scholarly journals A critical evaluation of risk-return characteristics of environmentally focused stock’s companies

2013 ◽  
Vol 61 (2) ◽  
pp. 501-506
Author(s):  
Stanislav Škapa ◽  
Tomáš Meluzín ◽  
Marek Zinecker
Keyword(s):  
Critical Evaluation ◽  
Risk Return ◽  
Ex Post ◽  
Asset Class ◽  
Asset Classes

The objective of the paper is to critically evaluate and determine risk-return profile environmentally focused stock’s companies which are covered by STOXX Global ESG Environmental Leaders Index and whether this index should be taken in as an independent asset class of investments portfolio for its risk-return improvement. This paper gives an empirical view on the ex-post asset classes characteristics focused mainly on risk side of investment.

scholarly journals Assessment of cryptocurrencies as an asset class by their characteristics

2018 ◽  
Vol 15 (3) ◽  
pp. 169-181 ◽  
Author(s):  
Thomas Ankenbrand ◽  
Denis Bieri
Keyword(s):  
Foreign Exchange ◽  
Cost Effective ◽  
Financial Industry ◽  
Risk And Return ◽  
Risk Return ◽  
The Past ◽  
Asset Class ◽  
Asset Classes ◽  
Financial Characteristics ◽  
Individual Asset

The cryptocurrency market has witnessed significant growth in the past few months. The emergence of hundreds of new digital currencies and the huge increase in the prices of their leading representatives have attracted a lot of attention from investors. However, the financial characteristics of the cryptocurrency markets have not been systematically evaluated yet. As a consequence, there is currently no consensus on whether cryptocurrencies constitute an individual asset class or if they share substantial similarities to stocks, bonds, commodities or foreign exchange. Based on Markowitz et al. (2017) this paper aims to fill this lack of research by evaluating the cryptocurrency market based on seven requirements of an individual asset class. The authors find that the cryptocurrency market distinguishes itself remarkably from established asset classes in terms of risk and return. Additionally, the low correlation between the cryptocurrency markets and these established asset classes induces a diversification potential for investors, leading to more favorable risk/return profiles of their portfolios. But also the emergence of investment services and products provided by the financial industry and the increasingly cost-effective access to cryptocurrencies corroborate the conclusion that cryptocurrencies can be seen as an individual asset class.

Risk-Return Measures of Ex Post Portfolio Performance

1969 ◽  
Vol 4 (4) ◽  
pp. 449 ◽  
Author(s):  
Keith V. Smith ◽  
Dennis A. Tito
Keyword(s):  
Portfolio Performance ◽  
Risk Return ◽  
Ex Post

scholarly journals Risk Return Performance of Bitcoin and Alternative Investment Assets in Mixed Asset Portfolios in the Years 2018 to 2020

2021 ◽  
Vol 129 ◽  
pp. 03006
Author(s):  
David Elferich
Keyword(s):  
Statistical Analysis ◽  
Financial Crisis ◽  
Value Added ◽  
Financial Industry ◽  
Paired Sample ◽  
Risk Return ◽  
Efficiency Theory ◽  
Asset Classes ◽  
The Impact ◽  
Institutional Finance

Research background: Since the financial crisis in 2008, numerous other cryptocurrencies have established themselves in the financial industry alongside Bitcoin. Although the validity of the user cases is still lacking, Bitcoin is already being used extensively in the institutional finance sector, among others. Here, the comparison of Bitcoin to other asset classes in mixed portfolio structures must be taken into account. According to the latter, far-reaching areas of investigation emerge by adding Bitcoin in the evaluation of risk-return ratios of mixed portfolio weightings. Purpose of the article: The objective of this paper is to examine, within the framework of Harry Markowitz’s efficiency theory, the impact of including Bitcoin as an investment asset for the risk-return ratios of mixed portfolio structures. Methods: The statistical analysis is based, among other things, on paired sample tests, where the return and volatility values are tested for significant differences in the selected test values. Findings & Value added: The statistical investigations show that the introduction of Bitcoin leads to advantageous return structures, but at the same time to significantly increased volatility values of the examined portfolio constellations. Setting a regional focus of the investment assets in the investigations led to a simplified evaluation basis and at the same time offers the scientific space for further investigations.

