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New Trends in Asset Management: Exploring the Implications <Veranstaltung> <2008, München>
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Wettbewerbspolitik und Regulierung in einer Globalen Wirtschaftsordnung <Veranstaltung> <2013, Düsseldorf>
1
Zentrum für Finanzen und Ökonometrie <Konstanz>
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Journal of risk and financial management : JRFM
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Cogent economics & finance
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NBER working paper series
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Borsa Istanbul Review
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FINRISK Working Paper Series
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Institut für Schweizerisches Bankwesen Zürich - Working Paper Series
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CBN journal of applied statistics
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1
Does Profitability Really Matter? Marginality, Volatility & $ Trillion Question
Muthusamy, Senthil Kumar
-
2020
Firm Profitability - Does it really matter for shareholder return or ROE (return on equity)? Does this question sound oxymoron and antithetic? Not really. On the contrary, evidence has surfaced that Returns on equity - based on the shareholders' equity accounted in the balance sheet - is not...
Persistent link: https://www.econbiz.de/10012841357
Saved in:
2
Low-Volatility Investing : Empirical Evidence of the Defensive Properties of Low Volatility Enhanced Portfolios
Merz, Thomas
-
2016
Our study provides further insights into the evidence of excess returns of low volatility enhanced portfolios. Based on the framework presented by Campbell and Vuolteenaho (2003), we analyze through-the-cycle as well as stress periods to provide an insight into which portfolio construction...
Persistent link: https://www.econbiz.de/10012987959
Saved in:
3
New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets
Bahcivan, Hulusi
;
Dam, Lammertjan
;
Gonenc, Halit
-
2023
portfolios -shaped according to lagged jump returns- incurs 0.8% of risk-adjusted loss in 1-month
investment
horizon. Together …
Persistent link: https://www.econbiz.de/10014254878
Saved in:
4
Idiosyncratic Volatility, Institutional Ownership, and
Investment
Horizon
Chichernea, Doina
-
2020
conditioning on institutions'
investment
horizon. Prior literature establishes a positive link between growing institutional …
Persistent link: https://www.econbiz.de/10012857181
Saved in:
5
Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity
Albuquerque, Rui A.
-
2011
This paper analyzes the asset pricing implications of periodic cash payouts within the context of a stationary rational expectations model with heterogeneous investors. The periodicity of cash payouts provides a natural motivation for time-varying conditional volatility in stock returns. I show...
Persistent link: https://www.econbiz.de/10013134160
Saved in:
6
Common risk factors of infrastructure firms
Ben Ammar, Semir
;
Eling, Martin
-
2013
-
This version: 05/07/2013
, size, value, momentum, cashflow volatility, leverage,
investment
growth, term risk, and default risk. We empirically test …
Persistent link: https://www.econbiz.de/10010410032
Saved in:
7
Cross-Country Equity
Investment
and Exchange Rate Dynamics
Chang, Sanders
-
2011
This paper develops a model of exchange rate dynamics that takes into account speculative positions in foreign and domestic equities in addition to the "standard" positions in short-term riskless deposits. The modeling of cross-country stock holdings is motivated by evidence that a large and...
Persistent link: https://www.econbiz.de/10013129102
Saved in:
8
Easy Volatility Investing
Cooper, Tony
-
2013
For many decades the only way to invest in volatility has been through trading options, futures, or variance swaps. But in recent years a number of volatility-related exchange traded Funds (ETFs) and Exchange Traded Notes (ETNs) have been launched which make volatility trading accessible to the...
Persistent link: https://www.econbiz.de/10013082981
Saved in:
9
Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E.
-
2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
Saved in:
10
High-Frequency Trading, Stock Volatility, and Price Discovery
Zhang, Frank
-
2010
High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...
Persistent link: https://www.econbiz.de/10013137079
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