Search Results - subject:"style analysis"

Return-based Style Analysis in Australian Funds

Faff, Robert; Nguyen, Annette; Ip, Bonnie H.I.; … - In: Multinational Finance Journal 16 (2012) 3-4, pp. 155-188

This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to … compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window …

Persistent link: https://www.econbiz.de/10010934073

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

Islamic asset management

Gianfranco, Forte; Marco, Mauri; Federica, Miglietta - In: Banca Impresa Società (2011) 2, pp. 261-296

that the industry is facing to reach a more mature stage of development. We will also consider an indices style analysis to …

Persistent link: https://www.econbiz.de/10011157720

Capturing short-term and long-term alpha of global bond portfolios : evidence from EUR-investors' perspective

Konstantinov, Gueorgui - In: Financial markets and portfolio management 30 (2016) 3, pp. 337-365

Persistent link: https://www.econbiz.de/10011557669

Do liquidity and idiosyncratic risk matter? : evidence from the European mutual fund market

Vidal-García, Javier; Vidal, Marta; Nguyen, Duc Khuong - In: Review of quantitative finance and accounting 47 (2016) 2, pp. 213-247

Persistent link: https://www.econbiz.de/10011595580

Return Attribution Analysis of the UK Insurance Portfolios

emmanuel, mamatzakis; george, christodoulakis - Volkswirtschaftliche Fakultät, … - 2010

realized and expected losses and expenses, their uncertainty and market power, using the Sharpe (1988, 1992) Style Analysis …

Persistent link: https://www.econbiz.de/10008468151

A tale of feedback trading by hedge funds

Schauten, Maximilien Bernard Joseph; Willemstein, Robin; … - In: Journal of empirical finance 34 (2015), pp. 239-259

Persistent link: https://www.econbiz.de/10011557138

Return-based classification of absolute ruturn funds

Gerlach, Philipp; Maurer, Raimond - In: The journal of asset management 16 (2015) 2, pp. 117-130

Persistent link: https://www.econbiz.de/10011411953

Predicting Stock Returns in a Cross-Section : Do Individual Firm Characteristics Matter ?.

Shapovalova, Kateryna; Subbotin, Alexander - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

It is a common wisdom that individual stocks' returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are...

Persistent link: https://www.econbiz.de/10004999113

Predicting Stock Returns in a Cross-Section : Do Individual Firm chatacteristics Matter ?

Shapovalova, Kateryna; Subbotin, Alexander - HAL - 2009

Persistent link: https://www.econbiz.de/10010738511