Template-Type: ReDIF-Article 1.0 Author-Name: Drosos Koutsokostas Author-X-Name-First: Drosos Author-X-Name-Last: Koutsokostas Author-Name: Spyros Papathanasiou Author-X-Name-First: Spyros Author-X-Name-Last: Papathanasiou Author-Name: Nikolaos Eriotis Author-X-Name-First: Nikolaos Author-X-Name-Last: Eriotis Title: Short-term versus longer-term persistence in performance of equity mutual funds: evidence from the Greek market Abstract: This study investigates the performance persistence of Greek equity mutual funds for the period 2 November 2009 to 31 October 2017, by utilising diverse evaluation sub-periods. Using all domestic equity mutual funds at our disposal and daily data, the authors apply the Carhart (1997) model to compute risk-adjusted returns and the non-parametric tests of Malkiel (1995), Brown and Goetzmann (1995) and Kahn and Rudd (1995) to evaluate persistence in performance. Results question a winning-picking strategy based on sustained superior performance, as only weak evidence for quarterly persistence is documented, and provide evidence of the Greek market's efficiency. Furthermore, the usage of longer evaluation periods results in the gradual disappearance of persistence in fund returns due to herding behaviour. These results suggest that fund managers follow short-term momentum strategies and investing in Greek equity mutual funds requires frequent portfolio revisions. Journal: Int. J. of Bonds and Derivatives Pages: 89-103 Issue: 2 Volume: 4 Year: 2020 Keywords: equity mutual funds; risk-adjusted returns; performance persistence; non-parametric; capital controls; capital flows. File-URL: http://www.inderscience.com/link.php?id=109309 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2020:i:2:p:89-103 Template-Type: ReDIF-Article 1.0 Author-Name: Agnès Tourin Author-X-Name-First: Agnès Author-X-Name-Last: Tourin Title: Measuring the diversification of a loan portfolio Abstract: We analyse the effect of correlations on a portfolio of loans. Building on an earlier idea developed at Moody's (Witt, 2004), we define the diversification score as the number of independent loans in an equivalent credit portfolio with the same expected loss and risk level. We perform Monte Carlo simulations to analyse the applicability of this method for two risk measures, namely value at risk and the expected shortfall. Journal: Int. J. of Bonds and Derivatives Pages: 104-113 Issue: 2 Volume: 4 Year: 2020 Keywords: loan portfolio; default correlations; risk measure; value at risk; expected shortfall; diversification; Monte Carlo sampling. File-URL: http://www.inderscience.com/link.php?id=109320 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2020:i:2:p:104-113 Template-Type: ReDIF-Article 1.0 Author-Name: R. Stafford Johnson Author-X-Name-First: R. Stafford Author-X-Name-Last: Johnson Author-Name: Amit Sen Author-X-Name-First: Amit Author-X-Name-Last: Sen Title: Features of skewness-adjusted binomial interest rate models Abstract: This paper examines four distinctive features of a skewness-adjusted binomial interest rate model. Specifically: 1) implied spot yield curves generated from a skewness-adjusted binomial interest rate tree are consistent with interest rate expectations theory; 2) implied forward rates and implied yields on futures contracts are equal when the skewness-adjusted binomial interest rate tree is calibrated to an end-of-the period distribution reflecting an increasing, decreasing, or stable interest rate trend; 3) the asymptotic properties of the skewness-adjusted binomial interest rate model elevate the importance of the mean in determining the up and down parameters for the case of a large number of sub-periods; 4) the skewness-adjusted Black-Derman-Toy model retains its arbitrage-free features, but loses them when the variability conditions are not adjusted to account for skewness. Journal: Int. J. of Bonds and Derivatives Pages: 126-151 Issue: 2 Volume: 4 Year: 2020 Keywords: binomial model; interest rates; skewness; calibration model. File-URL: http://www.inderscience.com/link.php?id=109333 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2020:i:2:p:126-151 Template-Type: ReDIF-Article 1.0 Author-Name: S.C. Sharma Author-X-Name-First: S.C. Author-X-Name-Last: Sharma Author-Name: Bhavna Chhabra Author-X-Name-First: Bhavna Author-X-Name-Last: Chhabra Author-Name: Navneet Saxena Author-X-Name-First: Navneet Author-X-Name-Last: Saxena Title: Empirical study on the factors affecting bond market returns-evidence from Indian markets Abstract: Capital market broadly includes fixed income securities i.e., bond market and equity market. In India, the retail investors are visible mainly in equity markets, whereas the institutional investors are involved in both the markets. Largely interest rates in the economy along with inflation rates and risk in equity markets influences the bond market yields. This paper examines the impact of equity market returns, volatility in equity markets (VIX) and rupee-dollar exchange rate on bond yields. As volatility in the equity market increases the demand for fixed income securities increases, thereby reducing the returns on bonds. In this study it is assumed that the various economic factors affecting bond yield are constant and it is the equity market returns, its volatility and the exchange rate which affects the bond yields. Journal: Int. J. of Bonds and Derivatives Pages: 114-125 Issue: 2 Volume: 4 Year: 2020 Keywords: bond yield; bond returns; VIX; equity returns; volatility; bonds; government bonds. File-URL: http://www.inderscience.com/link.php?id=109335 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2020:i:2:p:114-125 Template-Type: ReDIF-Article 1.0 Author-Name: Fayrouz Souissi Author-X-Name-First: Fayrouz Author-X-Name-Last: Souissi Author-Name: Yousra Trichilli Author-X-Name-First: Yousra Author-X-Name-Last: Trichilli Author-Name: Mouna Boujelbène-Abbes Author-X-Name-First: Mouna Author-X-Name-Last: Boujelbène-Abbes Title: Googling investor's sentiment, financial stress and dynamics of European market indexes: a Markov chain analysis Abstract: This study investigates the relationship between financial stress, googling investor's sentiment and indexes returns dynamics in five European markets. By using a Markov model, we find that the effect of the googling investor's sentiment on the stock market return highlights the persistence of the three regimes: bullish state for Germany and Spain; bearish state for Italy and the UK and stable state for France. For the effect of the stress index on the return, we note that France and Italy are in the bullish regime, the UK is in stable state and the persistence of the bearish regime for Germany and Spain. The smoothed and filtered probabilities suggest that the effect of googling investor's sentiment on market index return is subject to switching regime for all countries. For the stress index, results reveal the limited predictive power of financial stress on the change of regime of the financial markets. Journal: Int. J. of Bonds and Derivatives Pages: 152-178 Issue: 2 Volume: 4 Year: 2020 Keywords: investor sentiment; financial stress index; Markov switching; BEKK-GARCH; financial market dynamics. File-URL: http://www.inderscience.com/link.php?id=109354 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijbder:v:4:y:2020:i:2:p:152-178