Objective
"This proposal is related to the relationship between extreme returns and expected returns for international stock markets. For the first part, I will focus on the minimum daily return on the aggregate market over various historical time windows. The negative of this variable can be interpreted as a measure of Value at Risk and a significantly positive relation between this measure and expected market returns will provide evidence for the importance of downside risk in determining index returns. Fixed-effects panel regressions will be used to test for the proposed linkage controlling for a set of relevant variables. For the second part, I will focus on the maximum daily return for individual stocks over various historical time windows. The under-diversification of investment portfolios and the preference of investors for lottery-like stocks suggest that there should be a significant relationship between historical maximum returns and expected returns at the firm-level. Finding a significantly negative relation will also provide support for behavioral theories related to investor psychology. In this part, univariate and bivariate portfolio analysis as well as firm-level cross-sectional regressions will be employed. The main data source for this project is DataStream. The proposed analyses will be carried out separately for 52 financial markets with an eye on the differences between developed and emerging countries. The results will have potential implications related to international risk management and portfolio allocation, especially in the aftermath of the financial crisis of 2008."
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
FP7-PEOPLE-2011-CIG
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Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
MC-CIG - Support for training and career development of researcher (CIG)
Coordinator
34956 Istanbul
Türkiye
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.