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dc.contributor.advisorBianchi, Robert
dc.contributor.authorPappas, Scott Nicholas
dc.date.accessioned2018-01-23T02:49:26Z
dc.date.available2018-01-23T02:49:26Z
dc.date.issued2017
dc.identifier.doi10.25904/1912/574
dc.identifier.urihttp://hdl.handle.net/10072/367162
dc.description.abstractRisk-factor diversification has attracted a great deal of attention since the 2008 Global Financial Crisis. The academic research in this field, however, has centred on analysing investment performance with little research in other areas. Motivated by industry interest and a paucity of academic research in the field, this thesis examines the behaviour of risk-factor diversification. Specifically, it examines performance, return correlation, and return predictability. This thesis makes a number of original contributions to academia and the practical management of investment portfolios. The first empirical chapter examines the performance of risk-factor diversification across a number of dimensions. Even when limited to U.S. stock and bond risk factors, the evidence indicates that risk-factor diversification offers the potential to outperform asset-class diversification. However, unlike previous studies, this thesis does not find that risk-factor diversification is universally superior to asset-class diversification across all market environments and time periods. The second empirical chapter explores the exceedance correlation between risk-factor returns and reveals three distinguishing empirical facts: exceedance correlations are generally symmetric; where asymmetries exist, positive asymmetries are as common as negative; and normality is rejected for both positive and negative exceedance correlations.
dc.languageEnglish
dc.publisherGriffith University
dc.publisher.placeBrisbane
dc.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.
dc.subject.keywordsRisk-factor diversification
dc.subject.keywords2008 Global Financial Crisis
dc.subject.keywordsAsset-class diversification
dc.titleThe Behaviour of Risk-Factor Diversification
dc.typeGriffith thesis
dc.date.embargoEnd2018-03-20
gro.facultyGriffith Business School
gro.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.
gro.hasfulltextFull Text
dc.contributor.otheradvisorDrew, Michael
dc.contributor.otheradvisorGupta, Rakesh
gro.identifier.gurtIDgu1500258674988
gro.source.ADTshelfnoADT0
gro.source.GURTshelfnoGURT
gro.thesis.degreelevelThesis (PhD Doctorate)
gro.thesis.degreeprogramDoctor of Philosophy (PhD)
gro.departmentGriffith Business School
gro.griffith.authorPappas, Scott


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