Similar Search Results

The investment performance of ethical equity funds in Malaysia

Fadillah Mansor; Bhatti, Muhammad Ishaq; Rahman, Shafiqur; … - In: Journal of risk and financial management : JRFM 13 (2020) 9/219, pp. 1-14

This paper investigates the investment performance of Malaysian Islamic equity funds and a matching sample of conventional equity funds relative to their market benchmark. An integrated model is used to simultaneously capture the market timing and selectivity skills of fund managers. Our...

Persistent link: https://www.econbiz.de/10012384341

Survey of green bond pricing and investment performance

Liaw, Kwoloong Thomas - In: Journal of risk and financial management : JRFM 13 (2020) 9/193, pp. 1-12

issuers. Our survey of academic literature indicates that most papers show the yield of a green bond is lower than that of the … equivalent conventional bond at issuance (also known as green premium or greenium). However, green bond pricing studies by … selections, time periods, methodologies, and the properties of the respective issuing entity and the bond. In addition, we …

Persistent link: https://www.econbiz.de/10012385434

Gamesmanship and seasonality in U.S. stock returns

Ackert, Lucy F.; Athanassakos, George - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-11

We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fund managers are prone to gamesmanship, putting...

Persistent link: https://www.econbiz.de/10012534530

Developing an impact-focused typology of socially responsible fund providers

Diener, Joel; Habisch, André - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-18

The concept of investor impact of socially responsible investments is relatively new. Our article expands knowledge in this field by analyzing how investor impact is implemented in the ethical investment policies of 45 providers of publicly traded, socially responsible funds. Based on a...

Persistent link: https://www.econbiz.de/10013370361

Institutional investors' distraction and executive compensation stickiness based on multiple regression analysis

Hong, Yizhao; Cao, Chongyan - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-21

Based on the impact of industry extreme return on the attention of institutional investors, taking Chinese A-share listed companies from 2011 to 2020 as a sample, this paper empirically tests the relationship between institutional investors’ distraction and executive compensation stickiness...

Persistent link: https://www.econbiz.de/10014305662

Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches

Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...

Persistent link: https://www.econbiz.de/10011556251

A wavelet-based analysis of the co-movement between sukuk bonds and Shariah stock indices in the GCC region : implications for risk diversification

Nasreen, Samia; Naqvi, Syed Asif Ali; Tiwari, Aviral Kumar - In: Journal of risk and financial management : JRFM 13 (2020) 4/63, pp. 1-21

to 15 May 2017. The empirical findings demonstrate a strong correlation between these GCC sukuk bond indices and shariah … shariah stock markets are highly integrated across time and scale. Furthermore, the value at risk (VaR) for the sukuk bond … are variable with respect to time or scale (time diversification). Overall, analyzing the sukuk bond–shariah stock index …

Persistent link: https://www.econbiz.de/10012302496

Extreme connectedness between green bonds, government bonds, corporate bonds and other asset classes : insights for portfolio investors

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-17

economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other ….S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 … Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 observations, and using Composite Index as a …

Persistent link: https://www.econbiz.de/10013471139

Investor sentiment, portfolio returns, and macroeconomic variables

Banchit, Azilawati; Abidin, Sazali; Lim, Sophyafadeth; … - In: Journal of risk and financial management : JRFM 13 (2020) 11/259, pp. 1-14

Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the...

Persistent link: https://www.econbiz.de/10012389848

Algorithm aversion as an obstacle in the establishment of Robo advisors

Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

Within the framework of a laboratory experiment, we examine to what extent algorithm aversion acts as an obstacle in the establishment of robo advisors. The subjects had to complete diversification tasks. They could either do this themselves or they could delegate them to a robo advisor. The...

Persistent link: https://www.econbiz.de/10013380483

1
2
3
4
5
6
7
8
9
10
Next
Last