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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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Predicting returns of equity mutual funds
Stotz, Olaf - In: The journal of asset management 10 (2009/10) 3, pp. 158-169
Persistent link: https://www.econbiz.de/10003884648
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Sector-specific optimum asset allocation : an example for non-life insurers
Curtillet, Jean-Christophe; Dieudonné, Mathieu - In: The journal of asset management 7 (2007) 6, pp. 404-411
Persistent link: https://www.econbiz.de/10003439382
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Time-varying risk and return characteristics of US and European bond markets: implications for efficient portfolio allocation
Young, Philip J.; Payne, Thomas H.; Johnson, Robert R. - In: The journal of asset management 8 (2007/08) 5, pp. 337-350
Persistent link: https://www.econbiz.de/10003621352
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Markov-switching asset allocation : do profitable strategies exist?
Bulla, Jan; Mergner, Sascha; Bulla, Ingo; Sesboüé, André - In: The journal of asset management 12 (2011) 5, pp. 310-321
Persistent link: https://www.econbiz.de/10009377004
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Investment choice and performance potential in the mutual fund industry
Adams, Zeno; Füss, Roland; Wohlschiess, Volker - In: The journal of asset management 13 (2012) 2, pp. 84-101
Persistent link: https://www.econbiz.de/10009550617
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The perils of performance measurement in the German mutual-fund industry
Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013
We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany … results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs …
Persistent link: https://www.econbiz.de/10009751161
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Liquidity and conditional market returns : evidence from German exchange traded funds
Czauderna, Katrin; Riedel, Christoph; Wagner, Niklas F. - In: Economic modelling 51 (2015), pp. 454-459
Persistent link: https://www.econbiz.de/10011476124
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Forecasting index changes in the German DAX family
Franz, Friedrich-Carl - In: The journal of asset management 21 (2020) 2, pp. 135-153
Persistent link: https://www.econbiz.de/10012292758
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Nepotism in IPOs : consequences for issuers and investors
Degeorge, François; Pratobevera, Giuseppe - 2020
Potential conflicts of interest arise when IPO underwriters allocate IPO shares to their affiliated funds. We hypothesize that such nepotism incentives affect IPO pricing. Using a novel hand-collected dataset, we find support for this hypothesis in a regression discontinuity design (RDD): a one...
Persistent link: https://www.econbiz.de/10012271189