Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 
3.7
2.1
Journals
IJFS
Special Issues
Asset Pricing, Investments and Portfolio Management
share announcement

Asset Pricing, Investments and Portfolio Management

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

Deadline for manuscript submissions: closed (10 February 2023) | Viewed by 47300

Special Issue Editor

Dr. Florian Ielpo

E-Mail Website
Guest Editor
1. Centre d'Economie de la Sorbonne, University Pantheon-Sorbonne, 75013 Paris, France
2. Lombard Odier, 1204 Geneva, Switzerland
Interests: financial econometrics; asset management

Special Issue Information

Dear Colleagues,

This Special Issue of the International Journal of Financial Studies is dedicated to asset management questions. The asset management industry has shown long-term profits coming from academic research. Today, portfolio management issues have become key to policy makers and to investors, as both savings mechanisms and returns perspectives are being challenged by a changing world. Between the climate change revolution and the aftermath of the pandemic, portfolios and financial markets alike need a fresh perspective. This Special Issue aims at gathering key contributions in that field. I encourage submissions which combine theoretical and applied contributions, as research in finance needs a balance between them to become instrumental to its audience. Topics include the following:

  • Empirical asset pricing;
  • Volatility and correlation forecasting;
  • Integration of sustainability metrics to portfolio construction;
  • Liquidity risk and its consequences;
  • New trading signals and machine learning;
  • Risk based portfolio construction;
  • Risk model construction;
  • Portfolio management and asset allocation;
  • Risk aversion measurement;
  • International portfolio management;
  • Alternative risk premia and strategies;
  • Risk premia investing.

Dr. Florian Ielpo
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. International Journal of Financial Studies is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • empirical asset pricing
  • sustainability
  • machine learning
  • portfolio construction
  • factor models
  • volatility
  • liquidity
  • portfolio choice
  • asset allocation
  • alternative risk premia
  • risk premia investing

Benefits of Publishing in a Special Issue

  • Ease of navigation: Grouping papers by topic helps scholars navigate broad scope journals more efficiently.
  • Greater discoverability: Special Issues support the reach and impact of scientific research. Articles in Special Issues are more discoverable and cited more frequently.
  • Expansion of research network: Special Issues facilitate connections among authors, fostering scientific collaborations.
  • External promotion: Articles in Special Issues are often promoted through the journal's social media, increasing their visibility.
  • e-Book format: Special Issues with more than 10 articles can be published as dedicated e-books, ensuring wide and rapid dissemination.

Further information on MDPI's Special Issue polices can be found here.

Published Papers (8 papers)

Download All Papers
Order results
Result details
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:

Research

20 pages, 2462 KiB  
Article
What Influenced Hanoi’s Apartment Price Bubble between 2010 and 2021?
by Phuong Lan Le, Anh Tuan Do and Anh Ngoc Pham
Int. J. Financial Stud. 2023, 11(3), 105; https://doi.org/10.3390/ijfs11030105 - 17 Aug 2023
Viewed by 1963
Abstract
This study focused on testing the existence of an apartment price bubble in Hanoi (Vietnam) and on determining the factors that affected it in the period between 2010 and 2021. Using the fundamental factor approach, the authors applied VAR regression using time series [...] Read more.
This study focused on testing the existence of an apartment price bubble in Hanoi (Vietnam) and on determining the factors that affected it in the period between 2010 and 2021. Using the fundamental factor approach, the authors applied VAR regression using time series data. Specifically, we used the ADF unit test to test the stationarity of the variables based on the following criteria: AIC (Akaike information criterion); LR (likelihood ratio); FPE (final prediction error); HQ (Hanan–Quinn information criterion); and Schwarz (SC) to find the optimal lag (Lag) for the model. We also applied the Granger causality test to determine the correlation between the economic variables that appeared in the model with the PR index. We present the results of the research model through the push–response function and the variance decomposition to consider and evaluate the impact of the PR index shock on itself and the other variables. The literature in this field includes many studies that are similar to this one; however, no research has been conducted that has focused on analysing whether variables, such as per capita income and the urbanisation rate, influence the formation of real estate bubbles. This focus is especially relevant in Hanoi, which is an important part of the Vietnamese real estate market. Through this study, we aimed to fill this gap and to contribute to the references on the Hanoi real estate market and its influencing factors. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

