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Hedge and safe haven investing with investment styles
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
Number of Authors: 32019 (English)In: Journal of Asset Management, ISSN 1470-8272, E-ISSN 1479-179X, Vol. 20, no 5, p. 351-364Article in journal (Refereed) Published
Abstract [en]

In this paper, we investigate the role of style investing in determining hedging and safe haven assets using gold and US Treasury bonds as hedging and safe haven assets. We expect that the hedging and safe haven effects of these assets are specific to investment styles. Our results suggest that the choice of investment style is especially meaningful with regard to US Treasury bonds as a hedge. The lesson of our study is that the investment style should be taken into consideration when formulating appropriate risk management and diversification strategies to provide protection against downside risk.

Place, publisher, year, edition, pages
2019. Vol. 20, no 5, p. 351-364
Keywords [en]
Financial markets, Safe haven, Investment style, GARCH in mean
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-174942DOI: 10.1057/s41260-019-00127-3ISI: 000487922300003OAI: oai:DiVA.org:su-174942DiVA, id: diva2:1367889
Available from: 2019-11-05 Created: 2019-11-05 Last updated: 2019-11-05Bibliographically approved

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Hou, Ai JunKhrashchevskyi, IanPeltomäki, Jarkko
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  • apa
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