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Risk-return Relationship and Portfolio Management
This book covers all aspects of modern finance relating to portfolio theory and risk-return relationship, offering a comprehensive guide to the importance, measurement and application of the risk-return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in deve...
Risk-Return Relationship in High Frequency Data
This study investigates the relationship between the return on a stock index and its volatility using high frequency data. Two well-known hypotheses are reexamined: the leverage effect and the volatility feedback effect hypotheses. In an analysis of the five-minute data from the Samp;P500 index, two distinct characteristics of high frequency data were found. First, it was noted that the sign of the relationship between the smallest wavelet scale components for return and volatility differs from those between other scale components. Second, it was found that long memory exists in the daily realized volatility. The study further demonstrates how these findings affect the risk and return relati...
Risk-Return Relationship and Portfolio Management
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in ...
The Risk Return Relationship
The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation between the return and RV, and the difference in the autocorrelation structures of the return and RV.
Is There a Risk and Return Relation?
Traditional finance theory posits that the relationship between the risk and return of stocks is positive. Furthermore, investment practice is often based on the central contention of the Capital Asset Pricing Model (CAPM) that high (low) beta stocks earn higher (lower) returns. However, this fundamental return and risk relationship is questioned by a several researchers who assert that the relationship is, in fact, negative. Consequently, a growing body of research examines the nature of the stock return-risk relationship using both market- and firm-level data. The results of this research are mixed. The purpose of this paper is to shed further light on this relationship by (i) examining bo...
The Role of Information Technology in Risk/Return Relations of Firms
Information Technology (IT) investments are the largest capital budgeting item in most U.S. firms. Thus, there is significant scholarly interest in understanding the relationship between IT investments and firm performance. However, findings to date remain mixed: while some studies find a positive relationship between IT investments and firm performance, others fail to find any significant relationships at all. One possible reason for this may be that most studies conceptualize and measure firm performance in terms of returns - but ignore risk. Although risk is also an important aspect of firm performance, and there are tradeoffs between risks and returns, most IS studies have not included r...
