Narrow search
Showing 1 - 10 of 5,906
Cover Image
Investing bond funds in bear stock markets
Ni, Yensen; Huang, Paoyu; Shyong, Chwen-tzy - In: Investment management and financial innovations 11 (2014) 1, pp. 34-43
Persistent link: https://www.econbiz.de/10010392576
Cover Image
Bond Fund Disappearance : What’s Return Got to Do with it?
Rohleder, Martin - 2012
In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is … unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite … disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns …
Persistent link: https://www.econbiz.de/10013114608
Cover Image
Fund Flows and Asset Valuations of Bond Mutual Funds : Effect of Side-by-Side Management
Koo, Minjae; Muslu, Volkan - 2023
We compare fund flows and asset valuations of bond mutual funds whose managers concurrently manage portfolios with … performance-based fees and those whose managers do not. We find that bond mutual funds whose managers concurrently manage …
Persistent link: https://www.econbiz.de/10014362051
Cover Image
Mutual Fund Trading Pressure : Firm-Level Stock Price Impact and Timing of SEOs
Khan, Mozaffar - 2013
We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying, buyers with excess liquidity, rather than what is being purchased. We document...
Persistent link: https://www.econbiz.de/10013092698
Cover Image
News co-occurrences, stock return correlations, and portfolio construction implications
Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of risk and financial management : JRFM 12 (2019) 1/45, pp. 1-21
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...
Persistent link: https://www.econbiz.de/10012022291
Cover Image
Are Korean industry-sorted portfolios mean reverting?
Moon, Seongman - In: East Asian economic review 20 (2016) 2, pp. 169-190
This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...
Persistent link: https://www.econbiz.de/10011764980
Cover Image
How should the long-term investor harvest variance risk premiums?
Dörries, Julian; Korn, Olaf; Power, Gabriel J. - 2023
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...
Persistent link: https://www.econbiz.de/10014384596
Cover Image
Left-Tail Momentum : Underreaction to Bad News, Costly Arbitrage and Equity Returns
Atilgan, Yigit - 2020
This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the U.S. and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the...
Persistent link: https://www.econbiz.de/10012853459
Cover Image
A Security Market Plane Approach to Stock Selection
Ferguson, Robert - 2018
Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...
Persistent link: https://www.econbiz.de/10012928355
Cover Image
Common Asset Holdings and Stock Return Comovement
Fricke, Daniel - 2017
A growing literature highlights the effect of common asset holdings on market dynamics. Focusing on relatively large stocks, Antón and Polk (2014) find that assets with many common investors comove more strongly in the future than otherwise similar stocks. In order to acknowledge the shift in...
Persistent link: https://www.econbiz.de/10012958953