This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

This article makes an analytical comparison between simple, compound and continuous interest discount factors. It studies the equivalency relations between the three discount factors. An analysis is performed for a limited time period and of normal economy interest rates. It makes use of the...

This paper examines the factors that affect inflows - outflows of capital in bond mutual funds that operated in the Greek market during the period 1997-2005. Investors in bond mutual funds do not seek for high gross returns in order to determine their investment decisions in contrast with...

Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...

Hedging under a parallel shift of the interest rate curve is well-known for a long date in finance literature. It is based on the use of a duration-convexity approximation essentially pioneered by Fisher-Weil [2]. However the situation is inaccurately formulated such that the obtained result is...

In this thesis, we employed data from the NSE to investigate the existence of the price momentum effect, the profitability of momentum trading strategies, and the possibility of seasonal and reversal patterns in the profitability. We formed relative strength strategies for all stocks listed over...

Both changing investors’ behaviour and contingent events, such as financial crisis, stimulated a debate around the distribution of financial products for which an active market doesn't exist. Investing in illiquid financial instruments requires a certain degree of financial education in order...

The purpose of this the article is to investigate if the Fama and French three-factor model is able to explain the variations in stock returns in Italian market. We choose Italian market as it is a weak equity market, characterized by small listed firms. Asset pricing literature believes that...

This contribution studies the out-of-sample performance of trading strategies applying 2-State-Markov-Switching models. Thereby, different probability thresholds are considered where the investor decides when to go in, respectively, out of the stock market. Furthermore, the investor may decide...