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

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

We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An … increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst … choose to be informed active traders whenever it is profitable. As index investing increases there are fewer informed active …

We investigate the long-term performance of firms added to or deleted from the Hang Seng Index from 1986 to 2008. The … stocks newly deleted from the Hang Seng Index have abnormal returns over a 5-year holding period and the newly added stocks …

tool is needed. Developed by Peter Martin in 1987, the Ulcer Index measures the human stress of holding a stock. Ulcer … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …. The more continuous and prolonged the drawdown, the higher the index and the more likely investing in it will cause ulcers …

well. Results confirm a presence of patterns (momentum or contrarian) in industry index portfolio strategies and explain a …

We focus on the stock selection step of the index tracking problem in passive investment management and incorporate … tracking portfolio in each period. We apply the proposed procedure using the popular cointegration technique in index tracking …