Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a … assets with the index to track. This approach permits handling non-linear and nonconvex objectives functions that are … difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the …

. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … Foster-Hart performance index proposed by Kadan and Liu. These performance indexes provide evaluations sensitive to the … literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively …

existence of momentum anomaly in BIST 100 index during the period July 2008 to June 2015. Jegadeesh and Titman (1993) J month … period and investment period in BIST 100 Index. Results are significant in 9- 12-month momentum investment and 3-6-9-12-month …

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI …

We find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in … market value, and positive price momentum in the period preceding their index inclusion. This strong preinclusion performance …, and momentum betas, following index inclusion. Nonevent control firms with similar performance experience similar …

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index … spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

improvements. The present paper seeks to contribute to this evolution, focusing on the “Global Risk Appetite Index” (GRAI) class of …