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European Financial Management | 2009

Do inflation-linked bonds still diversify?

Marie Brière; Ombretta Signori

The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a DCC-MVGARCH for the period 1997-2007, we highlight the change that took place in 2003. Although IL bonds once had definite diversification power, they are now highly correlated with nominal bonds and have reached similar volatility levels. As a result, the two asset classes are practically substitutable. This seems to be due to more stable inflation expectations and to a more liquid IL bond market. Although diversification was a valuable reason for introducing IL bonds in a global portfolio before 2003, this is no longer the case. Dynamic portfolio optimisation using our estimates of conditional correlations and volatilities clearly demonstrates that the optimal weight of IL bonds in a portfolio decreased sharply in 2003 in favour of nominal bonds and equities.


National Bureau of Economic Research | 2011

Inflation and Individual Equities

Andrew Ang; Marie Brière; Ombretta Signori

We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than stocks with low inflation betas and tend to be drawn from the Oil and Gas and Technology sectors. However, we show that the time variation of stock inflation betas is substantial. This makes it difficult to construct portfolios of stocks that are good inflation hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios constructed from high-paying dividend stocks.


Economics Papers from University Paris Dauphine | 2011

Hedging Inflation Risk in a Developing Economy

Marie Brière; Ombretta Signori

Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a vector-autoregressive specification to model inter-temporal dependency across variables, we measure the inflation hedging properties of domestic and foreign investments and carry out a portfolio optimisation. Our results show that foreign currencies complement traditional assets very efficiently when hedging a portfolio against inflation : around 70% of the portfolio should be dedicated to domestic assets (equities, inflation-linked (IL) bonds and nominal bonds), whereas 30% should be invested in foreign currencies, especially the US dollar and the euro.


BIS Papers chapters | 2010

Inflation hedging portfolios in different regimes

Marie Brière; Ombretta Signori


Economics Papers from University Paris Dauphine | 2011

Volatility Strategies for Global and Country Specific European Investors

Marie Brière; Jean-David Fermanian; Hassan Malongo; Ombretta Signori


Economics Papers from University Paris Dauphine | 2011

Inflation-Hedging Portfolios: Economic Regimes Matter

Ombretta Signori; Marie Brière


Economics Papers from University Paris Dauphine | 2009

Volatility as an Asset Class for Long-Term Investors

Marie Brière; Alexander Burgues; Ombretta Signori


ULB Institutional Repository | 2013

Hedging inflation risk in a developing economy: The case of Brazil

Marie Brière; Ombretta Signori


ULB Institutional Repository | 2012

Inflation-hedging portfolios: Economic regimes matter

Marie Brière; Ombretta Signori


Economics Papers from University Paris Dauphine | 2012

Rehabilitating the Role of Active Management for Pension Funds

Michel Aglietta; Marie Brière; Sandra Rigot; Ombretta Signori

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Marie Brière

Université libre de Bruxelles

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