20 pages, 2565 KiB  
Article
Portfolio Optimization Using Minimum Spanning Tree Model in the Moroccan Stock Exchange Market
by Younes Berouaga, Cherif El Msiyah and Jaouad Madkour
Int. J. Financial Stud. 2023, 11(2), 53; https://doi.org/10.3390/ijfs11020053 - 23 Mar 2023
Cited by 2 | Viewed by 4708
Abstract
Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investigate portfolio optimization based on the Minimum Spanning Tree (MST) method [...] Read more.
Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investigate portfolio optimization based on the Minimum Spanning Tree (MST) method applied on the Moroccan All Shares Index (MASI) historical stock log returns covering the period from 2 January 2013 to 27 October 2022 allowing us to build two portfolios: MST-Portfolio and MST-Portfolio 2. Portfolio selection was carried out for MST-Portfolio and MST-Portfolio 2, respectively, based on 63 stocks or using the Degree Centrality (DC) measure and portfolio allocation for both portfolios was carried through the use of the Inverse Degree Centrality Portfolio (IDCP). The obtained portfolios were compared with the Minimum Variance Portfolio (MV Portfolio) and Equal Weighting Portfolio (EW Portfolio) using centrality measures, diversification, and backtesting. According to the used indicators analysis, MST-Portfolio and MST-Portfolio 2 are the most well-performed and robust portfolios showing a good performance during the studied period, even during the COVID-19 crisis, and ensuring a good level of diversification. The findings demonstrate that both suggested methods can enhance portfolio performance, evidence that can help investors or active managers when optimizing their portfolios. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

21 pages, 497 KiB  
Article
Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor
by Bayram Veli Salur and Cumhur Ekinci
Int. J. Financial Stud. 2023, 11(1), 49; https://doi.org/10.3390/ijfs11010049 - 20 Mar 2023
Cited by 1 | Viewed by 2831
Abstract
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for [...] Read more.
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for the same purpose. We find that sentiment is related to some anomalies in Europe, Japan, North America and global portfolios; hence, the sentiment and anomaly relationship may be universal. In addition, when size factor is controlled, the explanatory power of sentiment in anomaly returns changes. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

11 pages, 520 KiB  
Article
The Adaptive Dynamics of the Halloween Effect: Evidence from a 120-Year Sample from a Small European Market
by Júlio Lobão and Ana C. Costa
Int. J. Financial Stud. 2023, 11(1), 13; https://doi.org/10.3390/ijfs11010013 - 5 Jan 2023
Viewed by 2024
Abstract
The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers [...] Read more.
The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers about 120 years of Portuguese stock market history. We combine subsample analysis with rolling window analysis to show that the performance of the anomaly has varied in an adaptive fashion over time. The anomaly existed during the first four decades of the 20th century. Afterward, it vanished for 60 years, reappearing only at the beginning of the 21st century. However, in the first two decades of the new century, the effect seems to be a mere reflection of the excess return generated in January. Overall, the time-varying performance of the Halloween effect supports the adaptive market hypothesis for the Portuguese stock market. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

24 pages, 2535 KiB  
Article
Optimal Portfolios of National Currencies, Commodities and Fuel, Agricultural Commodities and Cryptocurrencies during the Russian-Ukrainian Conflict
by Nikolaos A. Kyriazis
Int. J. Financial Stud. 2022, 10(3), 75; https://doi.org/10.3390/ijfs10030075 - 1 Sep 2022
Cited by 10 | Viewed by 3159
Abstract
This study sets out to explore the impacts of the Russian-Ukrainian conflict on worldwide financial markets by considering a large array of national currencies, precious metals and fuel, agricultural commodities and cryptocurrencies. Estimations span the period since the Russian invasion until the takeover [...] Read more.
This study sets out to explore the impacts of the Russian-Ukrainian conflict on worldwide financial markets by considering a large array of national currencies, precious metals and fuel, agricultural commodities and cryptocurrencies. Estimations span the period since the Russian invasion until the takeover of the Ukrainian city of Mariupol. Optimal portfolios are constructed for separate categories of financial assets for different levels of risk-aversion by investors. The Chinese yuan, gold, corn, soybeans, sugar and Bitcoin prove to be safe haven investments while the Japanese yen, natural gas, wheat and the combination of Bitcoin and Ethereum offer profit opportunities for risk-seekers. Notably, the agricultural commodities’ portfolio is the best performing while the cryptocurrency portfolio generates the worst risk-return trade-off. National currencies could act as safe havens in the place of gold when all types of assets can be combined. Natural gas is revealed to be the most reliable profit generator. Overall, high risk appetite does not result in large improvement in portfolios’ returns. This study sheds light on investors’ optimal decision-making during elevated geopolitical uncertainties and provides a compass for improving welfare. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

