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Multifactor Stock Portfolio Forming in Indonesian Stock Exchange

Pasaribu, Rowland Bismark - 2017

better asset pricing model. This study aims to provide an overview of the establishment of a stock portfolio with a … portfolio is formed …

Persistent link: https://www.econbiz.de/10012942855

The Liquid Stock Portfolio Value at Risk : Case of Big and Small Capitalization in Indonesia Stock Exchange

Pasaribu, Rowland Bismark - 2017

The purpose of the study is to analyze and test empirically the influence of liquidity in stocks and portfolio risk … portfolio level stocks. This study also makes it clear that the diversification of stock portfolios achieves risk reduction …

Persistent link: https://www.econbiz.de/10012942867

Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange

Shah, Jalal - 2017

In this study, we examine several aspects of the momentum strategies such as profitability, risk-based explanation, and decomposition of the momentum profits. For this purpose, we use weekly and monthly data of 581 firms listed at the Pakistan Stock Exchange (PSX) for the period 2004-2014. We...

Persistent link: https://www.econbiz.de/10012944383

Modeling the optimal portfolio : the case of the largest European stock exchanges

Aliu, Florin; Nuhiu, Artor; Krasniqi, Besnik A.; Aliu, … - In: Comparative economic research : Central and Eastern Europe 23 (2020) 2, pp. 41-51

Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio … portfolio increases. Six diverse portfolios have been created with a different number of stocks, such as portfolios with 47 … contrary to the standard portfolio theories. The results of the study indicate managerial implications for financial investors …

Persistent link: https://www.econbiz.de/10012417505

Sustainable investing based on momentum strategies in emerging stock markets : a case study for Bombay Stock Exchange (BSE) of India

Spulbăr, Cristi; Ejaz, Abdullah; Birau, Ramona; … - In: Scientific Annals of Economics and Business 66 (2019) 3, pp. 351-361

Persistent link: https://www.econbiz.de/10012405853

Assessment of return and volatility spillover across sectors' indices : evidence from Pakistan stock exchange

Khalid, Hafiza Muntaha; Farooq, Sadia; Liaqat, Faiza; … - In: International journal of monetary economics and finance … 14 (2021) 5, pp. 477-496

Persistent link: https://www.econbiz.de/10012671202

Are Asian exchanges outliers? : a market quality criterion

Chakravarty, Ranjan R.; Pani, Sudhanshu - In: Investment management and financial innovations 18 (2021) 2, pp. 64-78

Persistent link: https://www.econbiz.de/10012698120

Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange

Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94

The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...

Persistent link: https://www.econbiz.de/10012183556

Portfolio selection and optimization through neural networks and Markowitz model : a case of Pakistan stock exchange listed companies

Iqbal, Javed; Sandhu, Moeed Ahmad; Amin, Shaheera; … - In: Review of economics and development studies 5 (2019) 1, pp. 183-196

Persistent link: https://www.econbiz.de/10012053302

The performance of undiversified portfolio in Indonesia Stock Exchange

Frensidy, Budi - In: The journal of applied business research 32 (2016) 4, pp. 1041-1048

Persistent link: https://www.econbiz.de/10011557731