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Managers' skills and fund flows in the Japanese mutual fund market

Omori, Kozo; Kitamura, Tomoki - In: Studies in economics and finance 39 (2022) 4, pp. 675-696

Persistent link: https://www.econbiz.de/10013355229

Factor seasonalities : international and further evidence

Mercik, Aleksander; Cupriak, Daniel; Zaremba, Adam - In: Finance research letters 58 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014581028

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest … large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …

Persistent link: https://www.econbiz.de/10003670896

The economic value of distributional timing

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a sighifiant cost would arise. The performance...

Persistent link: https://www.econbiz.de/10003548056

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001945539

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

Persistent link: https://www.econbiz.de/10010520085

The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks

Duvinage, Matthieu Du - 2016

We develop market timing strategies and trading systems to test the intraday predictive power of Japanese candlesticks at the 5-minute interval on the 30 constituents of the DJIA index. Out of 83 Japanese candlestick rules, around a third outperforms the buy-and-hold strategy at the conservative...

Persistent link: https://www.econbiz.de/10013008019

Investor Response to Morningstar’s Ratings, Category Information, and Alpha in the Japanese Mutual Fund Market

Omori, Kozo; Kitamura, Tomoki - 2023

Mutual fund investors evaluate fund managers' skills before making investment decisions. Previous studies worldwide examined the rationale behind retail investors' investment decisions and found that investors reward performance by net fund flow. A Japanese study found that investors respond to...

Persistent link: https://www.econbiz.de/10014352563

Investor response to Morningstar's ratings, category information, and alpha in the Japanese mutual fund market

Omori, Kozo; Kitamura, Tomoki - In: International review of financial analysis 89 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014466344

Volatility transmission between Japan, UK and USA in daily stock returns

Tanizaki, Hisashi; Hamori, Shigeyuki - In: Empirical economics : a journal of the Institute for … 36 (2009) 1, pp. 27-54

Persistent link: https://www.econbiz.de/10003804532

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