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Performance Persistence of US Variable Annuities Funds

Guirguis, Michel - 2023

This article examines the performance persistence of 15534 variable annuities funds over the period January 2010 to January 2020. We use a population free from survivorship self-selection and backfill bias and measure performance using risk adjusted measures. The data was obtained from...

Persistent link: https://www.econbiz.de/10014257855

Does local economic uncertainty matter for risk of property companies? : evidence from US REITs

Song, Jeongseop - In: International journal of strategic property management 27 (2023) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10014287646

Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach

Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014288917

Industry return lead-lag relationships between the US and other major countries

Monteiro, Ana Sofia Melo; Silva, Nuno; Sebastião, … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-48

In this study, we analyze the lead-lag relationships between the US industry index and those of six other major countries from January 1973 to May 2021. We identify the leading role played by the US internationally by showing that the weekly returns of US industries, especially the US basic...

Persistent link: https://www.econbiz.de/10014288963

The predictive power of Bitcoin prices for the realized volatility of US stock sector returns

Bouri, Elie; Salisu, Afees A.; Gupta, Rangan - In: Financial innovation : FIN 9 (2023) 1, pp. 1-22

out-of-sample analyses over multiple forecast horizons, based on daily data from November 22, 2017, to December, 30, 2021 … relationship between Bitcoin prices and stock sector volatility. Regardless of the stock sectors or number of forecast horizons …

Persistent link: https://www.econbiz.de/10014289060

Examining US monetary spillover to Indonesian local currency government bonds in volatile periods

Nugraha, Muhammad Fajar - 2023

This study analyzes the magnitude of the US monetary policy spillover on the Indonesian local currency government bond yield, particularly when the Federal Reserve (Fed) implemented the quantitative easing (QE), tapering off, Fed fund rate (FFR) normalization, and quantitative tightening over...

Persistent link: https://www.econbiz.de/10014289870

Sustainability, resilience, and returns during COVID-19 : empirical evidence from US and Indian stock markets

Yadav, Neetu; Bhama, Vandana - In: Journal of emerging market finance 22 (2023) 2, pp. 215-238

Persistent link: https://www.econbiz.de/10014292133

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014305726

A study of passive vs. active strategy in asset management of mutual funds : panel data of Puerto Rico and the USA, 1987-2018

Lebrón, Bethzaida; Juma'h, Ahmad Hussein - In: International journal of accounting and finance 11 (2022) 2, pp. 158-180

Persistent link: https://www.econbiz.de/10014306708

Convenience yield and real exchange rate dynamics : a present-value interpretation

Chou, Yu-Hsi; Yen, Chia-Yi - In: The Canadian journal of economics : the journal of the … 56 (2023) 2, pp. 453-489

Persistent link: https://www.econbiz.de/10014306868