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The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy
Zhang, Qi; Cai, Charlie; Keasey, Kevin - In: Review of Quantitative Finance and Accounting 43 (2014) 3, pp. 605-625
This paper re-examines the profitability of the post-earnings-announcement-drift (PEAD) trading strategy using a practical simulation approach that aligns with a fund manager’s investment perspective. It allows us to calculate the break-even transaction costs of following a PEAD strategy, and...
Persistent link: https://www.econbiz.de/10010959354
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The federal funds market and the overnight Eurodollar market
Lee, Yungsook - Deutsche Bank Research - 1999
Overnight Federal funds and overnight Eurodollars are among the most liquid short-term assets that a bank can hold to acquire required reserves. They are traded overnight and denominated in U.S. dollars. They also have different characteristics: The Fed funds market and the Eurodollar market are...
Persistent link: https://www.econbiz.de/10008677284
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Credit access and borrowing costs in Poland's agricultural credit market: a hedonic pricing approach
Petrick, Martin; Latruffe, Laure - Leibniz-Institut für Agrarentwicklung in … - 2003
Regression des effektiven Zinssatzes, der sowohl den nominalen Zinssatz als auch zusätzliche Transaktionskosten umfasst, werden … Zinssubventionierung durch gesteigerte Transaktionskosten und adverse Selektion von Kreditnehmern stark verringert wird. Allerdings führt …
Persistent link: https://www.econbiz.de/10008526790
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Estimating internal transaction costs: the case of corporate dairy farms in Russia’s Moscow oblast
Svetlov, Nikolai M. - In: German Journal of Agricultural Economics 58 (2009) 8
Schätzung der internen Transaktionskosten mit Hilfe von beobachteten Outputmengen und -preisen. Das empirische Modell ist ein …, dass die internen Transaktionskosten extrem hoch sind und nicht nur zu signifikanten allokativen Verzerrungen führen …, sondern darüber hinaus den strukturellen Wandel behindern. Die Verringerung der internen Transaktionskosten sollte von daher …
Persistent link: https://www.econbiz.de/10011142858
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On-line portfolio selection strategy with prediction in the presence of transaction costs
Albeverio, Sergio; Lao, LanJun; Zhao, XueLei - In: Computational Statistics 54 (2001) 1, pp. 133-161
An on-line portfolio selection strategy with transaction costs is presented. It ensures investors to achieve at least the same exponential growth rate of wealth as the best stock for a long term. This equipped with a new prediction method based on “cross rates” for price relative sequences...
Persistent link: https://www.econbiz.de/10010847671
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The admissible portfolio selection problem with transaction costs and an improved PSO algorithm
Chen, Wei; Zhang, Wei-Guo - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 10, pp. 2070-2076
In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets. We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization...
Persistent link: https://www.econbiz.de/10010874258
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On the distribution and estimation of trading costs
Kourtis, Apostolos - In: Journal of Empirical Finance 28 (2014) C, pp. 104-117
This paper investigates the uncertainty about the trading costs associated with a given portfolio strategy. I derive accurate approximations of the ex ante probability distributions of proportional trading costs and portfolio turnover under the conventional assumption of normal asset returns....
Persistent link: https://www.econbiz.de/10010939530
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On-line portfolio selection strategy with prediction in the presence of transaction costs
Albeverio, Sergio; Lao, LanJun; Zhao, XueLei - In: Mathematical Methods of Operations Research 54 (2001) 1, pp. 133-161
An on-line portfolio selection strategy with transaction costs is presented. It ensures investors to achieve at least the same exponential growth rate of wealth as the best stock for a long term. This equipped with a new prediction method based on “cross rates” for price relative sequences...
Persistent link: https://www.econbiz.de/10010999699
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Risk sensitive portfolio optimization
Stettner, Lukasz - In: Mathematical Methods of Operations Research 50 (1999) 3, pp. 463-474
In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered. Copyright Springer-Verlag Berlin Heidelberg 1999
Persistent link: https://www.econbiz.de/10010950211
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The number of securities giving the maximum return in the presence of transaction costs
Lajili-Jarjir, Souad; Rakotondratsimba, Yves - In: Quality & Quantity: International Journal of Methodology 42 (2008) 5, pp. 613-644
Persistent link: https://www.econbiz.de/10009396173