I urval från Stockholms universitets publikationsdatabas

• Essays on Risks in Investment Strategies

  2020. Ian Khrashchevskyi.

  Avhandling (Dok)

  This dissertation contains three articles, which investigate different types of risks investors encounter during the investment process.

  Article I investigates the relation between macroeconomic risk and higher-moment moment risk premia. This article uses the existing methodology on higher-moment swaps to estimate variance and skewness swaps and develops new methodology for kurtosis swaps. The expected excess returns on such swaps are interpreted as higher-moment risk premia. The findings suggest that macroeconomic risk is relevant for higher-moment risk premia and that higher-moment swaps are good candidates for hedging macroeconomic risk.

  Article II investigates the hedging and safe haven properties of gold and US Treasury bonds for different investment styles. The results show that hedging and safe haven properties depend on investment styles and change over time. US Treasury bonds exhibit more stable hedge properties than gold over time and should therefore be preferred by investors who hold market portfolios. The main lesson of the article is that investment style should be taken into consideration while formulating appropriate risk management and diversification strategies.

  Article III investigates how attention to different types of information are related to retail investors' portfolio performance. The findings suggest that paying attention has a differential impact on performance depending on the type of information. Portfolio monitoring and attention to financial education are positively related to performance, while attention to analytical information is detrimental to performance. The attention to technical analysis is negatively related to performance of actively trading investors, but improves the performance of less frequent traders.

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• Hedge and safe haven investing with investment styles

  2019. Ai Jun Hou, Ian Khrashchevskyi, Jarkko Peltomäki. Journal of Asset Management 20 (5), 351-364

  Artikel

  In this paper, we investigate the role of style investing in determining hedging and safe haven assets using gold and US Treasury bonds as hedging and safe haven assets. We expect that the hedging and safe haven effects of these assets are specific to investment styles. Our results suggest that the choice of investment style is especially meaningful with regard to US Treasury bonds as a hedge. The lesson of our study is that the investment style should be taken into consideration when formulating appropriate risk management and diversification strategies to provide protection against downside risk.

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• Investor attention and portfolio performance: what information does it pay to pay attention to?

  2021. Denis Davydov, Ian Khrashchevskyi, Jarkko Peltomäki. European Journal of Finance 27 (17), 1740-1764

  Artikel

  We explore a unique dataset on individual investors' online trading accounts to examine the determinants of their attention and its relation to portfolio performance. In particular, we investigate what individual characteristics affect investor attention and what type of information drives investment performance. We find distinct differences in investors' attention and provide evidence that paying attention has a differential impact on performance depending on the type of information. Portfolio monitoring and attention to financial education are positively related to performance, while attention to analytical information is detrimental to performance. Attention to technical analysis is negatively related to the performance of actively trading investors but improves the performance of less frequent traders. Overall, our results provide additional evidence to the suggestion that attention to financial education is the key to investment success.

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