The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidences of monthly returns and volatility of PFTS-index are examined. A strong evidence of a calendar effect i.e. December effect on Ukrainian PFTS exchange was found. It can be explained...

The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidences of monthly returns and volatility of PFTS-index are examined. A strong evidence of a calendar effect i.e. December effect on Ukrainian PFTS exchange was found. It can be explained...

This paper studies the month of the year effect, where January effect presents positive and the highest returns of the other months of the year. In order to investigate the specific calendar effect in global level, fifty five stock market indices from fifty one countries are examined. Symmetric...

<p>I discuss a new intellectual paradigm, social economics and finance: the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is...</p>

<p>This document contains presentation slides for the American Finance Association's Presidential Address of January 4, 2020. The address is based on the paper "Social Transmission Bias in Economics and Finance."</p><p>The paper: "https://ssrn.com/abstract=3550880" https://ssrn.com/abstract=3550880...</p>

<p>I discuss a new intellectual paradigm, social economics and finance: the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is...</p>

The present value discount rate is about the investor, the expected market rate of return on his best alternative asset (BAA), his opportunity cost of buying a subject asset (not the subject's rate of return, subject owner's/seller's cost of capital, nor the required rate of return on an...

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...

These lecture notes cover old and new investment methods, regulatory and legal developments and the role of technology as a game changer in asset management. The discussion gives the same weight to the theoretical and practical aspects of asset management. The focus is on portfolio...

The hedge fund industry has grown from $200 billion in assets under management around the turn of the millennium to now over $3 trillion. Many reports have criticized hedge funds for poor performance, particularly since the 2008 global financial crisis (GFC). In this paper, I seek to demystify...