This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues.
Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management.
This book is a compilation of articles originally published in The European Journal of Finance.
1. Introduction Wolfgang Bessler, Wolfgang Drobetz and Chris Adcock
2. From Markowitz to modern risk management Gordon J. Alexander
3. Long-horizon consumption risk and the cross-section of returns: new tests and international evidence Joachim Grammig, Andreas Schrimpf and Michael Schuppli
4. Performance measures and incentives: loading negative coskewness to outperform the CAPM Alexandros Kostakis
5. Conditional performance evaluation for German equity mutual funds Wolfgang Bessler, Wolfgang Drobetz and Heinz Zimmermann
6. Conditioning information in mutual fund performance evaluation: Portuguese evidence Paulo Armada Leite and Maria Ceu Cortez
7. Performance and characteristics of mutual fund starts Aymen Karoui and Iwan Meier
8. Individual home bias, portfolio churning and performance Lars Nordén
9. Diversification benefits for bond portfolios Wassim Dbouk and Lawrence Kryzanowski
10. International bond diversification strategies: the impact of currency, country, and credit risk Mats Hansson, Eva Liljeblom and Anders Löflund
11. The performance of investment grade corporate bond funds: evidence from the European market Leif Holger Dietze, Oliver Entrop and Marco Wilkens