Narrow search
Showing 1 - 10 of 296
Cover Image
CORTE TRANSVERSAL DE LOS RETORNOS ESPERADOS EN EL MERCADO ACCIONARIO CHILENO
Rubio, Fernando - EconWPA - 2004
La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el...
Persistent link: https://www.econbiz.de/10005076996
Cover Image
EFICIENCIA SIMPLE DEL MERCADO DE RENTA FIJA EN CHILE
Rubio, Fernando - EconWPA - 2004
Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir...
Persistent link: https://www.econbiz.de/10005134666
Cover Image
Efficiency tests in the Iberian stock markets
Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004
This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...
Persistent link: https://www.econbiz.de/10005134722
Cover Image
TECHNICAL ANALYSIS ON FOREIGN EXCHANGE: 1975 - 2004
Rubio, Fernando - EconWPA - 2004
that these excess returns are compensation for bearing excessive risk. However, the most of these strategies require too …
Persistent link: https://www.econbiz.de/10005134787
Cover Image
SIMPLE TRADING RULES: TRADING ON IBEX AT MEFF
Rubio, Fernando - EconWPA - 2004
Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF was available on April 20th, 1992 till March 31st, 2000. The analyses are: calendar anomalies and technical indicators based on moving averages. In an informal test, results are...
Persistent link: https://www.econbiz.de/10005134879
Cover Image
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
Cover Image
The Interaction between Technical Currency Trading and Exchange Rate Fluctuations
Schulmeister, Stephan - EconWPA - 2005
This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of...
Persistent link: https://www.econbiz.de/10005561584
Cover Image
The Contagion Effect of the Terrorist Attacks of the 11th of September
Leitao, Joao; Oliveira, Cristovao - EconWPA - 2005
In the context of interdependence of the financial markets, it becomes interesting to analyze the implications associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion mechanisms between the main international stock exchanges....
Persistent link: https://www.econbiz.de/10005076942
Cover Image
Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios …' ex- ante forecast performances indicates that the random-walk process in connection with the Kalman filter is the … preferred model to describe and forecast the time-varying behavior of sector betas in a European context. …
Persistent link: https://www.econbiz.de/10005076972
Cover Image
Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha; Bulla, Jan - EconWPA - 2005
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European sectors. Using weekly … different models' ex-ante forecast performances indicates that the random walk process in connection with the Kalman filter is … the preferred model to describe and forecast the time-varying behavior of sector betas in a European context. Remarkably …
Persistent link: https://www.econbiz.de/10005077020