In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk-return ratio based security selection criterion in an untested market – the KOSPI 200 over June 2006 to June 2012. Besides conventional risk-return ratios such as the Sharpe...

The financial sector particularly the mutual funds in Oman market have shown limited potential to attract consumers. Consumer attitudes towards financial investments have always been a challenge for the finance companies due to limited risk appetite of consumers which are largely attributed to...

This paper investigates the historical relationship between inflation rates and asset class returns in order to give perspective on which classes perform best when inflation rates are high. This is important to investors as the monetary base has tripled since July 2008, which may be “sowing...

In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical...

This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results...

This article aims to identify the most relevant variables that allow through a neural network model (RNA), with supervised learning, in a kind of error correction and feedforward perceptron multilayer architecture to achieve the best predictors of low risk, in the process of microcredit....

This paper theoretically examines the impact of conservatism on the asset price in an asset market allowing for strategic interactions among traders. Due to the trades coming from conservatism traders contain less informational content, the asset price is shown to be less informative in the...

This study examines the dynamic linkages between nine Central and Eastern European (CEE) emerging markets and the developed ones, i.e. Austrian, French, German, British and American stock markets. To investigate the nature of transmission of information we employ two econometric models which are...

Fund selectivity and market timing are two fundamental fund manager’s abilities that determine fund performance. These issues are re-visited to investigate selectivity and market timing aspects of Thai equity funds from 1992 to 2004. Because this time period contains a business cycle, the...