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Explaining Hedge Fund Investment Styles by Loss Aversion
Siegmann, Arjen; Lucas, André - 2002
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10010324945
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Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - 2013
This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...
Persistent link: https://www.econbiz.de/10010326340
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Efficiency in banking: Theory, practice, and evidence
Hughes, Joseph P.; Mester, Loretta J. - 2008
Great strides have been made in the theory of bank technology in terms of explaining banks' comparative advantage in … strides have also been made in explaining sub-par managerial performance in terms of agency theory and in applying these …
Persistent link: https://www.econbiz.de/10010266363
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Valuing Environmental Factors in Cost-Benefit Analysis Using Data Envelopment Analysis
Kuosmanen, Timo - 2006
Environmental cost-benefit analysis (ECBA) refers to social evaluation of investment projects and policies that involve significant environmental impacts. Valuation of the environmental impacts in monetary terms forms one of the critical steps in ECBA. We propose a new approach for environmental...
Persistent link: https://www.econbiz.de/10010312377
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A multiple factor model for European stocks
Stephan, Thomas G.; Maurer, Raimond; Dürr, Martin - 2000
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly...
Persistent link: https://www.econbiz.de/10010316262
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Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008
Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...
Persistent link: https://www.econbiz.de/10011422185
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The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2004
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …
Persistent link: https://www.econbiz.de/10010295106
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The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2006
forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo … linear compared to optimal forecasts is small. Extending the number of volatility components beyond what is feasible with MLE …
Persistent link: https://www.econbiz.de/10010295151
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A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors
Hoechle, Daniel; Zimmermann, Heinz - 2007
We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity...
Persistent link: https://www.econbiz.de/10011390620
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The Degradation of Distorted Performance Measures
Sloof, Randolph; van Praag, Mirjam - 2008
Baker (2002) has demonstrated theoretically that the quality of performance measures used in compensation contracts hinges on two characteristics: noise and distortion. These criteria, though, will only be useful in practice as long as the noise and distortion of a performance measure can be...
Persistent link: https://www.econbiz.de/10010325988