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Is commodity index investing profitable?
Fethke, Tobias; Prokopczuk, Marcel - 2018
Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide...
Persistent link: https://www.econbiz.de/10011879959
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On Index Investing
Coles, Jeffrey L. - 2020
We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An … increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst … choose to be informed active traders whenever it is profitable. As index investing increases there are fewer informed active …
Persistent link: https://www.econbiz.de/10012853595
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Comovement, Index Investing and the Financialization of Commodities
Bonato, Matteo - 2018
2017 for 25 US-traded commodities, we find a statistically significant increase in comovement among non-energy index …-commodities. This increase is only temporary. In contrast, no change in comovement is observed for off-index commodities over the entire … the results. Such comovement ‘index effect' is in line with the predictions of theoretical models of the financialization …
Persistent link: https://www.econbiz.de/10012937435
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Value Investing : Investing for Grown Ups?
Damodaran, Aswath - 2012
Value investors generally characterize themselves as the grown ups in the investment world, unswayed by perceptions or momentum, and driven by fundamentals. While this may be true, at least in the abstract, there are at least three distinct strands of value investing. The first, passive value...
Persistent link: https://www.econbiz.de/10013107536
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Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm
Otuteye, Eben - 2017
Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are cornerstone concepts in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions do not yield satisfactory empirical results. We argue...
Persistent link: https://www.econbiz.de/10012954957
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Investing in Gold - Market Timing or Buy-and-Hold?
Baur, Dirk G. - 2018
The literature on gold is dominated by empirical studies on its diversification, hedging, and safe haven properties. In contrast, the question “When to invest in gold?” is generally not analyzed in much detail. We test more than 4,000 seasonal, technical, and fundamental timing strategies...
Persistent link: https://www.econbiz.de/10012916051
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In Search of Pairs using Firm Fundamentals : Is Pairs Trading Profitable?
Hong, Sungju; Hwang, Soosung - 2022
We investigate whether spurious pairs created by multiple hypothesis testing can be minimized when firm characteristics are used to identify pairs. The results show that the portfolios of pairs that have higher similarities in firm characteristics outperform those that are fundamentally less...
Persistent link: https://www.econbiz.de/10014351716
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Do socially responsible investment indexes outperform conventional indexes?
Managi, Shunsuke; Okimoto, Tatsuyoshi; Matsuda, Akimi - In: Applied financial economics 22 (2012) 16/18, pp. 1511-1527
Persistent link: https://www.econbiz.de/10009625856
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Low-beta investment strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016
This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...
Persistent link: https://www.econbiz.de/10011553310
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Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10008748123