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Passive investment strategies and financial bubbles
Fischer, Thomas - 2012
In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e …
Persistent link: https://www.econbiz.de/10009521601
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Average skewness matters!
Jondeau, Eric; Zhang, Qunzi - 2015
Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...
Persistent link: https://www.econbiz.de/10011412455
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Corporate managers, price noise and the investment factor
Lehnert, Thorsten - In: Financial innovation : FIN 8 (2022), pp. 1-18
This study investigates the impact of flows between bond and equity funds on investment factors over the period 1984 … the investment factor. The statistical reversal relationship between previous flows and the investment factor is … economically significant. A one-standard-deviation shock to flows causes a 0.29% decrease in investment factor returns, which are …
Persistent link: https://www.econbiz.de/10013272631
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Investor Sentiment and Momentum and Contrarian Trading Strategies : Mutual Fund Evidence
Cullen, Grant - 2011
opportunities for momentum (contrarian) traders. We form hypothetical zero investment portfolios of high (low) sentiment betas …
Persistent link: https://www.econbiz.de/10013121460
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Are analyst trade ideas valuable?
Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019
Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...
Persistent link: https://www.econbiz.de/10012120228
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Mutual Fund Performance and the Sources of Portfolio Volatility
Vafai, Nima; Rakowski, David A. - 2022
We conduct a volatility decomposition to identify the source of performance differences between low volatility and high volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the idiosyncratic volatility effect. Average...
Persistent link: https://www.econbiz.de/10013308758
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The momentum effect exemplifies the influence of investors' irrational behaviour on prices of shares and stocks : an analysis of the momentum effect on the Warsaw Stock Exchange
Merło, Paweł; Konarzewski, Patryk - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 56-64
the entire analyzed time period. Positive returns demonstrated for investment strategies based on the momentum effect were … unexplainable by the classical theory of finances. A correlation was found between the economic situation on the stock exchange and …
Persistent link: https://www.econbiz.de/10011393280
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Retail Investors’ Contrarian Behavior Around News and the Momentum Effect
Luo, Cheng; Ravina, Enrichetta; Sammon, Marco; Viceira, … - 2021
Using a large panel of U.S. accounts trades and positions, we show that retail investors trade as contrarians after large earnings surprises, especially for loser stocks, and such contrarian trading contributes to post earnings announcement drift (PEAD) and momentum. Indeed, when we double-sort...
Persistent link: https://www.econbiz.de/10013312913
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Value investing in the stock market of Thailand
Alfonso Perez, Gerardo Gerry - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-12
Value investment and growth investment have attracted a large amount of research in recent decades, but most of this … underdeveloped, particularly when compared to markets such as the U.S. Hence, its behavior regarding value versus growth investment …
Persistent link: https://www.econbiz.de/10011760317