Special Issue "Asset Pricing and Portfolio Choice"

A special issue of International Journal of Financial Studies (ISSN 2227-7072).

Deadline for manuscript submissions: closed (28 February 2018)

Special Issue Editors

Guest Editor
Dr. Panagiotis Andrikopoulos

Department of Economics, Finance and Accounting, Faculty of Business, Environment and Society, Coventry University, Coventry, CV1 5FB, UK
Website | E-Mail
Interests: empirical asset pricing; contrarian and momentum investment strategies; behavioral finance
Guest Editor
Dr. Vasilios Sogiakas

Adam Smith Business School (Economics), University of Glasgow, Glasgow, G12 8QQ, UK
Website | E-Mail
Interests: quantitative finance; financial econometrics; asset pricing; portfolio management; risk management and financial derivatives

Special Issue Information

Dear Colleagues,

The main goal of this Special Issue of the International Journal of Financial Studies is to encourage theoretical and empirical studies that enhance knowledge in the field of asset pricing and portfolio choice. Topics include, but are not limited to, the following:

-    Empirical and theoretical asset pricing models;
-    Time variation in expected stock returns and time varying volatility;
-    Experimental asset pricing models;
-    Asset returns and macroeconomic fundamentals;
-    Liquidity-risk premium;
-    Downside-risk premium;
-    Financial market structure and microstructure;
-    International capital asset pricing models;
-    Asset pricing models with heterogeneous beliefs and market evolution;
-    Portfolio Management and Asset Allocation
-    International Portfolio Management;
-    Mutual funds and Hedge funds;

Dr. Panagiotis Andrikopoulos
Dr. Vasilios Sogiakas
Guest Editors

Keywords

  • Empirical asset pricing

  • Heterogeneous beliefs

  • International asset pricing

  • Factor models

  • Volatility

  • Liquidity

  • Portfolio choice

  • Asset allocation

Published Papers (4 papers)

View options order results:
result details:
Displaying articles 1-4
Export citation of selected articles as:

Research

Open AccessFeature PaperArticle Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market
Int. J. Financial Stud. 2018, 6(2), 54; https://doi.org/10.3390/ijfs6020054
Received: 21 February 2018 / Revised: 15 May 2018 / Accepted: 16 May 2018 / Published: 20 May 2018
PDF Full-text (4315 KB) | HTML Full-text | XML Full-text
Abstract
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In
[...] Read more.
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In regime 1, the risk premiums on common risk factors were relatively higher and consistent with the hypothesis that investors require more compensation for taking the same amount of risks in a bear regime when there is a higher risk-aversion level. Moreover, return dispersions among the Fama–French 25 portfolios were captured by the beta patterns from our proposed Markov regime-switching Fama–French three-factor model, implying that a positive risk-return relationship holds in regime 1. On the contrary, in regime 2, when lower risk premiums could be observed, portfolios with a big size or low book-to-market ratio undertook higher risk loadings, implying that the stocks that used to be known as “good” stocks were much riskier in a bull market. Thus, a risk-return relationship followed other patterns in this period. Full article
(This article belongs to the Special Issue Asset Pricing and Portfolio Choice)
Figures

Figure 1

Open AccessArticle Risk-Based Portfolios with Large Dynamic Covariance Matrices
Int. J. Financial Stud. 2018, 6(2), 52; https://doi.org/10.3390/ijfs6020052
Received: 15 February 2018 / Revised: 9 May 2018 / Accepted: 10 May 2018 / Published: 14 May 2018
PDF Full-text (315 KB) | HTML Full-text | XML Full-text
Abstract
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and maximum diversification (MD). It
[...] Read more.
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and maximum diversification (MD). It is well known that the performance of a mean-variance portfolio depends on the accuracy of the estimations of the inputs. However, no studies have examined the relationship between the performance of risk-based portfolios and the estimated accuracy of covariance matrices. In this research, we compare the performance of risk-based portfolios for several estimation methods of covariance matrices in the Japanese stock market. In addition, we propose a highly accurate estimation method called cDCC-NLS, which incorporates nonlinear shrinkage into the cDCC-GARCH model. The results confirm that (1) the cDCC-NLS method shows the best estimation accuracy, (2) the RP and MD do not depend on the estimation accuracy of the covariance matrix, and (3) the MV does depend on the estimation accuracy of the covariance matrix. Full article
(This article belongs to the Special Issue Asset Pricing and Portfolio Choice)
Open AccessFeature PaperArticle An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns
Int. J. Financial Stud. 2017, 5(4), 21; https://doi.org/10.3390/ijfs5040021
Received: 29 August 2017 / Revised: 27 September 2017 / Accepted: 29 September 2017 / Published: 11 October 2017
Cited by 1 | PDF Full-text (237 KB) | HTML Full-text | XML Full-text
Abstract
This study uses the Bayesian approach to examine the incremental contribution of stock characteristics to the investment opportunity set in U.K. stock returns. The paper finds that size, book-to-market (BM) ratio, and momentum characteristics all make a significant incremental contribution to the investment
[...] Read more.
This study uses the Bayesian approach to examine the incremental contribution of stock characteristics to the investment opportunity set in U.K. stock returns. The paper finds that size, book-to-market (BM) ratio, and momentum characteristics all make a significant incremental contribution to the investment opportunity set when there is unrestricted short selling. However, no short selling constraints eliminate the incremental contribution of the size and BM characteristics, but not the momentum characteristic. The use of additional stock characteristics such as stock issues, accruals, profitability, and asset growth leads to a significant incremental contribution beyond the size, BM, and momentum characteristics when there is unrestricted short selling, but no short selling constraints largely eliminates the incremental contribution of the additional characteristics. Full article
(This article belongs to the Special Issue Asset Pricing and Portfolio Choice)
Open AccessArticle Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis
Int. J. Financial Stud. 2017, 5(1), 9; https://doi.org/10.3390/ijfs5010009
Received: 30 December 2016 / Revised: 9 February 2017 / Accepted: 16 February 2017 / Published: 1 March 2017
PDF Full-text (2391 KB) | HTML Full-text | XML Full-text
Abstract
This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in
[...] Read more.
This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate whether active or passive management has been affected by unconventional times and to what extent. Evidence indicates that in four out of eight funds, asset selection presents a significant contribution to returns. The Selection Sharpe Ratios for sectoral and style analyses exhibit positive values added per unit of risk due to active management for the majority of our funds in the pre-Lehman default period. Nevertheless, none of them presents statistical significance according to the t-statistic. Moreover, over the post-Lehman default, only two out of eight funds achieved lower volatility levels and higher returns due to active management. A style drift to big capitalization stocks with low values of book to market ratio is to be held responsible for the outperformance. Overall, our findings imply that active management in a monetary easing environment does not add significant value to the mutual fund performance. Full article
(This article belongs to the Special Issue Asset Pricing and Portfolio Choice)
Figures

Figure 1

Back to Top