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We examine whether the recent behavior of real estate investors had an effect on housing affordability between 2007 and 2014. We analyze investors' purchasing and selling behavior and study their spillover effects on the affordability of the local real estate market where they invest. We find...
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The aim of this study is to analyze investor response to different measures of pension plan performance. To do this, we implement a fixed effects panel data methodology corrected by heteroskedasticity, serial correlation and cross-sectional dependence, as proposed by Vogelsang (2012). The...
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We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies...
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another. Sometimes, earning a substantial return in the stock market seems complicated to implement for an individual investor … model helps find one or several stocks that generate the highest return on a separate step. Applying this model, experiments … returns in these markets has been noticed. In the German market, during the 97-day period, the authors obtained a 1.46 return …
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