1 - 7 of 7 articles
Abstract This study examines the stock market reaction to the announcement of green bond issuance. The cumulative abnormal returns are positive and significant. This implies that shareholders view this form of financing as value-enhancing and funds from green bonds issuance are used to undertake...
Abstract Commonalities between major developed countries’ term structures are a stylized fact well documented. However, there is a gap between witnessing cross-linkages and identifying common factors at an international level. In this paper, after making the case for the existence of such...
Abstract In this paper, we investigate the role of style investing in determining hedging and safe haven assets using gold and US Treasury bonds as hedging and safe haven assets. We expect that the hedging and safe haven effects of these assets are specific to investment styles. Our results...
Abstract US common stocks are simultaneously traded on multiple trading centers. We study quotes and trades with millisecond time stamps during the flash crash of May 6, 2010, and document new findings about order dynamics when the fragmented market is under stress. First, relative to May 5,...
Abstract In this article, we present two option pricing models of optimal security portfolio in real-world measure. We capture the risk-adjusted prices with multi-Vasicek model, which is used to describe the change patterns of the return and the price of security portfolio with time-varying...
Abstract This article proposes a simulation-based approach to find the optimal values of discretionary parameters in portfolio optimization problems. An algorithm is developed for finding jointly optimal values of required expected returns and of diversification restrictions.
Abstract The goal of this paper is to improve the effectiveness of hedge overlays via futures against certain investment risks. Accordingly, we propose a dynamic generalized autoregressive conditional heteroscedasticity (GARCH) model based on different copulas in order to specify the joint...
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