Asymmetric correlations on the Croatian equity market - Financial ...CORRELA. TIONS. ON. THE. CROA. TIAN. EQUITY. MARKET. FINANCIAL.
THEOR. Y. AND. PRACTICE. 35 (1) 1-24 (201. 1). 1. Asymmetric correlations on
the Croatian equity ... a sudden rise in correlations, portfolio diversification under
such conditions beco- ming difficult. ... 97 98 99 00 01 02 03 04 05 06 07 08 09
10 ...Essays in Equity Portfolio Management - University of St.Gallenin returns at different frequencies can be linked to macro-economic variables, in
particular the cross-sectional volatility. The last chapter looks at equity factors
from a diversification perspective. In highly correlated risk-on risk-off markets,
investors are desperately looking for investment opportunities that show low
correlations ...Measuring Risk for Venture Capital and Private Equity PortfoliosPortfolios. Susan E. Woodward. Sand Hill Econometrics. August, 2009. For
alternative assets such as venture capital, buyouts (private equity), real estate,
etc., the standard regression .... industry groups to stand in for returns in private
equity portfolios to obtain risk measures. ..... plus a correction for auto-correlated
residuals.Global, local, and contagious investor sentimentwith large portfolios). Excess returns of concentrated relative to diversified
portfolios are stronger for stocks not included in the S&P 500 index and local
stocks, potentially reflect- ing concentrated .... As a further test of the information
asymmetry ... Zheng (2005), who study the diversification of actively managed
equity mutual.INFORMATION ASYMMETRY AND EQUITY ISSUES - inseadNov 10, 2011 ... In a validation test, we find that relative sentiment is correlated with the relative
prices of dual-listed companies. ... yuanyu@wharton.upenn.edu (Y. Yuan).
Journal of Financial Economics 104 (2012) 272?287 ... role of sentiment within
and across international equity markets. We construct usable indices of ...PIER Working Paper 11-037 - Penn Economics - University of ...(1985) present a direct test of the information asymmetry for equity ... the issue of
equity. This study expands upon previous research by 1) explicitely relating the
measures of information asymmetry to the information environment of the firm
and 2) by .... may be correlated to the IA of the firm but I am not sure of the
direction.Asymmetry in Stock Returns: An Entropy MeasureNov 2, 2011 ... Tpth order statistic of a set of T historical pseudo portfolio returns constructed
using historical asset ..... equity indexes, often seem to display a strong
asymmetry, whereby a negative return boosts volatility ...... sulting Constant
Conditional Correlation (CCC) GARCH model has the advantage that it is easy to
...No. 2004/12 Private equity-, stock- and mixed asset-portfolios: A ...Section 4 applies the entropy test to investigate asymmetry in commonly used
portfolios. Section 5 analyzes the impact of asymmetry on the cross-section stock
returns. Section 6 concludes. 2 Test of Asymmetry Dependence. For easy
understanding, in this section we first review the standard asymmetric correlation
test, then ...modeling the conditional covariance between stock and bond ...investment simulation in stocks, as well as the construction of stock portfolios for
benchmarking ... who is exclusively investing in private equity, has to hold
exceeds that of constrained stock investors and also ..... necessarily represent the
underlying market value of the underlying assets and have a higher correlation to
stock.
