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Keith Pilbeam and Hamish Preston
This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen?s alpha measures of active management provide strong evidence that Japanese Mutual Funds fai...
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Velimir Lukic,Svetlana Popovic,Irena Jankovic
Pág. 349 - 364
This paper investigates resilience and stability of the Serbian banking sector in the light of deteriorated quality of its credit portfolio since the last world economic crisis. Nonperforming loans became a burning issue across Eastern European region. W...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Antonio Marcos Duarte Junior,Hugo Ghiaroni Albuquerque e Silva
Pág. 221 - 249
We consider the problem of equity valuation. The use of fuzzy multicriteria decision analysis is proposed to solve the problem. The resulting methodology allows the use of the multiples most often calculated by equity analysts from audited balance sheets...
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Bruno Ferman,Maurício Silveira Lersch,Claudia Emiko Yoshinaga
Pág. 7 - 24
This article analyzes the portfolio allocation of investors in their employer's shares in order to verify whether it exists a version of home bias. Our sample comprises investors of a Brazilian broker. The proportion of allocation on the shares of their ...
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