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Unconventional monetary policy and the interest rate channel: signalling and portfolio rebalancing

Loyd, Simon P. - 2017

Persistent link: https://www.econbiz.de/10012423778

Echo over the great wall : spillover effects of QE announcements on Chinese yield curve

Lin, Mucai; Niu, Linlin - In: Journal of international money and finance 111 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012796740

Analyzing Federal Reserve asset purchases : from whom does the Fed buy?

Carpenter, Seth B.; Demiralp, Selva; Ihrig, Jane; Klee, … - In: Journal of banking & finance 52 (2015), pp. 230-244

Persistent link: https://www.econbiz.de/10011377663

The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements

Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2021

fund investors, policy announcements work mainly through valuation effects (the signalling channel), rather than via active …

Persistent link: https://www.econbiz.de/10013315441

The portfolio of euro area fund investors and ECB monetary policy announcements

Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - In: Journal of international money and finance 89 (2018), pp. 103-126

Persistent link: https://www.econbiz.de/10012000980

The influence of central bank monetary policy announcements on cryptocurrency return volatility

Corbet, Shaen; McHugh, Grace; Meegan, Andrew - In: Investment management and financial innovations 14 (2017) 4, pp. 60-72

Persistent link: https://www.econbiz.de/10011876256

The portfolio of euro area fund investors and ECB monetary policy announcements

Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2017

fund investors, policy announcements work mainly through valuation effects (the signalling channel), rather than via active …

Persistent link: https://www.econbiz.de/10011764397

Measuring Portfolio Gains From Earnings Announcement Trading Signals

Lyle, Matthew R.; Yohn, Teri Lombardi - 2022

This study generates out-of-sample predictions from training data to construct investment portfolios that are mean-variance optimized and rebalanced daily to assess gains from incorporating signals based on post-earnings announcement drift (PEAD), the earnings announcement premium (EAP), and...

Persistent link: https://www.econbiz.de/10013294052

Dynamic management of interest rate risk for central banks and pension funds

Berkelaar, Arjan B.; Petre, Gabriel - In: Interest rate models, asset allocation and quantitative …, (pp. 64-89). 2010

Persistent link: https://www.econbiz.de/10008746639

Dynamic management of interest rate risk for central banks and pension funds

Berkelaar, Arjan B.; Petre, Gabriel - In: Interest rate models, asset allocation and quantitative …, (pp. 64-89). 2010

Persistent link: https://www.econbiz.de/10003940910

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