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SOME TECHNICAL ANALYSIS ON THE STOCK MARKET: SPAIN AND USA

Rubio, Fernando - EconWPA - 2004

The model of Technical Analysis goes against the fulfillment of the weak form of the Hypothesis of Efficient Market raised by Fama (1970). Nevertheless, recently some studies provide evidence with probable prediction of the expected returns based on the past returns. In particular, the...

Persistent link: https://www.econbiz.de/10005134953

Analysis of UAE Bank Stocks

Rao, Ananth - EconWPA - 2003

Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity …, establishing a value for the firm etc. The present paper analyses stocks of six commercial banks (viz., Dubai Commercial Bank … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …

Persistent link: https://www.econbiz.de/10005413135

SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS

NWAOBI, GODWIN - EconWPA - 2005

The need to develop securities market has, following the recent international financial crises, increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong interest in ensuring the stable growth of...

Persistent link: https://www.econbiz.de/10005561601

An Analysis of Hedge Fund Performance

Capocci, Daniel - EconWPA - 2002

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...

Persistent link: https://www.econbiz.de/10005134782

Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach

Olszewski, Yan - EconWPA - 2005

Markowitz’s (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework. With the emergence of hedge funds and their...

Persistent link: https://www.econbiz.de/10005134811

Hedge Fund Performance and Persistence in Bull and Bear Markets

Daniel, Capocci; Albert, Corhay; Georges, Hübner - EconWPA - 2004

Hedge Fund Performance and Persistence in Bull and Bear Markets DANIEL P.J. CAPOCCI University of Liege - Economics, Business Administration and Social Sciences A. CORHAY University of Liege - Department of Financial Management; University of Maastricht (formerly University of Limburg) -...

Persistent link: https://www.econbiz.de/10005134919

Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations

Blum, Peter; Dacorogna, Michel; Jaeger, Lars - EconWPA - 2003

Hedge funds are said to be rewarding investments because they have favourable risk-return characteristics on a standalone basis, and because they offer valuable diversification with respect to traditional stock and bond markets. On the other hand, hedge fund returns have a number of...

Persistent link: https://www.econbiz.de/10005412560

Entry & Exit: The Lifecyle of a Hedge Fund

Gimbel, Thomas; Gupta, Francis; Pines, Dan - EconWPA - 2004

Using data from the TASS/Tremont hedge fund database, this article performs an empirical analysis of the evolution of the hedge fund industry within an industrial organization framework.

Persistent link: https://www.econbiz.de/10005561436