Can Investment in Microfinance Funds Improve Risk-Return Characteristics of a Portfolio?

Abstract

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 emerging economies 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 and Jensen`s alpha are confirmed by mean-variance spanning test too. We showthat the socially responsible investors may invest into microfinance without sacrifice with respect to pure financial indicators.

Fourier Analysis for Stock Price Forecasting: Assumption and Evidence

“…According to this theory, the "Trend Stabilizer" feedback prolongs the trends on average, and the "Price Inertia Feedback" forces the price towards the price level, which is given for example by the important economic news. Further momentum studies are provided by Pesaran and Timmermann (1995), Chan et al (1996), Divis and Teply (2005), Chang et al (2010), Stankevičienė and Gembickaja (2012), Janda and Svárovská (2013), Janda et al (2014), Barak et al (2015). Momentum and level trading methods are currently used in high frequency (HTF) algorithmic methods.…”

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Complex Model of Market Price Development and Its Simulation

“…Cernohorska et al (2012) constructed a new market liquidity index based on the calculation of using traditional indicators of market depth, resiliency, tightness, volatility and liquidity for money, foreign exchange, bond and stock markets. Janda and Svárovská (2013) and Janda et al (2014) investigated microfinance investment funds and found that in time, these funds provided modest but stable returns compared to benchmark market indices. Primbs and Rathinam (2009) modelled extraneous, value, momentum and hedge traders and explored the effects these trading strategies may have on price dynamics.…”

Impact of global financial crunch on financially innovative microfinance institutions in South Asia

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