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Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium

Abad, Pharos - 2020

Persistent link: https://www.econbiz.de/10012841039

MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market

Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...

Persistent link: https://www.econbiz.de/10014500653

A Critique of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm

Otuteye, Eben - 2017

decision making, we adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision … decision making processes …

Persistent link: https://www.econbiz.de/10012948474

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

's value investing paradigm. We propose that if, instead of getting fixated on investors' optimal rational decision making, we … adopt Benjamin Graham's value investing perspective which explicitly acknowledges that investor decision making is by … definition imperfect due to psychological biases, we could derive better investment decision making processes …

Persistent link: https://www.econbiz.de/10012954957

Combining equity country selection strategies

Zaremba, Adam - In: Contemporary economics 11 (2017) 1, pp. 107-126

The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country...

Persistent link: https://www.econbiz.de/10011632627

Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?

Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

Persistent link: https://www.econbiz.de/10012259883

Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

Persistent link: https://www.econbiz.de/10014322889

Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - 2023

Persistent link: https://www.econbiz.de/10014349505

A New Anomaly : The Cross-Sectional Profitability of Technical Analysis

Han, Yufeng - 2012

In this paper, we document that an application of a moving average strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that often outperform the buy-and-hold strategy substantially. For high volatility portfolios, the abnormal returns,...

Persistent link: https://www.econbiz.de/10013115819

Multiplicative Models of Financial Returns an What We Fail to Get When They are Disregarded

Apreda, Rodolfo - 2011

This paper puts forward an alternative approach to multiplicative models and their assessment of returns out of financial assets. Firstly, it lays down an operative definition but also sets forth a commutative framework of mappings to provide foundations to such a definition. Next, the total...

Persistent link: https://www.econbiz.de/10013123432