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Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
Glover, Kristoffer; Hambusch, Gerhard - Finance Discipline Group, Business School - 2012
We analyse the effect of differing uncertainty assumptions on the costs of shareholder-bondholder conflicts arising from partially debt-financed investments. A partial equilibrium model, valid for a large class of diffusion processes, is developed and then applied to the specific cases of a...
Persistent link: https://www.econbiz.de/10010883495
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Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets
Serban, Alina - Department of Economics, College of Business and Economics - 2009
The literature on equity markets documents the existence of mean reversion and momentum phenomena. Researchers in … foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion. This … paper implements a trading strategy combining mean reversion and momentum in foreign exchange markets. The strategy was …
Persistent link: https://www.econbiz.de/10008509473
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How can defined contribution pension plans benefit from momentum and mean reversion ?
Chetouane, Mabrouk - Université Paris-Dauphine (Paris IX) - 2011
a continuous portfolio choice model, in which stock returns exhibit both momentum and mean reversion, DC plan members … candidate and we show how a DC plan investor can benefit from market opportunities by taking advantage of the momentum and mean …
Persistent link: https://www.econbiz.de/10010707175
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Momentum and mean reversion in regional housing markets: Evidence from variance ratio tests
Oikarinen, Elias - Turun Kauppakorkeakoulu, Turun Yliopisto - 2010
do not follow random walk in any of the 15 Finnish cities included in the analysis. Instead, momentum in housing price … movements. The results also show that the momentum and reversion patterns may substantially vary between regional housing …
Persistent link: https://www.econbiz.de/10008773956
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The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Clare, Andrew; Seaton, James; Smith, Peter N.; Thomas, … - Department of Economics and Related Studies, University … - 2012
parity. Momentum and trend following have often been used interchangeably although the former is a relative concept and the … latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum …
Persistent link: https://www.econbiz.de/10010630694
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The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Clare, Andrew; Seaton, James; Smith, Peter N.; Thomas, … - Crawford School of Public Policy, Australian National … - 2013
parity. Momentum and trend following have often been used interchangeably although the former is a relative concept and the … latter absolute. By combining the two we find that one can achieve the higher return levels associated with momentum …
Persistent link: https://www.econbiz.de/10011186017
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Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998
Graflund, Andreas - Nationalekonomiska Institutionen, Ekonomihögskolan - 2001
This paper investigates the information in monthly nominal Swedish real estate stock market returns from 1939-1998. Thus we test the weak form efficient market hypothesis. Our results contradict previous findings from the general Swedish stock market as we find very little evidence of seasonal...
Persistent link: https://www.econbiz.de/10005645207
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The Dynamics of House Prices - International Evidence
Sorensen, Jens Kjaer - Volkswirtschaftliche Fakultät, … - 2006
short run are momentum drive, and house prices can deviate substantially from equilibrium in the SR. This fact is supported …
Persistent link: https://www.econbiz.de/10005789417
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Variance-enhancing corporate entrepreneurship under deregulation: An option portfolio approach
Sun, Sunny; Yang, Xiaoming; Li, Weiwen - In: Asia Pacific Journal of Management 31 (2014) 3, pp. 733-761
The current study draws upon the real option portfolio theory to examine the relationship between deregulation and corporate entrepreneurship. We propose that a firm could respond to deregulation with variance-enhancing corporate entrepreneurial activities (CEAs), which increase the portfolio...
Persistent link: https://www.econbiz.de/10010987588
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Economics of High-Temperature Nuclear Reactors for Industrial Cogeneration
Madlener, Reinhard; Hampe, Jona - Institut für Future Energy Consumer Needs and Behavior … - 2012
The EU Emissions Trading Scheme challenges the cost-competitiveness of energy-intensive industries in Europe, and induces them to search for low-carbon alternatives for their process heat requirements, such as cogeneration or the employment of nuclear power plants. The high-temperature nuclear...
Persistent link: https://www.econbiz.de/10010991184