This paper uses order-level data of all traders of the Italian stock exchange Borsa Italiana (BI) to resolve three issues that remained unsettled in the extant microstructure literature: the interaction between the exchange and a parallel market for large blocks; the asymmetry between the price...

Previous research suggests that investor sentiment has an influence on the market s risk-return trade-off. Noise traders demand for assets is considered to be risk independent and, as a result, risky assets do not offer a risk premium when demand is high. We show that market risk is only a...

El objetivo de este artículo es evaluar empíricamente la naturaleza de la relación entre el Sistema de Pensiones basado en cuentas de capitalización individual y la Profundidad Financiera en Bolivia. Para este propósito, se utilizan el contraste de cointegración de Engle- Granger y de...

Previous research suggests that investor sentiment has an influence on the market s risk-return trade-off. Noise traders demand for assets is considered to be risk independent and, as a result, risky assets do not offer a risk premium when demand is high. We show that market risk is only a...

Abstract: We investigate the effect of the fund provider s brand on mutual fund flows by using a unique data set that represents a direct assessment of the brand image of European fund providers. A superior brand image increases the sensitivity of flows to past performance, while an inferior...

This paper continues the series of researches about the paradoxes of modern stock exchange markets and their impact on the real economy, addressing this time the most important technical anomalies but also fundamental anomalies, which can be observed on the financial markets. As we mentioned in...

In this article we propose an easy approach of stock exchanges and their impact on the real economy. The paradoxes of modern stock exchanges are commonly understood as opinions that contradict the generally accepted truth and therefore are considered absurdities or huge enormity by the majority...

Comme beaucoup d’autres pays européens, le Portugal a engagé des réformes de son systèmede retraite dans le but de fournir aux futurs retraités un revenu de remplacement suffisant tout enconciliant un juste équilibre entre les différents régimes. L’introduction de compléments...

In this paper, we develop a theoretical model of fund of hedge fund net leverage and alpha where the cost of borrowing is increasing with net leverage, thereby impacting the performance. We use this model to determine the conditions under which the leverage has a negative or a positive impact on...

In this paper, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. We argue that the alpha of hedge funds is dynamic and that the time-varying alpha captures this dynamic behavior. Therefore, forming portfolios based on their...