Does Systematic Tail Risk Matter?

Autor: Evarist Stoja, Arnold Polanski, Linh H. Nguyen, Aleksandr Pereverzin

open access article Systematic tail risk is considered an important determinant of expected returns on risky assets. We examine its impact from two perspectives in a unified framework which originates from a simple asset pricing model. From the first

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23f7610ebb227d620ec5f07c7c195a6c
https://hdl.handle.net/2086/22455

The dynamic Black–Litterman approach to asset allocation

Autor: Linzhi Tan, Evarist Stoja, Richard Harris

Publikováno v: Harris, R D F, Stoja, E & Tan, L 2017, ' The Dynamic Black-Litterman Approach to Asset Allocation ', European Journal of Operational Research, vol. 259, no. 3, pp. 1085–1096 . https://doi.org/10.1016/j.ejor.2016.11.045

We generalize the Black–Litterman (BL) portfolio management framework to incorporate time-variation in the conditional distribution of returns in the asset allocation process. We evaluate the performance of the dynamic BL model using both standard

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5f5eb5ae60bd46b88488443041c4d282
https://doi.org/10.1016/j.ejor.2016.11.045

Systematic Extreme Downside Risk

Autor: Linh Nguyen, Evarist Stoja, Richard Harris

Publikováno v: Harris, R, Nguyen, L & Stoja, E 2019, ' Systematic extreme downside risk ', Journal of International Financial Markets, Institutions and Money, vol. 61, pp. 128-142 . https://doi.org/10.1016/j.intfin.2019.02.007

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. We propose new systematic tail risk measures constructed using two different approaches. The first is

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ed58900248b55f7f6dee9bde1c602550
https://doi.org/10.1016/j.intfin.2019.02.007

Have FSRs Got News for You? Evidence from the Impact of Financial Stability Reports on Market Activity

Autor: Evarist Stoja, Richard Harris, Rhiannon Sowerbutts, Veselin Karadotchev

Publikováno v: SSRN Electronic Journal.

We investigate the impact that the publication of the Bank of England’s Financial Stability Report (FSR) has on the stock returns and credit default swap spreads of UK financial institutions. Examining a sample of 73 UK-listed banks and other finan

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::96c4c8052834966ee91d4743652dca38
https://doi.org/10.2139/ssrn.3376524

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Autor: Michael Chin, Richard Harris, Evarist Stoja, Ching-Wai Chiu

Publikováno v: (Jeremy) Chiu, C W, Harris, R D F, Stoja, E & Chin, M 2018, ' Financial market Volatility, macroeconomic fundamentals and investor Sentiment ', Journal of Banking and Finance, vol. 92, pp. 130-145 . https://doi.org/10.1016/j.jbankfin.2018.05.003

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a transitory

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f89288550ac4e3accbc297248b394d5
https://doi.org/10.2139/ssrn.2827569