The College of Administration and Economics at the University of Baghdad discussed, a PhD dissertation in field of Business Administration by the student (Hasanain Faisal Hasan) and tagged with (Hedging an Efficient Portfolio against Inflation Risk A Proposed Design with an Empirical Evidence from Iraq Stock Exchange) , Under supervision of ( Prof. Dr. Mustafa Muneer Isma’eel )
This research aims to hedge the efficient portfolio of the investor against the expected inflation risk and to evaluate the extent of improvement in the quality of its performance. The research has adopted the descriptive analytical method. It has applied to an intentional sample of companies whose shares traded in the Iraq Stock Exchange, consisting of (37) companies, with (120) monthly observations for each company, from 2012-2021. The simple ranking model of Elton et al. (1978) has been used to build the nominal efficient portfolio, and the inflation-adjusted model (the two-factor model) of the researchers Chen and Moore (1985) to hedge a portfolio against expected and unexpected inflation risk. The Sharpe, Treynor, Jensen, and M2 models have been used to evaluate the quality of portfolio performance. The research has reached several results. The most important of which is the presence of a big difference in the components of the efficient hedged portfolios compared to the nominal unhedged portfolio in terms of the number of shares included and the nature of the companies whose shares entered into the portfolio in addition to the presence of a big difference in the amounts of investment weights among these portfolios. The results of the analysis also have shown a significant improvement in the quality of the performance of the hedged efficient portfolios against the risk of expected and unexpected inflation compared to the nominal portfolio that is not hedged. The originality of the research and its scientific value lies in the fact that it was associated with adopting the inflation-adjusted model in hedging the efficient portfolio of investors against the inflation risk. In addition, it is the first knowledge contribution with empirical evidence about the efficient investment portfolio’s hedging against that risk in the Iraq Stock Exchange.
