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Herding in smart-beta investment products
Krkoska, Eduard; Schenk-Hoppé, Klaus Reiner - In: Journal of risk and financial management : JRFM 12 (2019) 1/47, pp. 1-14
We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have...
Persistent link: https://www.econbiz.de/10012022287
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Corporate managers, price noise and the investment factor
Lehnert, Thorsten - In: Financial innovation : FIN 8 (2022), pp. 1-18
This study investigates the impact of flows between bond and equity funds on investment factors over the period 1984 … the investment factor. The statistical reversal relationship between previous flows and the investment factor is … economically significant. A one-standard-deviation shock to flows causes a 0.29% decrease in investment factor returns, which are …
Persistent link: https://www.econbiz.de/10013272631
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Determinants of investment decisions on the capital market
Jasiniak, Magdalena - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 2, pp. 1-8
The article deals with the psychological determinants of investment decisions made by an individual investor on the … the context of capital investment. The results of the nationwide survey of 564 individual investors are based on analyses …
Persistent link: https://www.econbiz.de/10011967190
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The importance of capital market in economy
Andrieş, Alin Marius - In: CES working papers 1 (2009) 2, pp. 69-75
All participants in capital markets are asking how to finance investments or to invest money available. The answer to these questions depends on the situation you have: deficit or surplus capital. This article addresses issues concerning the place and role of capital market within the financial...
Persistent link: https://www.econbiz.de/10011992017
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Crowdfunding as an alternative method of raising capital
Wierzbicka, Katarzyna - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 4, pp. 56-66
financing for investment projects. Despite the interest of potential investors, individual social sponsors and large …
Persistent link: https://www.econbiz.de/10011993119
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Momentum investing : evidence from the US tourism and hospitality
Shaker Ahmed, Mohamed - In: European journal of management and business economics : … 31 (2022) 3, pp. 269-284
Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were...
Persistent link: https://www.econbiz.de/10013330980
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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
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Real effects of stock underpricing
Hau, Harald; Lai, Sandy - In: Journal of Financial Economics 108 (2013) 2, pp. 392-408
This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire … whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any … fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most …
Persistent link: https://www.econbiz.de/10010664046
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Spectral analysis and the death of value investing
Bezuidenhout, John-Morgan; Van Vuuren, Gary - In: Cogent economics & finance 9 (2021) 1, pp. 1-23
investing's underperformance relative to growth investment strategies. The Adaptive Market Hypothesis suggests that market …
Persistent link: https://www.econbiz.de/10013184434
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The relationship between investment and internal cash flows in VC-backed SMEs : does firm size matter?
Serrasqueiro, Zélia; Sardo, Filipe; Félix, Elisabete … - In: Journal of entrepreneurial finance : JEF ; official … 21 (2019) 1, pp. 38-56
analyze the relationship between investment and internal cash flows. The results indicate that the investment sensitivity to … VC-backed SME investment. The moderation effect of VC ownership reduces the magnitudes of the positive impact of cash … flows and debt as well as the negative effect of growth opportunities on investment in both smaller and larger VC …
Persistent link: https://www.econbiz.de/10012241535