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The determinants of cash flows in Greek bond mutual funds
Grose, Christos - In: International journal of economic sciences and applied … 4 (2011) 1, pp. 55-77
determine their investment decisions in contrast with investors in the stock market. The risk weighted returns however represent …
Persistent link: https://www.econbiz.de/10009958067
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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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Enhancement of the bond portfolio immunization under a parallel shift of the yield curve
Hanan, Jaffal; Adnan, Yassine; Yves, Rakotondratsimba - In: Journal of finance and investment analysis 1 (2012) 2, pp. 221-248
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...
Persistent link: https://www.econbiz.de/10010079548
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An empirical analysis of momentum profitability, seasonality, and reversibility at Nairobi Stock Exchange
Lishenga, Lisiolo - In: Journal of finance and investment analysis 1 (2012) 3, pp. 73-98
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...
Persistent link: https://www.econbiz.de/10010079566
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Illiquid financial products and distribution policies : new insights
Polato, Maurizio; Floreani, Josanco - In: Journal of applied finance & banking 1 (2011) 2, pp. 155-172
opportunistic behaviours by intermediaries. New regulations are targeted to improve risk-based transparency standards and set … addressed deals with the effectiveness of a risk based transparency regulation. -- illiquid financial instruments ; Otc markets …
Persistent link: https://www.econbiz.de/10010009072
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On the robustness of Fama and French Model : evidence from Italy
Silvestri, Antonella; Veltri, Stefania - In: Journal of applied finance & banking 1 (2011) 4, pp. 201-221
listed firms. Asset pricing literature believes that risk factors additional to beta are as more relevant as the market are …, while the empirical evidence related to the book-to-market ratio are mixed. -- Fama and French model ; market risk ; stock …
Persistent link: https://www.econbiz.de/10010009095
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The less likely the better : an empirical analysis of trading strategies accounting for the presence of stock market regimes
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 4, pp. 125-136
stock market. Furthermore, the investor may decide to invest in a risk free asset when a bear-market is expected to occur in … to invest in the risk free asset, suggest low probability thresholds of 0.075 and 0.050 concerning bull …
Persistent link: https://www.econbiz.de/10010009099
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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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Most admired companies : admirable performance
Sum, Vichet - In: Journal of applied finance & banking 2 (2012) 6, pp. 191-199
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 show that average risk premiums of an equal-weighted portfolio of … most admired firms are economically superior than the market risk premiums from 2006 to 2011 (except 2010). For the 1-year …
Persistent link: https://www.econbiz.de/10010118415