Narrow search
Showing 1 - 10 of 344
Cover Image
Size, value, and momentum in emerging market stock returns
Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65
Persistent link: https://www.econbiz.de/10010243168
Cover Image
Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions
Fabozzi, Frank J. - 2019
Monthly returns are used to estimate the single-index market model (SIMM). Binary variables are used to determine if the alpha intercept and beta slope coefficients are stable through alternating bull markets and bear markets. The results suggest that some investment analysts have fallen into...
Persistent link: https://www.econbiz.de/10012904378
Cover Image
Equity style allocation : a nonparametric approach
Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164
Persistent link: https://www.econbiz.de/10011485142
Cover Image
Can we predict stock market crashes?
Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195
Persistent link: https://www.econbiz.de/10011509826
Cover Image
Sin stock returns
Fabozzi, Frank J.; Ma, K. C.; Oliphant, Becky J. - In: The journal of portfolio management : a publication of … 35 (2008/09) 1, pp. 82-94
Persistent link: https://www.econbiz.de/10009520480
Cover Image
Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii …) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …
Persistent link: https://www.econbiz.de/10012842392
Cover Image
Fixed income mathematics
Fabozzi, Frank J. - 1988
Persistent link: https://www.econbiz.de/10000829201
Cover Image
Bayesian inference for hedge funds with stable, distribution of returns
Güner, Biliana; Račev, Svetlozar T.; Edelmanz, Daniel; … - 2010
Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...
Persistent link: https://www.econbiz.de/10008653564
Cover Image
Duration, convexity, and other bond risk measures
Fabozzi, Frank J. - 1999
Persistent link: https://www.econbiz.de/10001458594
Cover Image
Common stock markets, trading arrangements, and trading costs
Fabozzi, Frank J.; Jones, Frank Joseph; Johnson, Robert R. - In: The theory and practice of investment management, (pp. 121-162). 2002
Persistent link: https://www.econbiz.de/10001729925