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Tail risk managed investment strategies
Rickenberg, Lars - 2020
Persistent link: https://www.econbiz.de/10012483347
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Overconfidence, Under-Reaction, and Warren Buffett’s Investments
Hughes, John S. - 2010
Warren Buffett is a long-term investor, but is required by law to disclose his trades on a quarterly basis. The market seems to under-react to the revelation of his trades. From 1980 to 2006, it has been possible to achieve investment results similar to Buffett's own simply by following his...
Persistent link: https://www.econbiz.de/10013141408
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Robust analysis for downside risk in portfolio management for a volatile stock market
Ayub, Usman; Ali Shah, Syed Zulfiqar; Abbas, Qaisar - In: Economic modelling 44 (2015), pp. 86-96
Persistent link: https://www.econbiz.de/10011326281
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Common pricing across asset classes : empirical evidence revisited
Gospodinov, Nikolaj; Robotti, Cesare - In: Journal of financial economics 140 (2021) 1, pp. 292-324
Persistent link: https://www.econbiz.de/10013188701
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On the systematic downside risk measure : a note
Jan, Yin-Ching - In: International journal of financial research 7 (2016) 5, pp. 51-55
Persistent link: https://www.econbiz.de/10011579743
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A novel downside risk measure and expected returns
Liu, Jinjing - 2019
Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …
Persistent link: https://www.econbiz.de/10012113746
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Does downside risk matter more in asset pricing? : evidence from China
Ali, Heba - In: Emerging markets review 39 (2019), pp. 154-174
Persistent link: https://www.econbiz.de/10012313110
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Is downside risk priced in cryptocurrency market?
Dobrynskaja, V. V. - In: International review of financial analysis 91 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014446931
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Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of financial economics 144 (2022) 1, pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
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Do nonfinancial firms hold risky financial assets? Evidence from Germany
Hoang, Daniel; Silbereis, Fabian; Stengel, Raphael - 2021
Recent empirical evidence suggests that US industrial firms invest heavily in noncash, risky financial assets. Using hand-collected data on financial portfolios of German firms, we show that risky asset holdings are not an anomaly unique to the US. We find that industrial firms in Germany invest...
Persistent link: https://www.econbiz.de/10012490916