Umeå University's logo

umu.sePublikasjoner
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Macroeconomic Factors and their role in Moderating Diversification effect of Asset Classes in the EU
Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
2023 (engelsk)Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
Abstract [en]

After the 2008 financial crisis, some have questioned the historically positive benefits ofdiversification, meanwhile others have stated a clear misunderstanding of whatdiversification entails. This study argues diversification is still viable in portfolio theory,and that more effort should be emphasized on macroeconomic factors’ role in theoptimal portfolio. According to the Rational choice theory, investors want to reduce riskwithout lowering expected returns. Modern portfolio theory believes it is possible to doso, by combining less-than-perfect correlated asset classes in a portfolio. The businesscycle theory adds a further perspective by considering cycling movements in themacroeconomic environment, which this study ties to the correlation of asset classes.This study enriches the range of macroeconomic factors and asset classes, focusing onthe EU area, and subsequently, identifies existing relationships. Hence, the researchquestion, “Do macroeconomic factors moderate diversification effect across assetclasses in the EU?” is answered.Results are achieved through the positivist paradigm and the deductive researchapproach, and further, a panel data analysis including 18 macroeconomic factors and 8asset classes during the 2013 to 2022 time periods. The OLS single regression model isused, and results are compared to the previous literature.The characteristics of these 70 relationships are presented. Further, the level of impactfor 18 macroeconomic factors is ranked, the unemployment rate is the most impactfulfactor and GDP impact on gross public debt is the least impactful factor. An investor'sperspective is kept during the thesis to inspire professional investors, especiallyportfolio managers to be detail-oriented when they design diversification strategies andconstruct the optimal portfolios. Also, the results regarding institutional quality indexesincrease the importance of the social and sustainable segment of macroeconomicfactors, which should be considered by investors in the future. Ultimately, this studycontributes to previous literature by examining the empirical results through the lens ofRational choice theory, Business cycle theory, and Modern portfolio theory.

sted, utgiver, år, opplag, sider
2023.
Emneord [en]
macroeconomic factors, asset classes, diversification strategies, portfolio management, institutional qualities
HSV kategori
Identifikatorer
URN: urn:nbn:se:umu:diva-209919OAI: oai:DiVA.org:umu-209919DiVA, id: diva2:1768402
Veileder
Tilgjengelig fra: 2023-06-19 Laget: 2023-06-15 Sist oppdatert: 2023-06-19bibliografisk kontrollert

Open Access i DiVA

fulltext(2716 kB)443 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 2716 kBChecksum SHA-512
b4949aa13ce906b87afe253e05a158ec85edeaefb6495517eced2ef7c7170e10ed83e621f9ab4ced10aa739e3596b5cceb8d34282edbabb82c5c97b123c5a743
Type fulltextMimetype application/pdf

Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 443 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

urn-nbn

Altmetric

urn-nbn
Totalt: 388 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf