Similar Search Results

Geopolitical risk and cross-border portfolio flows : effects and Channels

Caporale, Guglielmo Maria; Ali, Faek Menla - 2024

This paper analyses the short- and long-term effects of geopolitical uncertainty on cross-border portfolio flows between the US and 41 developed and emerging economies over the period January 1992-November 2022. We find that geopolitical uncertainty decreases equity inflows from other countries...

Persistent link: https://www.econbiz.de/10015065292

Cash-Flow Timing vs. Discount-Rate Timing : An Examination of Mutual Fund Market-Timing Skills

Lan, Chunhua - 2019

We measure the ability of professional investment managers in timing cashflow vs. discount-rate news, the two … components of market returns. We find that the average U.S. equity mutual fund exhibits cashflow-timing skills of 2.12/year, but … discount-rate timing of -0.84/year; further, cashflow-timing skills (but not discount-rate timing skills) strongly persist over …

Persistent link: https://www.econbiz.de/10012903952

Long-term price overreactions : are markets inefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

Persistent link: https://www.econbiz.de/10010520828

Mutual fund investment horizon and performance

Lan, Chunhua; Moneta, Fabio; Wermers, Russ - 2015

This paper proposes several new holdings-based measures of fund investment horizon, and examines the relation between manager skills and fund holding horizon. We find that both aggregate holdings and trades of long-horizon funds are informative about superior future long-term stock returns,...

Persistent link: https://www.econbiz.de/10011307799

Long-term price overreactions : are markets enefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10010467097

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10010431281

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

Persistent link: https://www.econbiz.de/10010431600

Short-term price overreaction : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

Persistent link: https://www.econbiz.de/10010438074

Uncommon Value : The Characteristics and Investment Performance of Contrarian Funds

Wei, Kelsey D. - 2012

Theories of herding behavior predict that only investors with sufficiently precise private information or those most overconfident will deviate from the crowd. Using portfolio holdings, this paper identifies contrarian funds as those pursuing distinctive investment strategies, i.e., as those...

Persistent link: https://www.econbiz.de/10013107486

Gold and Oil Prices : Abnormal Returns, Momentum and Contrarian Effects

Caporale, Guglielmo Maria - 2020

This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the following hypotheses are tested: H1) there are...

Persistent link: https://www.econbiz.de/10012827113