Showing 81 - 90 of 510
This statistical study refines and updates Sharpe's empirical paper (1975, Financial Analysts Journal) on switching between US common stocks and cash equivalents. According to the original conclusion, profitable market timing relies on a representative portfolio manager who can correctly...
Persistent link: https://www.econbiz.de/10012611807
We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this by incorporating the potentially asymmetric links into the system of 'independent' predictive regressions of returns and volatility, allowing for asymmetric cross-correlations,...
Persistent link: https://www.econbiz.de/10012628462
This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis. The value premium is considered to be redundant due to structural...
Persistent link: https://www.econbiz.de/10014001392
It is an open secret that most investment funds actually underperform the market. Yet, millions of individual investors fare even worse, barely treading water. Algorithmic trading is now so common, it accounts for over 80% of all trades and is the domain of professionals. Can it also help the...
Persistent link: https://www.econbiz.de/10014332481
Unbeknownst to the public, most investment funds actually underperform the broader market. Yet, millions of individual investors fare even worse, barely treading water. Algorithmic trading now accounts for over 80% of all trades and is the domain of professionals. Can it also help the small...
Persistent link: https://www.econbiz.de/10014332853
This study complements the scarce literature on conditional market timing in the mutual fund industry by assessing determinants of market timing throughout the distribution of market exposure. It builds on the intuition that the degree of responsiveness by fund managers to investigated factors...
Persistent link: https://www.econbiz.de/10011784886
This paper shows that portfolio constraints have important implications for management compensation and performance evaluation. In particular, in the presence of portfolio constraints, allowing for benchmarking can be bene…cial. Benchmark design arises as an alternative effort inducement...
Persistent link: https://www.econbiz.de/10010311642
A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary policy. We show how this information can be exploited to produce accurate forecasts of bond excess returns and...
Persistent link: https://www.econbiz.de/10010318692
After the announcement of the European Central Bank's corporate quantitative easing program, non-financial corporations timed the bond market by shifting their issuance toward bonds eligible for the program. However, issuers of eligible bonds did not increase total issuance compared to other...
Persistent link: https://www.econbiz.de/10012515441
Approximately 50% of the households in America invest in the stock market. In many cases the investor's buy and hold strategy leads to negative returns. Given the stock market fluctuates up and down as time progresses, analysts examine stock prices, volumes traded and ratios to recommend buy and...
Persistent link: https://www.econbiz.de/10009431244