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Understanding defensive equity
Novy-Marx, Robert - 2014
Persistent link: https://www.econbiz.de/10010431331
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Understanding Defensive Equity
Novy-Marx, Robert - 2014
the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the …
Persistent link: https://www.econbiz.de/10012458074
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Investment strategies and determinants in capital markets
Grabellus, Markus - 2014
Persistent link: https://www.econbiz.de/10010486731
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Downside beta and equity returns around the world
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: The journal of portfolio management : a publication of … 44 (2018) 7, pp. 39-54
Persistent link: https://www.econbiz.de/10012260362
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Downside Beta and Equity Returns around the World
Atilgan, Yigit - 2019
We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...
Persistent link: https://www.econbiz.de/10012903218
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Kapitalmarktanomalie Value versus Growth : eine empirische Analyse des Value Effekts bei Aktien und Anleihen
Schneider, Martin - 2018
Systematische Abweichungen zwischen gehandelten Marktpreisen und fundamentalen Werten von Wertpapieren zeigen bis heute, dass Kapitalmärkte weder vollkommen noch effizient sind. Sowohl die Finanzmarktforschung als auch die Investmentpraxis befassen sich weiter mit der Suche nach geeigneten...
Persistent link: https://www.econbiz.de/10013464290
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The downside risk and equity evaluation : emerging market evidence
Chen, Jianguo; Chen, Dar-hsin - In: Journal of emerging market finance 3 (2004) 1, pp. 77-93
Persistent link: https://www.econbiz.de/10002073289
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Constructing inverse factor volatility portfolios: a risk-based asset allocation for factor investing
Shimizu, Hidehiko; Shiohama, Takayuki - In: International review of financial analysis 68 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012300934
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Essays on asset and portfolio management : rethinking portfolio rebalancing
Wittig, Hagen - 2015
Vergleich zu einer Buy and Hold Strategie, einer idealisierten SAA Strategie sowie einer ansonsten vergleichbaren … characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … comparison to a buy and hold strategy, an idealized SAA strategy, as well as a rebalancing strategy with static bandwidths but …
Persistent link: https://www.econbiz.de/10011418707
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Asset valuation impact of investor sentiment : a revised Fama-French five-factor model
Dhaoui, Abderrazak; Bensalah, Nesrine - In: The journal of asset management 18 (2017) 1, pp. 16-28
Persistent link: https://www.econbiz.de/10011592756