22 pages, 881 KiB  
Article
The Impact of Financial Literacy on Retirement Planning with Serial Mediation of Financial Risk Tolerance and Saving Behavior: Evidence of Medium Entrepreneurs in Indonesia
by Subur Harahap, Armanu Thoyib, Sumiati Sumiati and Atim Djazuli
Int. J. Financial Stud. 2022, 10(3), 66; https://doi.org/10.3390/ijfs10030066 - 9 Aug 2022
Cited by 17 | Viewed by 16540
Abstract
This research examined the gist of financial literacy on the medium entrepreneurs in Indonesia, impacting the retirement planning through some mediator and moderating variables. Implementing the prospect theory and theory of planned behavior to explore these interactions, a series of hypotheses were constructed, [...] Read more.
This research examined the gist of financial literacy on the medium entrepreneurs in Indonesia, impacting the retirement planning through some mediator and moderating variables. Implementing the prospect theory and theory of planned behavior to explore these interactions, a series of hypotheses were constructed, considering financial risk tolerance and saving behavior as mediator variables and herding behavior as moderator variables. The study examined partial least square-structural equation modelling (PLS-SEM) obtained by sampling data from 388 entrepreneurs of medium-scale in the Bekasi Regency, Indonesia. The study revealed (a) how financial literacy on retirement planning is serial mediated by financial risk tolerance and saving behavior, (b) herding behavior can strengthen financial literacy’s influence on retirement planning, and (c) saving behavior as a mediator does not influence the relationship between financial literacy and retirement planning. The study confirms how financial risk tolerance and herding behavior bridge a positive relationship between financial literacy and retirement planning. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

19 pages, 1682 KiB  
Article
Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning
by Apichat Chaweewanchon and Rujira Chaysiri
Int. J. Financial Stud. 2022, 10(3), 64; https://doi.org/10.3390/ijfs10030064 - 8 Aug 2022
Cited by 23 | Viewed by 11730
Abstract
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation strategy based on a hybrid machine learning [...] Read more.
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation strategy based on a hybrid machine learning model that combines convolutional neural network (CNN) and bidirectional long short-term memory (BiLSTM) with robust input features obtained from Huber’s location for stock prediction and the Markowitz mean-variance (MV) model for optimal portfolio construction. Specifically, this study first applies a prediction method for stock preselection to ensure high-quality stock inputs for portfolio formation. Then, the predicted results are integrated into the MV model. To comprehensively demonstrate the superiority of the proposed model, we used two portfolio models, the MV model and the equal-weight portfolio (1/N) model, with LSTM, BiLSTM, and CNN-BiLSTM, and employed them as benchmarks. Between January 2015 and December 2020, historical data from the Stock Exchange of Thailand 50 Index (SET50) were collected for the study. The experiment shows that integrating preselection of stocks can improve MV performance, and the results of the proposed method show that they outperform comparison models in terms of Sharpe ratio, mean return, and risk. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

18 pages, 613 KiB  
Article
How Does Economic Policy Uncertainty Affect Momentum Returns? Evidence from China
by Peizhi Zhao and Yuyan Wang
Int. J. Financial Stud. 2022, 10(3), 59; https://doi.org/10.3390/ijfs10030059 - 22 Jul 2022
Cited by 1 | Viewed by 2728
Abstract
Economic policy uncertainty has been identified as a new macroeconomic risk factor that harms the stock market’s profitability. This paper examines the impact of the Chinese EPU levels on one of the most famous financial anomalies—momentum returns. A new EPU index based on [...] Read more.
Economic policy uncertainty has been identified as a new macroeconomic risk factor that harms the stock market’s profitability. This paper examines the impact of the Chinese EPU levels on one of the most famous financial anomalies—momentum returns. A new EPU index based on mainland China newspapers is used to obtain more accurate EPU–momentum relations. We selected 3958 Chinese listed companies’ stocks from 2011 to 2022 to establish time-series (TSM) and returns signal momentum strategies (RSM). Although the momentum effect in the Chinese stock market is weak, the EPU-based dynamic-threshold RSM strategies yield significant positive excess returns: eight times more excess returns than conventional fixed-threshold strategies. We used the ordinary least squares regression model (OLS), and the event study method only identified robust negative EPU–momentum relationships in the Chinese stock market during high-EPU stages. Surprisingly, the negative relationship between EPU and momentum returns turns positive during expansion cycles. We explain this phenomenon as follows: expansions increase Chinese investors’ confidence, and uncertainties reduce market manipulations. Full article
(This article belongs to the Special Issue Asset Pricing, Investments and Portfolio Management)
►▼ Show Figures

Figure 1

Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying articles 1-8
Back to TopTop