scholarly journals On the hedging benefits of REITs: The role of risk aversion and market states

2021 ◽  
Vol 10 (2) ◽  
pp. 126-132
Author(s):  
Riza Demirer ◽  
Asli Yuksel ◽  
Aydin Yuksel
Keyword(s):  
Stock Market ◽  
Risk Aversion ◽  
Risk Reduction ◽  
Significant Risk ◽  
Time Varying ◽  
Hedging Strategy ◽  
Risk Return ◽  
Market Risks ◽  
The U.S

We propose a dynamic, forward-looking hedging strategy to manage stock market risks via positions in REITs, conditional on the level of risk aversion. Our findings show that REITs do not only offer significant risk reduction for passive portfolios, but also offer much improved risk-adjusted returns with the greatest benefits observed for Australia, Canada and the U.S. Overall, our findings suggest that time-varying risk aversion can be utilized to (i) establish effective hedges against stock market risks via positions in REITS, and (ii) improve the risk-return profile of passive portfolios.

scholarly journals Time-varying risk aversion and the profitability of momentum trades

2020 ◽  
Vol 9 ◽  
pp. 43-54 ◽  
Author(s):  
Riza Demirer ◽  
Shrikant Jategaonkar
Keyword(s):  
Stock Market ◽  
Risk Aversion ◽  
Predictive Power ◽  
Market Volatility ◽  
Time Varying ◽  
Momentum Strategies ◽  
Degree Of Risk ◽  
The U.S

We show that time-varying risk aversion serves as a significant predictor of stock market momentum in the U.S. and globally. Risk aversion is found to be a robust predictor of momentum returns even after controlling for various well established stock market predictors and absorbs the predictive power of market volatility. The findings imply that momentum strategies can be enhanced by conditioning trades on the degree of risk aversion in the marketplace.

scholarly journals Special Issue on Crop Insurance and Risk Management

2008 ◽  
Vol 37 (1) ◽  
pp. iii-iv
Author(s):  
Calum G. Turvey
Keyword(s):  
Risk Management ◽  
Crop Insurance ◽  
Special Issue ◽  
Management Tools ◽  
Market Risks ◽  
The World ◽  
Mutual Interest ◽  
Management Workshop ◽  
The U.S

The role of crop insurance and new risk management tools for agriculture is evolving at an almost dizzying pace. One needs only to examine recent postings on the Risk Management Agency's website to see how expansive this is. Moreover, throughout the world we are witness to a host of new programs available in both developed and developing countries that are largely based on the U.S. experience. It is necessary that academics first recognize the scope of issues facing production and market risks in agriculture and then respond with new and creative ways to address the problems. To these needs, the Crop Insurance and Risk Management Workshop—the provenance of the papers in this volume—was designed to bring academics with research and extension responsibilities together with industry to explore this ever-changing landscape and discuss research and outreach of mutual interest.

scholarly journals A Reexamination of Earnings Persistence on the Incremental Value Relevance of Earnings Levels and Earnings Changes

2018 ◽  
Vol 8 (2) ◽  
pp. 126
Author(s):  
Simon Yang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Value Relevance ◽  
Relevant Information ◽  
Earnings Persistence ◽  
Incremental Value ◽  
Complementary Value ◽  
The U.S

This study reexaminesthe role of earnings persistence as to understand the incremental value relevance of earnings levels and earnings changes in explaining stock returns in the stock market of U.S. The results show that earnings levels and earnings changes together provide the higher value relevant information than each earnings variable alone in explaining stock returns. An increase in earnings persistence, approximated by different time-serial and firm-specific measures, puts more (less) value relevant weight on earning changes (levels). However, the complementary value relevance between earnings levels and earnings changes is somehow weak, implying that a possibly deteriorating valuation role for earnings levels and earnings changes may occur in the recent years for the U.S. stock market.

Role of Stock Markets in Stimulating Innovation Processes

2020 ◽  
Vol 64 (11) ◽  
pp. 31-41
Author(s):  
Z. Mamedyarov
Keyword(s):  
Stock Market ◽  
Mergers And Acquisitions ◽  
Stock Markets ◽  
Financial Sector ◽  
High Tech ◽  
Over The Counter ◽  
Financing Mechanism ◽  
Start Ups ◽  
The U.S

