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The underlying return-generating factors for REIT returns : an application of independent component analysis

Lizieri, Colin; Satchell, Stephen; Zhang, Qi - In: Real estate economics : journal of the American Real … 35 (2007) 4, pp. 569-598

Persistent link: https://www.econbiz.de/10003640860

Estimating banks' equity duration : a panel cointegration approach

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 18 (2008) 13/15, pp. 1173-1180

Persistent link: https://www.econbiz.de/10003760234

Institutional flows and equity style diversification

Gallo, John Gregory; Phengpis, Chanwit; Swanson, Peggy … - In: Applied financial economics 18 (2008) 16/18, pp. 1441-1450

Persistent link: https://www.econbiz.de/10003779553

A study of the predictve performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange : sensitivity analysis and impli...

Milionis, Alexandros E.; Papanagiotou, Evangelia - In: Applied financial economics 19 (2009) 13/15, pp. 1171-1186

This work examines the variation of the simple Moving Average (MA) trading rule performance as a function of the MA length in New York Stock Exchange (NYSE), Athens Stock Exchange (ASE) and Vienna Stock Exchange (VSE) using daily data from May 1993 to April 2005. Results show that changes of the...

Persistent link: https://www.econbiz.de/10003886017

The disappearance of style in the US equity market

Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 17 (2007) 7/9, pp. 597-613

Persistent link: https://www.econbiz.de/10003491204

Trading foreign exchange portfolios with volatility filters : the carry model revisited

Dunis, Christian; Miao, Jia - In: Applied financial economics 17 (2007) 1/3, pp. 249-255

Persistent link: https://www.econbiz.de/10003427070

Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios

Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1073

Persistent link: https://www.econbiz.de/10003377864

A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?

Guidolin, Massimo; Rinaldi, Francesca - In: Applied financial economics 20 (2010) 1/3, pp. 105-135

The 2007-2008 financial crisis has made it painfully obvious that markets may quickly turn illiquid. Moreover, recent experience has shown that distress and lack of active trading can jump 'around' between seemingly unconnected parts of the financial system contributing to transforming isolated...

Persistent link: https://www.econbiz.de/10003935981

Real estate in an ALM framework : the case of fair value accounting

Brounen, Dirk; Porras Prado, Melissa; Verbeek, Marno - In: Real estate economics : journal of the American Real … 38 (2010) 4, pp. 775-804

Persistent link: https://www.econbiz.de/10008810572

Portfolio performance : factors or benchmarks?

Matallin-Saez, Juan C. - In: Applied financial economics 17 (2007) 13/15, pp. 1167-1178

Persistent link: https://www.econbiz.de/10003590565