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Exploiting Option Information in the Equity Market

Baltussen, Guido - 2012

Public option market information contains exploitable information for equity investors for an investable universe of liquid large-cap stocks. Strategies based on several option measures predict returns and alphas on the underlying stock. Transaction costs are an important factor given the high...

Persistent link: https://www.econbiz.de/10013110961

Unknown unknowns : uncertainty about risk and stock returns

Baltussen, Guido; Bekkum, Sjoerd van; Grient, Bart van der - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1615-1651

Persistent link: https://www.econbiz.de/10011930515

Exploiting commodity momentum along the futures curves

Groot, Wilma de; Karstanje, Dennis; Zhou, Weili - In: Journal of banking & finance 48 (2014), pp. 79-93

Persistent link: https://www.econbiz.de/10010506936

China A-shares : strategic allocation to market and factor premiums

Groot, Wilma de; Swinkels, Laurens; Zhou, Weili - In: The journal of portfolio management : JPM 47 (2021) 7, pp. 131-149

Persistent link: https://www.econbiz.de/10012613231

Pension fund asset allocation under uncertainty

Groot, Wilma de; Swinkels, Laurens - In: Pension fund risk management : financial and actuarial …, (pp. 157-166). 2010

Persistent link: https://www.econbiz.de/10003938207

Incorporating uncertainty about alternative assets in strategic pension fund asset allocation

Groot, Wilma de; Swinkels, Laurens - In: Pensions : an international journal 13 (2008) 1/2, pp. 71-77

Persistent link: https://www.econbiz.de/10003986224

Another look at trading costs and short-term reversal profits

Groot, Wilma de; Huij, Joop; Chow, Wei-Liang - In: Journal of banking & finance 36 (2012) 2, pp. 371-382

Persistent link: https://www.econbiz.de/10009511316

The cross-section of stock returns in frontier emerging markets

Groot, Wilma de; Pang, Juan; Swinkels, Laurens - In: Journal of empirical finance 19 (2012) 5, pp. 796-818

Persistent link: https://www.econbiz.de/10009700587

Strategic allocation to commodity factor premiums

Blitz, David; Groot, Wilma de - In: The journal of alternative investments 17 (2014/15) 2, pp. 103-115

Persistent link: https://www.econbiz.de/10010467222

Sustainable voting behavior of asset managers : do they walk the walk?

Groot, Wilma de; Koning, Jan de; Winkel, Sebastian van - In: The journal of impact and ESG investing 1 (2021) 4, pp. 7-29

Persistent link: https://www.econbiz.de/10012613561

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