Showing 11 - 20 of 1,122
The puzzling evidence of seemingly high momentum returns is related to an understanding ofrisk as a simple covariance. If we consider, however, risk in higher-order statistical moments,momentum returns appear less advantageous.
Persistent link: https://www.econbiz.de/10005867505
This study shows that order flow in a foreign exchange market only has permanent price impact if itcomes from certain regions. These regions are – as predicted by the local information hypothesis –centers of political and financial decision making. It is revealing that orders from other...
Persistent link: https://www.econbiz.de/10005867509
Evidence from credit files is provided to examine bank lending determinants of Thaicommercial banks. Their lending practice follows reasonable patterns as a standardset of variables, including indirect risk variables, explains much of the variance in interestrate spread. Reflecting institutional...
Persistent link: https://www.econbiz.de/10005867517
This paper extends earlier studies on exchange rate expectations' formation by using newdata and adding information about forecasters' reliance on fundamental analysis for the firsttime. We replicate the conventional result of non rational expectations. Moreover, biases inexpectations are...
Persistent link: https://www.econbiz.de/10005867586
Our questionnaire survey finds that most fund managers rely on the strategies ofbuy-&-hold, momentum and contrarian trading. These strategies are typically appliedmutually. Their use is rooted in the attributes and beliefs of the respective fund managers:buy-&-hold traders behave fundamentally...
Persistent link: https://www.econbiz.de/10005867593
This paper finds that fund managers do not expect mean reverting returns, as suggested by theory andempirical evidence, but mean averting returns.[...]
Persistent link: https://www.econbiz.de/10005867603
This paper analyzes the behaviour and motivation of fund managers in foreign exchangemarkets reflected in questionnaire evidence. We find that fund managers andFX dealers differ significantly. Fund managers rely more on fundamentals, basicallydue to their longer forecasting horizons, and reject...
Persistent link: https://www.econbiz.de/10005867605
survey of fund managers reveals home bias for these sophisticated investorsin an unrestricted setting. Proximity, perceived informational advantage andhigher expected returns are confirmed as accompanying factors. In addition, thehome bias of equity managers is also related to institutional,...
Persistent link: https://www.econbiz.de/10005867638
Empirical research has shown that inexperienced fund managers yield significantly higherreturns than their more experienced colleagues. If the portfolios of inexperienced are not morerisky, this result would contradict the hypothesis of market efficiency. Therefore, it is animportant question...
Persistent link: https://www.econbiz.de/10005867642
The use of technical analysis by financial market professionals is not well understood. Thispaper thus analyzes survey evidence from 692 fund managers in five countries, the vast majorityof whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis isthe most...
Persistent link: https://www.econbiz.de/10005870741