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

2019 ◽  
Keyword(s):  
Asset Allocation ◽  
Building Blocks ◽  
Unified Framework ◽  
Intuitive Appeal ◽  
Optimal Allocations ◽  
Asset Class ◽  
Asset Classes ◽  
Unified Method

There is increasing interest in the idea of allocating across factors instead of across traditional asset classes. Allocating across factors has the intuitive appeal of allocating across building blocks that are in theory purer sources of return. In practice, factor-based allocation is not easy: Factors are unobservable and must be specified. However, the authors believe there is merit in integrating insights from factors with traditional asset allocation. Information and views about factors and asset classes can be a powerful combination. In this article, the authors present a framework for combining the two paradigms in an innovative way, resulting in optimal allocations that blend insights from both paradigms. Specifically, their approach derives asset class return prediction from factor-based asset allocation, which allows construction of portfolios for various investment objectives from a unified framework.

scholarly journals Value Return Predictability across Asset Classes and Commonalities in Risk Premia*

2020 ◽  
Author(s):  
Fahiz Baba Yara ◽  
Martijn Boons ◽  
Andrea Tamoni
Keyword(s):  
Risk Premia ◽  
Return Predictability ◽  
Expected Returns ◽  
Government Bonds ◽  
Common Component ◽  
Common Value ◽  
Asset Class ◽  
Asset Classes ◽  
Global Government ◽  
Stock Indexes

Abstract We show that returns to value strategies in individual equities, industries, commodities, currencies, global government bonds, and global stock indexes are predictable in the time series by their respective value spreads. In all these asset classes, expected value returns vary by at least as much as their unconditional level. A single common component of the value spreads captures about two-thirds of value return predictability and the remainder is asset class specific. We argue that common variation in value premia is consistent with rationally time-varying expected returns, because (i) common value is closely associated with standard proxies for risk premia, such as the dividend yield, intermediary leverage, and illiquidity, and (ii) value premia are globally high in bad times.

scholarly journals Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy

2019 ◽  
Author(s):  
Davide Benedetti ◽  
Enrico Biffis ◽  
Fotis Chatzimichalakis ◽  
Luciano Lilloy Fedele ◽  
Ian Simm
Keyword(s):  
Fossil Fuel ◽  
Portfolio Construction ◽  
Investment Risk ◽  
Carbon Pricing ◽  
Risk Return ◽  
Ex Post ◽  
Alternative Approaches ◽  
Potential Impact ◽  
Carbon Economy ◽  
Lower Carbon

AbstractThere is an increasing likelihood that governments of major economies will act within the next decade to reduce greenhouse gas emissions, probably by intervening in the fossil fuel markets through taxation or cap & trade mechanisms (collectively “carbon pricing”). We develop a model to capture the potential impact of carbon pricing on fossil fuel stocks, and use it to inform Bayesian portfolio construction methodologies, which are then used to create what we call Smart Carbon Portfolios. We find that investors could reduce ex-post risk by lowering the weightings of some fossil fuel stocks with corresponding higher weightings in lower-risk fossil fuel stocks and/or in the stocks of companies active in energy efficiency markets. The financial costs of such de-risking strategy are found to be statistically negligible in risk-return space. Robustness of the results is explored with alternative approaches.

Landmark buildings and diversification opportunities in the residential market

2016 ◽  
Vol 9 (4) ◽  
pp. 429-445 ◽  
Author(s):  
Lucia Gibilaro ◽  
Gianluca Mattarocci
Keyword(s):  
Asset Allocation ◽  
Time Horizon ◽  
Efficient Frontier ◽  
Diversification Strategy ◽  
Content Type ◽  
Risk Return ◽  
Good Investment ◽  
Asset Class ◽  
Housing Investments

Purpose This article aims to analyze the performance and risk of landmark building in the housing sector and to evaluate their usefulness for a diversification strategy. Design/methodology/approach After comparing summary statistics on the performance of landmark building with respect to other types of housing investments, the article evaluates their usefulness for a diversification strategy. The role of landmark buildings is studied using the modern portfolio theory and evaluating the role of this type of asset in the optimal asset allocation. The analysis is performed considering both the risk/return trade-off in a one-year and a multiple-year time horizon. Findings The results show that a landmark building can be a good investment opportunity, especially for high-risk/return investors. A not perfect correlation of the returns of this asset class with other types of housing investments implies the existence of a minimum investment in this asset class for almost all portfolios on the efficient frontier. Results are robust with respect to the length of the investment time horizon. Originality/value The article presents a unique analysis of intra-housing market diversification opportunities focusing on the role of landmark building in the portfolio construction. Empirical evidence supports the hypothesis that real estate investors can take advantage of investing in landmark buildings in the residential sector as well because there are no reasons to limit such investments to trophy buildings in the office and commercial sectors.

