Can investment in microfinance funds improve risk-return characteristics of a portfolio?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F14%3A10283472" target="_blank" >RIV/00216208:11230/14:10283472 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61384399:31110/14:00045834

Výsledek na webu

<a href="http://dx.doi.org/10.3846/20294913.2014.869514" target="_blank" >http://dx.doi.org/10.3846/20294913.2014.869514</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3846/20294913.2014.869514" target="_blank" >10.3846/20294913.2014.869514</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Can investment in microfinance funds improve risk-return characteristics of a portfolio?

Popis výsledku v původním jazyce

This article is concerned with contribution of microfinance investment funds to a sustainable financial portfolio. With regard to the dependence of microfinance funds' returns on the performance of stock and fixed income markets in developed and emergingeconomies we find slightly negative correlation when measured by the portfolio beta measure. Our regression analysis confirms that returns on investment in microfinance investment funds exceed the returns on the market portfolio. This result together with reported near-to-zero beta estimates as a proxy for the systematic risk may be taken to be a clear financial advantage of an inclusion of microfinance assets in a portfolio compared to pure stock or bond portfolios. The results based on CAPM beta andJensen's alpha are confirmed by mean-variance spanning test. We show that the socially responsible investors may invest into microfinance without sacrifice with respect to pure financial indicators.

Název v anglickém jazyce

Can investment in microfinance funds improve risk-return characteristics of a portfolio?

Popis výsledku anglicky

This article is concerned with contribution of microfinance investment funds to a sustainable financial portfolio. With regard to the dependence of microfinance funds' returns on the performance of stock and fixed income markets in developed and emergingeconomies we find slightly negative correlation when measured by the portfolio beta measure. Our regression analysis confirms that returns on investment in microfinance investment funds exceed the returns on the market portfolio. This result together with reported near-to-zero beta estimates as a proxy for the systematic risk may be taken to be a clear financial advantage of an inclusion of microfinance assets in a portfolio compared to pure stock or bond portfolios. The results based on CAPM beta andJensen's alpha are confirmed by mean-variance spanning test. We show that the socially responsible investors may invest into microfinance without sacrifice with respect to pure financial indicators.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Technological And Economic Development Of Economy

ISSN

2029-4913

e-ISSN

—

Svazek periodika

20

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

LT - Litevská republika

Počet stran výsledku

23

Strana od-do

673-695

Kód UT WoS článku

000346354400004

EID výsledku v databázi Scopus

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