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Size matters : tail risk, momentum and trend following in international equity portfolios

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015

Persistent link: https://www.econbiz.de/10010531062

Abnormal returns from takeover prediction modelling : challenges and suggested investment strategies

Danbolt, Jo; Siganos, Antonios; Tunyi, Abongeh - In: Journal of business finance & accounting : JBFA 43 (2016) 1/2, pp. 66-97

Persistent link: https://www.econbiz.de/10011565356

Essays on financial economics

Warusawitharana, Missaka - 2006

Persistent link: https://www.econbiz.de/10003908769

Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

Persistent link: https://www.econbiz.de/10013545890

How do momentum strategies 'score' against individual investors in Taiwan, Hong Kong and Korea?

Hung, Chi-Hsiou D.; Banerjee, Anurag Narayan - In: Emerging markets review 21 (2014), pp. 67-81

Persistent link: https://www.econbiz.de/10011304337

International portfolio diversification : United States and South Asian equity markets

Mushtaq, Rizwan; Ali Shah, Syed Zulfiqar - In: Panoeconomicus 61 (2014) 2, pp. 241-252

Persistent link: https://www.econbiz.de/10010341348

Residual momentum versus price momentum : evidence from four Asian markets

Chiao, Chao-Shin; Hsiao, Yu-Jen; Chen, Jou-Chun; An, … - In: Asia-Pacific journal of accounting & economics : … 27 (2020) 6, pp. 717-726

Persistent link: https://www.econbiz.de/10012312088

Net transmitter of stock market volatility and safe haven for portfolio investors in the Asian dragons

Lee, Cheng-Wen; Chen, Shu-Hui; Huruta, Andrian Dolfriandra - In: Economies : open access journal 10 (2022) 11, pp. 1-14

The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided the monthly statistics (from August 1997 to December 2020). This study used a generalized autoregressive conditional heteroskedasticity-autoregressive moving average (GARCH-ARMA)...

Persistent link: https://www.econbiz.de/10013499504

Portfolio performance in relation to quality, carnings, dividends, firm size, leveragr, and return on equity

Muller, Frederick L.; Fielitz, Bruce D.; Greene, Myron T. - In: The journal of financial research 7 (1984) 1, pp. 17-26

Persistent link: https://www.econbiz.de/10003547190

Equities as long-term inflation hedges : small versus large company stocks

Ciner, Cetin - In: Applied economics letters 22 (2015) 16/18, pp. 1395-1398

Persistent link: https://www.econbiz.de/10011380206

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