Real Natural Assets: The Real Green Investment Alternative

2019 ◽  
Keyword(s):  
Performance Analysis ◽  
Expected Returns ◽  
Financial Benefit ◽  
Investment Performance ◽  
Liquidity Shocks ◽  
Asset Class ◽  
Green Investment ◽  
Asset Classes ◽  
Green Investments ◽  
Risk Association

The authors present an analysis of green investment performance grouped into two broad categories: non-real green assets and real green assets. They seek to identify which green investment alternatives offer greater financial benefit and are thus more attractive to investors and investigate some of the intrinsic risks associated with this asset class. The performance analysis is based on the study of the expected returns, volatility, diversification potential, downside risk, association with inflation, and exposure to liquidity shocks in stock markets of real and non-real green assets, comparing them with those of traditional asset classes (such as equity, bonds, and real estate) and other non-traditional assets, namely infrastructure. The findings indicate that real green assets, in particular, may represent the appropriate alternative in the adoption of green investments.

Emerging Market Sovereign Debts as a Means for Profit Maximization and Portfolio Diversification

2016 ◽  
pp. 334-354
Author(s):  
Abdurahman Jemal Yesuf
Keyword(s):  
Emerging Markets ◽  
Emerging Market ◽  
Descriptive Analysis ◽  
Secondary Data ◽  
Portfolio Diversification ◽  
For Profit ◽  
Asset Class ◽  
Asset Classes ◽  
International Investors ◽  
Sharpe Ratios

The case for emerging markets debts (EMD) has convinced many investors. This is an asset class that has been experiencing an increase in inflows and is getting international investors attention. During the past two decades, cross-border inflows into ‘emerging market' debt instruments have rose rapidly. Over twelve trillion dollar is currently invested in ‘Emerging Markets' debt. This asset classes has delivered strong returns over time and deserves consideration. Therefore, this paper is intended to show how and why Emerging Market debts are vital instrument in portfolio diversification by using descriptive analysis. The performance assessment has made by noting the unique statistical attributes of ‘emerging market' bond returns, such as their correlation with other asset classes and also by taking their annualized volatility rate and Sharpe ratios. The assessment has done based on compiled data from known sources such as JP Morgan, Bloomberg and other well known secondary data sources.

THE ROLE OF DIVIDEND POLICY IN DETERMINING THE MARKET VALUE OF SHARE OF LISTED INDUSTRIAL GOODS COMPANIES IN NIGERIA

2021 ◽  
Vol 9 (1) ◽  
pp. 7-19
Author(s):  
Muhammad Mustapha ◽  
◽  
Modu Buni ◽  
Abdullahi Idriss ◽  
◽  
...  
Keyword(s):  
Dividend Policy ◽  
Stock Exchange ◽  
Critical Evaluation ◽  
Market Value ◽  
Share Price ◽  
Annual Reports ◽  
Dividend Yield ◽  
Dividend Payout ◽  
Ex Post

This study examines the role of dividend policy in determining the market value of share of listed industrial goods companies in Nigeria, the research design used as a guide is ex-post facto method, as the study entails the use of annual reports and accounts of listed industrial goods companies in the Nigerian Stock Exchange (NSE). The secondary data were sourced from the company’s financial report for the period of five years from 2013 to 2017 contained in company’s annual reports and account and all were used to compute the dependent variable (share price) while dividend payout ratio and dividend yield as proxies of independent variable respectively. Regression analysis is use establish the relationship between the variables by using Statistical Software (SPSS). The result showed that there is no positive significant relationship between dividend payout ratio, dividend yield and share price of listed industrial goods companies in the Nigeria. Based on findings the study recommends that the existing investors in the Nigerian industrial goods sector should from time to time; ensure extensive and critical evaluation of dividend policy as it can significantly influence their market value which has ultimate effect on the investments.

Sign in / Sign up

Export Citation Format

Share Document