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Pension fund management, investment performance, and herding in the context of regulatory changes : new evidence from the Polish pension system

Dopierała, Łukasz; Mosionek-Schweda, Magdalena - In: Risks : open access journal 9 (2021) 1/6, pp. 1-19

management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations …

Persistent link: https://www.econbiz.de/10012422900

COVID-19 pandemic and investor herding in international stock markets

Bouri, Elie; Demirer, Rıza; Gupta, Rangan; Nel, Jacobus - In: Risks : open access journal 9 (2021) 9, pp. 1-11

The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior … diseases, we examine the association between pandemic-induced market uncertainty and herding behavior in a set of 49 global … models. Utilizing a time-varying variation of the static herding model, we first identify periods during which herding is …

Persistent link: https://www.econbiz.de/10012632020

Investors' trading activity and information asymmetry : evidence from the Romanian stock market

Kampe, Cristina - In: Risks : open access journal 9 (2021) 8, pp. 1-19

This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004-2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years...

Persistent link: https://www.econbiz.de/10012612399

Custom v. standardized risk models

Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138

artificial and insufficiently granular; (4) normalization of style risk factors is lost for the trading universe; (5 …

Persistent link: https://www.econbiz.de/10011299524

US equity mean-reversion examined

Liew, Jim; Roberts, Ryan - In: Risks : open access journal 1 (2013) 3, pp. 162-175

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761-782) within the Black and Litterman framework (BL; J. Fixed Income,...

Persistent link: https://www.econbiz.de/10010338334

A study on global investors’ criteria for investment in the local currency bond markets using AHP methods : the case of the Republic of Korea

Jang, Jae Young; Park, Min Jae - In: Risks : open access journal 7 (2019) 4/101, pp. 1-20

Global investors' investment in local currency bonds, especially Korea Treasury Bonds, has increased significantly since the mid-2000s, and their influence on bonds and financial markets has grown consistently. In this paper, we investigate global investor's priority of decision factors in...

Persistent link: https://www.econbiz.de/10012128028

Measuring equity share related risk perception of investors in economically backward regions

Singh, Ranjit; Bhattacharjee, Jayashree - In: Risks : open access journal 7 (2019) 1/12, pp. 1-20

Risk perception is an idiosyncratic process of interpretation. It is a highly personal process of making a decision based on an individual’s frame of reference that has evolved over time. The purpose of this paper is to find out the risk perception level of equity investors and to identify the...

Persistent link: https://www.econbiz.de/10012018617

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Improving on defaults : helping pension participants manage financial market risk in target date funds

Turner, John A.; Klein, Bruce W. - In: Risks : open access journal 9 (2021) 4, pp. 1-14

The central issue of this paper is analysis and resulting proposals to help unsophisticated pension participants achieve pension portfolios that match their level of risk aversion when there is a large amount of unexplained heterogeneity in risk aversion. Target date funds are commonly used as...

Persistent link: https://www.econbiz.de/10012508770

Chain reaction of behavioral bias and risky investment decision in Indonesian nascent investors

Parmitasari, Rika Dwi Ayu; Syariati, Alim; Sumarlin, … - In: Risks : open access journal 10 (2022) 8, pp. 1-15

Early investors possess unique sets of decision-making characteristics. They are more open to experience and eager to face risks. However, to the best of the authors’ knowledge, the discussions of nascent investors upon making the investment decision and its eroding biases were still elusive....

Persistent link: https://www.econbiz.de/10013368488

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