens University of Economics and Business
This article studies the impact of modeling time varying covariances/correlations of hedge fund returns in terms of hedge fund portfolio construction and risk measurement.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 68
Dollar cost averaging (DCA) remains a very popular investment strategy, even though it has been demonstrated that in normal circumstances it is mean-variance inefficient.
Updated: 08/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 77
Author(s): Bruce Hearn, Cass Business School, Jenifer Piesse, Kings College London
This paper augments the Fama and French (1993) three-factor model Capital Asset Pricing Model to take account of company size and liquidity levels.
Updated: 08/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 44
Author(s): Bruce Hearn, Cass Business School
This paper contrasts the performance of three time series models, a simple stochastic drift, GARCH, and time varying parameter CAPM, for the three very small SADC equity markets of Namibia, Swaziland, Mozambique, and South Africa.
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 60
Author(s): Bruce Hearn, Cass Business School
Considerable attention has been given to market integration and volatility transmission between national stock markets, although this has previously been confined to OECD countries or emerging markets in Latin America and Asia-Pacific. Using a new and comprehensive dataset, this paper finds evidence of volatility transmission between ten rival markets in SSA, noting that this volatility is intrinsically asymmetric.
Updated: 09/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 49
