Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 17 of 17 for “"portfolio rebalancing"”.
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Maintaining optimal CEO incentives through equity grants and CEO portfolio rebalancing
… optimal levels through equity grants and CEO portfolio rebalancing. I investigate two equity-based CEO incentives, pay-for-performance sensitivity and risk-taking incentive. Pay-for-performance sensitivity is defined as the change in CEO wealth for a given change in the firm's stock price, …
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Does Regulatory Scrutiny Change Investment Behavior? Evidence of Suboptimal Portfolio Rebalancing After the Financial Crisis
… can no longer benefit from tax savings. However, rebalancing these portfolios after the financial crisis would entail recognizing additional losses during a time period when their financial performance was under stress and their industry was under increased scrutiny. I examine portfolio …
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The implications of bank risk-weighted capital and ownership on portfolio rebalancing, profitability, and stability: evidence from Tanzania
… the risk of failure emanating from banks' loan portfolios. A key element of these regulations is usually the prescription of minimum risk-weighted capital ratios. However, this can potentially affect bank profitability and in an attempt to rebalance their capital risk profile to match regulatory …
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Optimal execution for portfolio transactions
… of optimizing trading strategies for complex portfolio transitions. Institutional investors run into this issue during periodic portfolio rebalancing or transition between asset managers. The costs of rebalancing can be broadly broken into trading costs (both the transaction cost and the …
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Pricing, Calibration and Hedging under the LIBOR model
… profit and loss distributions even at high portfolio rebalancing frequencies.
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ESSAYS ON PORTFOLIO OPTIMIZATION AND MANAGEMENT USING BOOTSTRAPPING METHOD: THE CASE OF BANK INDONESIA
… to Bank Indonesia in managing its reserve portfolio in the aftermath of the 1997 crisis. Various improvements to the Markowitza??s mean-variance model were introduced. The first essay uses bootstrapping method to create efficient frontiera??s sample acceptance region, directly reducing …
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An Analysis of Monetary Policy Transmission Through Bond Yields
… than changes in term premia, associated with portfolio rebalancing. Chapter 5 assesses the international transmission of monetary policy through the term structure of interest rates between advanced economies. I present a micro-founded, two-country model with endogenous portfolio choice …
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Private risk
… the decision maker to rebalance his financial portfolio in the course of determination of a lottery's buying (selling) price. We build on the classical portfolio allocation problem in complete markets, generalizing to include both traded and non-traded unique risks. Our principal focus is on …
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Examination of long-run performance of momentum portfolios: Implications for the sources and profitability of momentum
… the long-term performance of momentum portfolios. Its results show striking asymmetries for winners and losers and imply potentially different causes for the winner and loser components of momentum. After separately examining winners and losers relative to their respective benchmark …
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Essays on international finance
… and the effect on asset prices of the associated portfolio rebalancing. We identify risk-off episodes as a switch to a polarized correlation regime of currency returns. These risk-off transitions are relatively infrequent but noticeably increasing over time. They are persistent and associated with …
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The disposition effect in South African Equity markets
… to be rationally justifiable on the grounds of portfolio rebalancing. It is therefore concluded that professional advice reduces the extent to which this irrational trading behaviour is exhibited, thereby increasing investor profits and utility.
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Can we use cap rates to better allocate investments in commercial real estate in a dynamic portfolio?
… of real estate in a dynamic investment portfolio. Seeking an answer to the first question, we run predictive regressions using data for real estate "All Properties" and for all four major property types, examining the predictability power of cap rates for a forecasting horizon from one …
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Essays on the Transmission of Monetary and Macroprudential Policies
… policy shocks result in a tilt of investors’ portfolios towards green assets. Empirical evidence supports both predictions. Specifically, I find that green firms held by index funds with ESG mandates exhibit a lower sensitivity to monetary policy shocks compared to brown firms. Additionally, I …
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Essays in International Finance: International Capital Flows, Equity and FX markets
… importance of hot money in bank credit and portfolio flows from the U.S. to 18 emerging markets over the period 1988-2012. We deploy state-space models à la Kalman filter to identify the unobserved hot money as the temporary component of each type of flow. The analysis reveals that the …
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Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and
… and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and long run dynamic relationships between any two cointegrated assets may change. To capture this phenomenon, this study tests for …
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Essays in Modern Macroeconomics
… wealth inequality through the financial portfolio rebalancing channel of monetary policy transmission. I construct a theoretical model that has multiple assets (of differing liquidity), banks and heterogeneous agents, who experience idiosyncratic labor productivity shocks. This model is …
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Quantifying the effects of new derivative introduction on exchange volatility, efficiency and liquidity
… indicative of potential pitfalls in the ETF portfolio rebalancing process. It appears that ETFs have made commodity markets more efficient through a new influx of trading counterparties, but they appear to be associated with a cost. The need for regulation of investment size and market …