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Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Data-snooping, technical trading rule performance, and the bootstrap

Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1647-1691

Persistent link: https://www.econbiz.de/10001430863

Stress testing German banks against a global cost-of-capital shock

Düllmann, Klaus; Kick, Thomas - 2012

with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks’ internal estimates of default probabilities … probabilities of default has a significant impact on the outcome of the stress test. -- Asset correlation ; portfolio credit risk …

Persistent link: https://www.econbiz.de/10009509091

Be greedy when others are fearful : evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes

Day, Min-Yuh; Ni, Yensen - In: International review of financial analysis 90 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014468853

Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes

Hodoshima, Jiro; Yamawake, Toshiyuki - In: International review of financial analysis 83 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013454995

The performance effects of composition changes on sector specific stock indices : the case of European listed real estate

Brooks, Chris; Kappou, Konstantina; Stevenson, Simon; … - In: International review of financial analysis 29 (2013), pp. 132-142

Persistent link: https://www.econbiz.de/10010244117

U.S. monetary policy indicators and international stock returns : 1970 - 2001

Mann, Thomas; Atra, Robert J.; Dowen, Richard J. - In: International review of financial analysis 13 (2004) 4, pp. 543-558

Persistent link: https://www.econbiz.de/10002224949

Return differences between DAX ETFs and the benchmark DAX

Schmidhammer, Christoph - 2021

For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...

Persistent link: https://www.econbiz.de/10012607112

Harnessing the power of real-time forum opinion : unveiling its impact on stock market dynamics using intraday high-frequency data in China

Tang, Zhenpeng; Lin, Qiaofeng; Cai, Yi; Chen, Kaijie; … - In: International review of financial analysis 93 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014543482

Estimating portfolio and consumption choice : a conditional Euler equations approach

Brandt, Michael W. - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1609-1645

Persistent link: https://www.econbiz.de/10001430862

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