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Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies 8 (2020) 1, pp. 1-51

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

Persistent link: https://www.econbiz.de/10013199649

The impact of the global financial crisis on the efficiency and performance of Latin American stock markets

Zhu, Zhenzhen; Bai, Zhidong; Vieito, João Paulo; Wong, … - In: Estudios de Economía 46 (2019) 1, pp. 5-30

We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from...

Persistent link: https://www.econbiz.de/10014486100

International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011843243

Could the global financial crisis improve the performance of the G7 stocks markets?

Vieito, João Paulo; Wong, Wing Keung; Zhu, Zhen-Zhen - In: Applied economics 48 (2016) 10/12, pp. 1066-1080

Persistent link: https://www.econbiz.de/10011432920

Is gold different for risk-averse and risk-seeking investors? : an empirical analysis of the Shanghai Gold Exchange

Hoang, Thi Hong Van; Wong, Wing Keung; Zhu, Zhenzhen - In: Economic modelling 50 (2015), pp. 200-211

Persistent link: https://www.econbiz.de/10011440507

Is wine a good choice for investment?

Bouri, Elie; Gupta, Rangan; Wong, Wing Keung; Zhu, Zhenzhen - In: Pacific-Basin finance journal 51 (2018), pp. 171-183

Persistent link: https://www.econbiz.de/10012035143

Diversification versus optimality : is there really a diversification puzzle?

Ortobelli Lozza, Sergio; Wong, Wing Keung; Fabozzi, Frank J. - In: Applied economics 50 (2018) 43, pp. 4671-4693

Persistent link: https://www.econbiz.de/10012061607

The impact of the global financial crisis on the efficiency and performance of Latin American stock markets

Zhu, Zhenzhen; Bai, Zhidong; Vieito, João Paulo; Wong, … - In: Estudios de economía 46 (2019) 1, pp. 5-30

Persistent link: https://www.econbiz.de/10012025193

International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011553184

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 … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is … stocks than in real estate, but real estate, in turn, is preferable to fixed-income assets. …

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