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Essays on factor investing
Kyosev, Georgi Stefanov - 2019
Persistent link: https://www.econbiz.de/10012149628
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Tax Evasion and Market Efficiency : Evidence from the FATCA and Offshore Mutual Funds
Cheng, Si - 2020
Using the Foreign Account Tax Compliance Act (FATCA) as an exogenous shock that reduces the tax advantages of offshore funds sold to U.S. investors, we document that affected funds significantly enhance their performance as a response. This effect is stronger for funds domiciled in tax havens...
Persistent link: https://www.econbiz.de/10012824272
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Tracking biased weights: asset pricing implications of value-weighted indexing
Jiang, Hao; Vayanos, Dimitri; Lu, Zheng - 2020
Persistent link: https://www.econbiz.de/10012487379
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Extrapolative bubbles and trading volume
Liao, Jingchi; Peng, Cameron; Zhu, Ning N. - 2021
Persistent link: https://www.econbiz.de/10012487392
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Overnight versus day returns in gold and gold related assets
Blose, Laurence E.; Gondhalekar, Vijay; Kort, Alan - In: Journal of economics and finance 42 (2018) 3, pp. 526-549
Persistent link: https://www.econbiz.de/10012031078
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The trend is your friend : time-series momentum strategies across equity and commodity markets
Georgopoulou, Athina; Wang, Jiaguo - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1557-1592
Persistent link: https://www.econbiz.de/10011804328
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On index investing
Coles, Jeffrey L.; Heath, Davidson; Ringgenberg, Matthew C. - In: Journal of financial economics 145 (2022) 3, pp. 665-683
Persistent link: https://www.econbiz.de/10013475428
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More risk, more information : how passive ownership can improve informational efficiency
Buss, Adrian; Sundaresan, Savitar - 2020
Persistent link: https://www.econbiz.de/10012228949
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The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods
Ma, Baiquan; Ślepaczuk, Robert - 2022
Persistent link: https://www.econbiz.de/10012816711
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Applying hurst exponent in pair trading strategies
Quynh Bui; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322277