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China A-shares : strategic allocation to market and factor premiums
Groot, Wilma de; Swinkels, Laurens; Zhou, Weili - In: The journal of portfolio management : JPM 47 (2021) 7, pp. 131-149
Persistent link: https://www.econbiz.de/10012613231
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Exploiting option information in the equity market
Baltussen, Guido; Grient, Bart van der; Groot, Wilma de; … - In: Financial analysts' journal : FAJ 68 (2012) 4, pp. 56-72
Persistent link: https://www.econbiz.de/10009680590
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Anomalies in the China A-share market
Jansen, Maarten; Swinkels, Laurens; Zhou, Weili - In: Pacific-Basin finance journal 68 (2021), pp. 1-27
Persistent link: https://www.econbiz.de/10013332523
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Factor models for Chinese A-shares
Hanauer, Matthias; Jansen, Maarten; Swinkels, Laurens; … - In: International review of financial analysis 91 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014446984
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Exploiting Commodity Momentum Along the Futures Curves
de Groot, Wilma - 2014
This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher...
Persistent link: https://www.econbiz.de/10013048644
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Exploiting commodity momentum along the futures curves
de Groot, Wilma; Karstanje, Dennis; Zhou, Weili - In: Journal of Banking & Finance 48 (2014) C, pp. 79-93
This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher...
Persistent link: https://www.econbiz.de/10011077984
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Pension fund asset allocation under uncertainty
Groot, Wilma de; Swinkels, Laurens - In: Pension fund risk management : financial and actuarial …, (pp. 157-166). 2010
Persistent link: https://www.econbiz.de/10003938207
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Incorporating uncertainty about alternative assets in strategic pension fund asset allocation
Groot, Wilma de; Swinkels, Laurens - In: Pensions : an international journal 13 (2008) 1/2, pp. 71-77
Persistent link: https://www.econbiz.de/10003986224
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Another look at trading costs and short-term reversal profits
Groot, Wilma de; Huij, Joop; