This paper investigates the relationship between demographic changes and the long-run returns of dividend-yield investment strategies in the US. We hypothesise that in a world where components of wealth are mentally treated as being non-fungible, the preference for high dividend-paying stocks by...

This study establishes a multi-tier framework to evaluate how fund manager characteristics systematically affect mutual fund performance. The framework includes three tiers of performance elements: 1) comprehensive performance, 2) return and risk, and 3) timing skill and picking ability. Using...

In the classical quantitative finance literature it is assumed that there is a risk free rate at which hedgers can borrow and lend in the dynamic replication process of financial derivatives. In such a framework, under complete market conditions and absence of arbitrage opportunities, for a...

The design of models for time series forecasting has found a solid foundation on statistics and mathematics. On this basis, in recent years, using intelligence-based techniques for forecasting has proved to be extremely successful and also is an appropriate choice as approximators to model and...

In this work we have found a relevant increase in the systematic risk of the American real estate securities in the year 2007 which go to the initial values in the year 2009. With the aim to evaluate the systematic risk we have used the Fama-French three factor model and we have studied the...

These lecture notes are about financial innovations. We ask why are there some innovation and how is an innovative idea realized. This forces us to consider practical and structural aspects (regulations, taxation, markets) as key drivers of innovations and also basic formal aspects in valuation....

We study the consequences of broader access to credit and capital markets on household decisions over the number of children. A model of the net reproduction rate is estimated on data from 78 countries over the period 1995{2010. Liquidity constraints are approximated by private credit and...

The objective of this research paper is to examine the effects of various factors like violence, stock exchange performance and exchange rate on Foreign Direct Investment (FDI) inflow into Pakistan. For econometric analysis monthly secondary data ranging from 2003 to 2011 has been used....

The article offers the indicator of the general level of integration (quantitative estimation of convergence) of the banking, insurance and reinsurance markets as a result of integration processes by identifying the numerical values of this indicator with subsequent qualitative interpretation on...

This paper examines the holiday effect presence of on the Romanian stock market. We perform regressions with dummy variables and daily values of some from the main indexes of the Bucharest Stock Exchange. The results indicate a post-holiday effect for all the indexes and a pre-holiday effect...