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Deep Value Investing and Unexplained Returns
Oxman, Jeffrey - 2012
The strategy of buying and holding “net nets” has been advocated by deep value investors for decades, but systematic studies of the returns to such a strategy are few. We detail the returns generated from a net nets strategy implemented from 1984 - 2008, and then attempt to explain the...
Persistent link: https://www.econbiz.de/10013114061
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Static Fund Separation of Long Term Investments
Guasoni, Paolo - 2012
relative risk aversion, and with stochastic investment opportunities. An optimal portfolio decomposes as a constant mix of a …
Persistent link: https://www.econbiz.de/10013114549
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Investing in crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...
Persistent link: https://www.econbiz.de/10012518234
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International capital flows and bond risk premia
Sierra, Jesus - 2010
This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...
Persistent link: https://www.econbiz.de/10003981333
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Sentiment Traders & IPO Initial Returns
Khurshed, Arif - 2011
even if investment bankers are stripped of their discretionary allocation power. These results are not supportive of …
Persistent link: https://www.econbiz.de/10013128440
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Back to Basis : A Universal Return Predictor Across Asset Classes
Molyboga, Marat - 2020
This paper shows analytically that the basis between spot and futures contracts contains information about future returns of securities across the asset classes of commodities, equity indices, fixed income and foreign exchange. The bases in commodities are positively correlated with a leading...
Persistent link: https://www.econbiz.de/10012823442
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The Profitability and Investment Factors in the Chinese Stock Market
Hou, Fangfang - 2019
as follows: (1) neither the FF investment factor nor the HXZ investment factor earns a significant return in the Chinese … the four HXZ factors, namely size, profitability, and investment, cannot be explained by the five FF factors; (4) the best …
Persistent link: https://www.econbiz.de/10012902389
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Quality Investing and the Cross-Section of Country Returns
Zaremba, Adam - 2016
practical implications include such issues as the global asset allocation, the development of investment products, asset pricing … and investment performance measurement. The country selection strategies based on leverage and profitability prove a … useful tool for investors with global investment mandate. Furthermore, additional sorting on quality metrics may markedly …
Persistent link: https://www.econbiz.de/10013006894
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Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
Bugar, Gyöngyi; Maurer, Raimund; Vo, Huy Thanh - 2009
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...
Persistent link: https://www.econbiz.de/10003838424
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Fundamental indexing around the world
Walkshäusl, Christian; Lobe, Sebastian - In: Review of financial economics : RFE 19 (2010) 3, pp. 117-127
Persistent link: https://www.econbiz.de/10008653405