Three essays on financial markets and portfolio management:
Saved in:
| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 130 S. graph. Darst. 21 cm |
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Record in the Search Index
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| adam_text | Titel: Three essays on financial markets and portfolio management
Autor: Schaarschmidt, Steffen
Jahr: 2013
Contents
Summary 1
Deutsche Zusammenfassung 6
1 Market Integration and Small Stock Returns 9
1.1 Introduction................................................................10
1.2 Data........................................................................10
1.3 Methodology ..............................................................16
1.3.1 General Model ....................................................16
1.3.2 The European Country Fama-French (EUCFF) Factor Model 19
1.3.3 Trends and their Determinants in Country-Size Portfolio Cor-
relations ..........................................................21
1.4 Correlation Analysis......................................................23
1.4.1 European Large Cap Correlations ..............................24
1.4.2 European Small Cap Correlations ..............................28
1.4.3 Regional Sources of Correlation Trends..........................31
1.4.4 Differences in European Cap Correlations and Possible Expla-
nations ..............................................................35
1.5 Conclusion..................................................................37
Appendix l.A Summary Statistics............................................39
Appendix l.B European Large Cap Correlations............................41
Appendix l.C European Small Cap Correlations............................43
Appendix l.D Regional Sources of Correlation Trends......................45
Appendix l.E Differences in European Cap Correlations and Possible Ex-
planations ..................................................................47
Bibliography ....................................................................49
2 Minimax Portfolio Optimization 52
2.1 Introduction................................................................53
2.2 Portfolio Selection Based On Minimax Decision Rule..................56
2.2.1 Intuition............................................................57
2.2.2 Relationship to the Minimum Variance Portfolio................59
2.2.3 Benchmark Models for Minimax Trading Strategy..............62
2.3 Data........................................................................63
2.4 Empirical Study............................................................66
2.4.1 Minimax Performance............................................66
2.4.2 Analysis of Portfolio Weights ....................................71
2.5 Robustness Checks........................................................74
2.6 Conclusion..................................................................75
Appendix 2.A Yearly Returns ................................................78
Appendix 2.B Daily Rebalancing..............................................79
Appendix 2.C Short-Selling allowed . .......................................80
Appendix 2.D Crises Periods..................................................81
Bibliography ....................................................................82
3 The Asymmetric Return-Volume Relationship 85
3.1 Introduction................................................................86
3.2 Theory and Evidence for the Return-Volume Relationship ............88
3.3 The Asymmetric Vector Autoregressive Model..........................90
3.4 Data........................................................................93
3.5 Empirical Results..........................................................95
3.5.1 Slope-based Tests and Descriptive Evidence for Asymmetry . 96
3.5.2 Inference on Impulse Responses..................................99
3.5.3 Asymmetry and Shock Size ......................................99
3.5.4 Possible Explanations for Trading Volume Responses.....105
3.6 Robustness ................................107
3.6.1 Volatility .............................107
3.6.2 Detrending Method........................108
3.6.3 Weighting Method........................108
3.6.4 Data Frequency..........................109
3.6.5 Winsorizing............................109
3.7 Conclusion.................................110
Appendix 3.A Summary Statistics and Slope-Based Test..........111
Appendix 3.B Impulse Response Analysis: Confidence Bands.......115
Appendix 3.C Impulse Response Analysis: Controlling for Volatility . . . 117
Appendix 3.D Impulse Response Analysis: Weekly Data..........119
Bibliography ..................................121
Complete Bibliography 124
Eigenabgrenzung 131
|
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| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Schaarschmidt, Steffen Verfasser (DE-588)1048571157 aut Three essays on financial markets and portfolio management von Steffen Schaarschmidt 2013 VIII, 130 S. graph. Darst. 21 cm txt rdacontent n rdamedia nc rdacarrier Konstanz, Univ., Diss., 2013 Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Handelsvolumen (DE-588)4377483-0 gnd rswk-swf Risikoaversion (DE-588)4205948-3 gnd rswk-swf Korrelation (DE-588)4165343-9 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Aktienrendite (DE-588)4126593-2 s Korrelation (DE-588)4165343-9 s DE-604 Anlagepolitik (DE-588)4206018-7 s Risikoaversion (DE-588)4205948-3 s Handelsvolumen (DE-588)4377483-0 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027574287&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schaarschmidt, Steffen Three essays on financial markets and portfolio management Kreditmarkt (DE-588)4073788-3 gnd Handelsvolumen (DE-588)4377483-0 gnd Risikoaversion (DE-588)4205948-3 gnd Korrelation (DE-588)4165343-9 gnd Aktienrendite (DE-588)4126593-2 gnd Anlagepolitik (DE-588)4206018-7 gnd |
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| title | Three essays on financial markets and portfolio management |
| title_auth | Three essays on financial markets and portfolio management |
| title_exact_search | Three essays on financial markets and portfolio management |
| title_full | Three essays on financial markets and portfolio management von Steffen Schaarschmidt |
| title_fullStr | Three essays on financial markets and portfolio management von Steffen Schaarschmidt |
| title_full_unstemmed | Three essays on financial markets and portfolio management von Steffen Schaarschmidt |
| title_short | Three essays on financial markets and portfolio management |
| title_sort | three essays on financial markets and portfolio management |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Handelsvolumen (DE-588)4377483-0 gnd Risikoaversion (DE-588)4205948-3 gnd Korrelation (DE-588)4165343-9 gnd Aktienrendite (DE-588)4126593-2 gnd Anlagepolitik (DE-588)4206018-7 gnd |
| topic_facet | Kreditmarkt Handelsvolumen Risikoaversion Korrelation Aktienrendite Anlagepolitik Hochschulschrift |
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