RISK-ON RISK-OFF: Implications for investors in the Australian stock and bond markets

被引：0
|
作者：
Haque, Tariq [1 ]
机构：
[1] Univ Adelaide, Discipline Finance, Adelaide, SA, Australia
来源：
JASSA-THE FINSIA JOURNAL OF APPLIED FINANCE | 2013年 / 04期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Risk-on risk-off (RORO) effects were present in Australian and international financial markets from July 2007 to December 2012. This study shows that a risk-parity portfolio which combines both equities and bonds generates a higher Sharpe ratio than investing in either equities or bonds alone over a sample period incorporating both RORO and non-RORO periods. An earlier version of the paper was presented to the 2013 Australian Centre for Financial Studies' Melbourne Money and Finance Conference.(1)
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页码：47 / 52
页数：6
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