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Quality Investing and the Cross-Section of Country Returns
Zaremba, Adam - 2016
practical implications include such issues as the global asset allocation, the development of investment products, asset pricing … and investment performance measurement. The country selection strategies based on leverage and profitability prove a … useful tool for investors with global investment mandate. Furthermore, additional sorting on quality metrics may markedly …
Persistent link: https://www.econbiz.de/10013006894
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Corporate Taxes, Partisan Politics, and Stock Returns
Mella, Javier - 2022
I investigate the effect of different measures of corporate taxes on stock returns. The results support the partisan politics cycle effect on equity returns. A high minus low (Hi-Lo) portfolio sorted by (Total Corporate Taxes/Total Assets) has an annual return of +3.8% during Republican...
Persistent link: https://www.econbiz.de/10013309793
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Stroke of a Pen : Investment and Stock Returns under Energy Policy Uncertainty
Imbet, Juan F. - 2022
in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry … a negative price of risk. I propose and test a q-theory explanation in which firms invest in energy-efficient capital … when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value …
Persistent link: https://www.econbiz.de/10013300007
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The Profitability and Investment Factors in the Chinese Stock Market
Hou, Fangfang - 2019
as follows: (1) neither the FF investment factor nor the HXZ investment factor earns a significant return in the Chinese … the four HXZ factors, namely size, profitability, and investment, cannot be explained by the five FF factors; (4) the best …
Persistent link: https://www.econbiz.de/10012902389
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Incorporating Liquidity Risk in Value-at-Risk Based on Liquidity Adjusted Returns
Wu, Lei - 2009
In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure, the simply adding of the two risk measure, would...
Persistent link: https://www.econbiz.de/10013156451
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Uncertainty about Future Economic Policy and Expected Stock Returns - International Evidence
Heigermoser, Robert - 2020
I investigate the role of economic policy uncertainty (EPU), proxied by the news-based measure of Baker et al. (2016), in the cross-section of individual stock returns in 23 countries. I estimate a stock's beta toward its country-specific EPU index (βEPU) and show that stocks in the lowest...
Persistent link: https://www.econbiz.de/10012838386
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Betting Against Other Betas
Murray, Scott - 2020
Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...
Persistent link: https://www.econbiz.de/10012841238
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FRE-GY6711 : Quantitative Portfolio Management Module 4 - Estimating Expected Returns (Presentation Slides)
Philips, Thomas K. - 2017
Persistent link: https://www.econbiz.de/10012951804
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130
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The Modified Dividend-Price Ratio
Polimenis, Vassilis - 2019
We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...
Persistent link: https://www.econbiz.de/10012905483