The paper deals with the role of the stock market in innovative development, basically in case of the U. S. The author shows how the NASDAQ has provided tangible financial incentives for growth of high-tech industries, emphasizes the relationship between innovation and the financial sector, the importance of competition for capital in technological development. It is shown that the development of NASDAQ and increased competition of stock markets allowed high-tech U.S. companies to benefit from country’s strong financial sector and specialized market structures. The prerequisites for the successful emergence of biotech and ICT start-ups, as well as the venture market in the U.S. are still strongly connected with stock markets. However, the comparative analysis also revealed growing global competition from the Chinese stock markets. At the same time, in the last decade a new bubble is emerging on the U.S. stock market, which, as shown by the analysis of the median revenues of the major companies, differs from similar situations before the dot-com crisis and before the 2008–2009 crisis. Revenues of the largest companies in recent years have been growing along with their capitalization, which suggests that the bubble may take much longer to collapse than before. The author also shows the intensification of competition between stock exchanges and over-the-counter financing mechanisms for innovative companies: SME acquisitions by major corporations, intensification of mergers and acquisitions around the world. The role of mergers and acquisitions, which have become an alternative to IPOs, has become increasingly important over the past decade as a financing mechanism for innovative companies. In the last decade, the ICT-companies have dominated by market capitalization and gained sufficient market power to meet the demand for new developments and acquisitions of start-ups. This over-the-counter financing mechanism increases market uncertainty and may contribute to suboptimal solutions in the high-tech sector. However, the author found that the observed decline in U.S. IPOs is primarily affecting the ICT sector, while pharmaceutical and biotech companies continue to be actively listed.

scholarly journals Investors’ Risk Preference Characteristics Based on Different Reference Point

2014 ◽  
Vol 2014 ◽  
pp. 1-9 ◽  
Author(s):  
Fenghua Wen ◽  
Zhifang He ◽  
Xu Gong ◽  
Aiming Liu
Keyword(s):  
Stock Market ◽  
Risk Aversion ◽  
Empirical Evidence ◽  
Reference Point ◽  
Risk Preference ◽  
Reference Points ◽  
Time Varying ◽  
Explanatory Variables ◽  
House Money Effect ◽  
Two Factors

Taking the stock market as a whole object, we assume that prior losses and gains are two different factors that can influence risk preference separately. The two factors are introduced as separate explanatory variables into the time-varying GARCH-M (TVRA-GARCH-M) model. Then, we redefine prior losses and gains by selecting different reference point to study investors’ time-varying risk preference. The empirical evidence shows that investors’ risk preference is time varying and is influenced by previous outcomes; the stock market as a whole exhibits house money effect; that is, prior gains can decrease investors’ risk aversion while prior losses increase their risk aversion. Besides, different reference points selected by investors will cause different valuation of prior losses and gains, thus affecting investors’ risk preference.

scholarly journals INTER-MARKETS VOLATILITY SPILLOVER IN U.S. BITCOIN AND FINANCIAL MARKETS

2019 ◽  
Vol 20 (4) ◽  
pp. 694-714 ◽  
Author(s):  
Muhammad Owais Qarni ◽  
Saqib Gulzar ◽  
Syeda Tamkeen Fatima ◽  
Majid Jamal Khan ◽  
Khurram Shafi
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Significant Risk ◽  
Time Varying ◽  
Volatility Spillover ◽  
Foreign Investors ◽  
Risk Hedging ◽  
Insignificant Effect ◽  
Asymmetry Measure ◽  
The U.S

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018) frequency connectedness methodologies are applied to investigate the time varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility spillover is also detected. The connectedness among the U.S. Bitcoin and financial markets is found to be concentrated at high frequency, suggesting that markets process information rapidly. Moreover, the turbulence in Bitcoin market will have insignificant effect on U.S. financial markets. This non-contagion nature of Bitcoin markets provides significant risk hedging and diversification benefits for domestic and foreign investors in the U.S.

scholarly journals Integration of Russia into theWorld Economy and Globalization of StockMarkets

2009 ◽  
pp. 154-162
Author(s):  
A. K. Ivanov-Schitz ◽  
S. K. Aityan
Keyword(s):  
Correlation Analysis ◽  
Stock Market ◽  
New Method ◽  
Time Shift ◽  
Global Integration ◽  
Russian Economy ◽  
Russian Stock Market ◽  
Asymmetric Correlation ◽  
The U.S

Correlations between Russian and some world leading stock market indices were analyzed to assess a degree of global integration of Russian economy. For this purpose, a new method of time-shift asymmetric correlation analysis was used. The method helps identify which stock market sets the pace and which one follows the lead. The analysis showed a growing trend in global integration of Russian economy. Particularly, it was shown that Russian stock market is getting more correlated with the European stock market while the leading (pace making) role of the U.S. markets keeps growing in the recession of 2008.

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