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Type: Journal article
Title: Risk-on risk-off: implications for investors in the Australian stock and bond markets
Author: Haque, T.
Citation: JASSA, 2013; 4(4):47-52
Publisher: Securities Institute of Australia
Issue Date: 2013
ISSN: 0313-5934
Statement of
Tariq Haque
Abstract: 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.
Rights: Copyright status unknown
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