Showing 1 - 10 of 124
This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...
Persistent link: https://www.econbiz.de/10010118438
The goal of this paper is to present an original and simple analysis aimed to understand why investing in capital markets can be very dangerous for "naive investors". Stock markets display often exploding volatility. They are characterized by instability and subject to external shocks. If...
Persistent link: https://www.econbiz.de/10010009044
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...
Persistent link: https://www.econbiz.de/10009958067
In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous literature in the area, these subjectivities are hindrances to reaching an overall conclusion on the performances of the models. In order to find out outperforming model in...
Persistent link: https://www.econbiz.de/10010148073
By estimating the correlation coefficients values we compare in this study the diversification potential of the different foreign equity markets and commodities. We present the findings that reflect the perspective of Polish investor. Our results are following: we identify a significant...
Persistent link: https://www.econbiz.de/10010078130
The classical APT model is of the form r j - E(r j) = beta j(I - EI) + epsilon j, where r j - E(r j) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the...
Persistent link: https://www.econbiz.de/10009958478
The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...
Persistent link: https://www.econbiz.de/10010009119
In this paper the author compared 13stock exchange indexes of American, British and German markets and determined their impact on Polish Wig and WIG20 indexes. The analysis proved that the British FTSE100 and FTSE250 as well as the German DAX had the biggest influence on the Warsaw indexes. The...
Persistent link: https://www.econbiz.de/10009959710
Status quo bias is a systematic cognitive error which makes it difficult for individuals to make decisions independently of the currently dominant situation. This study pursues the question of whether bond market analysts are affected by status quo bias. We evaluated interest rate forecast...
Persistent link: https://www.econbiz.de/10009958484
In this article, a snapshot of the market performance during the two-year is presented and compared with the major overseas markets. A study considered a market performance of different sectors i.e. Information Technology and Banking with respect to the market. Further we analyzed that which...
Persistent link: https://www.econbiz.de/10010009042