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Single vs. multi-factor strategies-improving performance through factor-tilts
This study compares the risk-adjusted performance of 10 single-factor (smart beta) and 75 multi-factor (advanced beta) portfolios over the period of 1992 to 2019. The emphasis is set on testing the performance changes ...
Gold as an effective diversifier for global equities: evidence from developed and emerging markets
Finding financial assets with a low or even negative correlation to equities has become notoriously difficult in the face of global co-integration and the financialization of commodity markets. Gold remains to be one of ...
EU bank resolution and investing in contingent convertible instruments: an exploratory study of the Banco Popular bail-in
In the wake of the 2008 financial crisis, an extensive toolbox was deployed through Basel III accords to address the eventuality of a bank failure, including the Single Resolution Mechanism, which was put to the test through ...
Performance persistence of emerging markets equity mutual funds
Esta tese analisa o desempenho de fundos mútuos de ações de mercados emergentes durante o período de janeiro de 2005 a dezembro de 2017. O objetivo é preencher a lacuna metodológica da literatura de mercado desenvolvida ...