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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548
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Portfolio Diversification using Cryptocurrency
S, Padmavarthini - 2021
This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...
Persistent link: https://www.econbiz.de/10013235837
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Replication in Financial Economics
Harvey, Campbell R. - 2019
The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...
Persistent link: https://www.econbiz.de/10012867841
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Oil assets and portfolio diversification : firm-level analysis for Borsa Istanbul
Mandacı, Pınar Evrım; Kırkpınar, Ayşegül - In: Borsa Istanbul Review 22 (2022) 3, pp. 571-585
In this paper, we investigate volatility spillovers between oil prices and the stock prices of the companies listed in Borsa Istanbul. We employ the dynamic conditional correlation (DCC) and Baba, Engle, Kraft, and Kroner (BEKK) GARCH models using daily data for the period between June 22, 2015,...
Persistent link: https://www.econbiz.de/10013334792
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An Alternative Option to Portfolio Rebalancing
Israelov, Roni - 2017
We explore the use of an option selling overlay to improve portfolio rebalancing. Within a multi-asset class portfolio, portfolio weights deviate from targets as asset values fluctuate. Investors typically use a rebalancing process to bring portfolio weights back to their desired strategic...
Persistent link: https://www.econbiz.de/10012944574
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Equity Duration : Theoretical and Practical Analysis
Montagna, Dennis Marco; Bianchi, Luca - 2022
Duration is an important parameter used by investors to choose between different investment opportunities in financial … economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is … provide a first complete overview of Equity Duration, calculating and comparing different types, investigating the changes in …
Persistent link: https://www.econbiz.de/10014239113
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Liquidity as an Investment Style
Chen, Zhiwu - 2010
We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant investment style that is distinct from traditional investment styles such as size, value/growth, and momentum. We then introduce and examine the performance of several portfolio...
Persistent link: https://www.econbiz.de/10013138291
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Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes
van der Wel, Michel - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10013159473
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Are market makers uninformed and passive? : Signing trades in the absence of quotes
Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009
We develop a new likelihood-based approach to signing trades in the absence of quotes. This approach is equally efficient as the existing Markov-chain Monte Carlo methods, but more than ten times faster. It can address the occurrence of multiple trades at the same time and allows for analysis of...
Persistent link: https://www.econbiz.de/10003947711
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Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19
Arif, Muhammad; Naeem, Muhammad Abubakr; Farid, Saqib; … - 2021
Against the backdrop of the Covid-19 pandemic, this study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We use the cross-quantilogram approach that provides a better understanding of the dynamic relationship...
Persistent link: https://www.econbiz.de/10013247578