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Time-varying benefits of cross-asset and cross-region portfolio diversification
(2017-09-25)
The thesis uses return data on equities, bonds, commodities and real estate for the U.S., Europe, Asia and Latin America to examine diversification potentials. The analysis focuses on benefits of cross-asset and cross-region ...
Knowledge creation process within high-tech SMEs in a context of industrial clusters: a cross-national comparison
(Inderscience Publishers, 2022)
This paper presents research results that aimed to explain the multilevel mechanism of the knowledge creation process in biotechnological industrial clusters. The conducted research was a cross-national research of four ...
Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
(Elsevier B.V., 2019)
The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially ...
Do IPOs Affect the Prices of Other Stocks ? Evidence from Emerging Markets
(OXFORD UNIV PRESS INC, 2009)
We show that the introduction of a large asset permanently affects the prices of existing assets in a market. Using data from 254 initial public offerings (IPOs) in 22 emerging markets, we find that portfolios that covary ...
The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence
(2021-02)
Using a sample of 21 developing and developed countries, we analyze whether a welldiversified investor of traditional assets (stocks, bonds, real estate, and commodities) may benefit from investing in cryptocurrencies. ...
Uso de modelos de Machine Learning em Asset Pricing: Um estudo do cross section de retornos brasileiro
(2022-04-25)
Este trabalho busca investigar se os modelos de machine learning, Least Absolute Shrinkage and Selection Operator (LASSO) e Principal Component Regression (PCR) sao capazes de contribuir para a explicação do cross section ...
O impacto do risco de crédito sobre a diferença cross-section do retorno acionário brasileiro
(2016-05-31)
The aim of this study is to assess the impact of credit risk in the Brazilian stock cross-section return, and evaluate if a strategy based on this feature is able to generate positive and significant alpha. To measure ...
Cross-asset contagion in the financial crisis: a Bayesian time-varying parameter approach
(Elsevier B.V., 2019)
The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially ...
STOCK MARKET DEVELOPMENT AND CROSS-COUNTRY DIFFERENCES IN RELATIVE PRICES
(MIT PRESS, 2010)
We document a positive correlation between stock market capitalization and price levels (wages) within the group of countries with poorly developed stock markets and a negative correlation between these two variables within ...