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The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162
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...
Persistent link: https://www.econbiz.de/10009958479
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Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81
benchmark with a marginal lower volatility as the benchmark, respectively, 28.08% p.a. with 7.99 percent units higher volatility …
Persistent link: https://www.econbiz.de/10009958483
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What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models
Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27
Even though correlations between different economies' stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall...
Persistent link: https://www.econbiz.de/10010009113
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The equity premium puzzle : pitfalls in estimating the coefficient of relative risk aversion
Donadelli, Michael; Prosperi, Lorenzo - In: Journal of applied finance & banking 2 (2012) 2, pp. 177-213
Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of a puzzle (i.e. equity premium puzzle). The recent financial literature still has to provide a convincing...
Persistent link: https://www.econbiz.de/10010009117
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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index
Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158
investigate the relationship between stock return volatility and trading volume have found a positive correlation between the … volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable … National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading …
Persistent link: https://www.econbiz.de/10010058691
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Further evidence on the role of ratio choice in hedge fund performance evaluation
Prokop, Jörg - In: Journal of finance and investment analysis 1 (2012) 3, pp. 181-195
Prior research reports a remarkable homogeneity of hedge fund performance rankings produced by common risk-adjusted performance ratios. The paper at hand contributes to the discussion by studying the behavior of, and the relationship between these performance ratios over the time period from...
Persistent link: https://www.econbiz.de/10010079561
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Stock market analysis in practice : is it technical or fundamental?
Cohen, Gil; Kudryavtsev, Andrey; Hon-Sir, Shlomit - In: Journal of applied finance & banking 1 (2011) 3, pp. 124-138
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...
Persistent link: https://www.econbiz.de/10010009083
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Transaction tax and market volatility : evidence from the Taiwan futures market
Liau, Yung-shi; Wu, Yi-chen; Hsu, Hsinan - In: Journal of applied finance & banking 2 (2012) 2, pp. 45-58
to test the relation between securities transaction tax (STT) and market volatility. Proponents of an STT argue that such … a tax will reduce market volatility by discouraging the trading activity of destabilizing short-term traders. In … contrast, Song and Zhang (2005) hypothesize that in the markets with relatively higher volatility and larger noise trader …
Persistent link: https://www.econbiz.de/10010009121
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Short-term stock price reversals may be reversed
Kudryavtsev, Andrey - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 129-146
making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock’s upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …
Persistent link: https://www.econbiz.de/10010097636
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Volatility impact of stock index futures trading : a revised analysis
Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126
volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …
Persistent link: https://www.econbiz.de/10010058694