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False discoveries in volatility timing of mutual funds

Kim, Sangbae; In, Francis - In: Journal of Banking & Finance 36 (2012) 7, pp. 2083-2094

, we find that the performance measures for an equally weighted portfolio of procyclical timing funds are greater than for …

Persistent link: https://www.econbiz.de/10010574838

Too close for comfort? Geographic propinquity to political power and stock returns

Pantzalis, Christos; Park, Jung Chul - In: Journal of Banking & Finance 48 (2014) C, pp. 57-78

We show that firm headquarters’ geographic proximity to political power centers (state capitals) is associated with higher abnormal returns. Consistent with the notion that this effect is rooted in social network links, we find it is more pronounced in communities with high levels of...

Persistent link: https://www.econbiz.de/10011077990

Commonality in hedge fund returns: Driving factors and implications

Bussière, Matthieu; Hoerova, Marie; Klaus, Benjamin - In: Journal of Banking & Finance 54 (2015) C, pp. 266-280

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

Persistent link: https://www.econbiz.de/10011264657

The prediction of fund failure through performance diagnostics

Cogneau, Philippe; Hübner, Georges - In: Journal of Banking & Finance 50 (2015) C, pp. 224-241

performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and …. Survivorship predictability has significant economic value. Such evidence suggests that past performance does not only influence … investors’ perception of fund quality, but also reflects managers’ ability to sustain performance. …

Persistent link: https://www.econbiz.de/10011118054

Retail clientele and option returns

Choy, Siu-Kai - In: Journal of Banking & Finance 51 (2015) C, pp. 26-42

Does the retail clientele matter for option returns? By delta-hedging options and trading straddles, thus allowing a focus on volatility, this paper empirically shows that a higher retail trading proportion (RTP) is related to lower option returns. Long-short portfolios involving options on low...

Persistent link: https://www.econbiz.de/10011194178

Does gold offer a better protection against losses in sovereign debt bonds than other metals?

Agyei-Ampomah, Sam; Gounopoulos, Dimitrios; Mazouz, Khelifa - In: Journal of Banking & Finance 40 (2014) C, pp. 507-521

It is a commonly held view that gold protects investors’ wealth in the event of negative economic conditions. In this study, we test whether other metals offer similar or better investment opportunities in periods of market turmoil. Using a sample of 13 sovereign bonds, we show that other...

Persistent link: https://www.econbiz.de/10010738274

A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns

Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D. - In: Journal of Banking & Finance 36 (2012) 4, pp. 934-956

In questioning Kamstra, Kramer, and Levi’s (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises...

Persistent link: https://www.econbiz.de/10011065668

Modeling and monitoring risk acceptability in markets: The case of the credit default swap market

Madan, Dilip B. - In: Journal of Banking & Finance 47 (2014) C, pp. 63-73

Minimal discounted distorted expectations across a range of stress levels are employed to model risk acceptability in markets. Interactions between discounting and stress levels used in measure changes are accommodated by lowering discount rates for the higher stress levels. Acceptability...

Persistent link: https://www.econbiz.de/10010931658

Trading frequency and volatility clustering

Xue, Yi; Gençay, Ramazan - In: Journal of Banking & Finance 36 (2012) 3, pp. 760-773

Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model that is able to generate volatility clustering with hyperbolically decaying...

Persistent link: https://www.econbiz.de/10010577963

A decision-theoretic foundation for reward-to-risk performance measures

Schuhmacher, Frank; Eling, Martin - In: Journal of Banking & Finance 36 (2012) 7, pp. 2077-2082

In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio …, Sortino–Satchell ratio, Farinelli–Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio …, Rachev ratio, generalized Rachev ratio), and other admissible performance measures are a strictly increasing function in the …

Persistent link: https://www.econbiz.de/10010577987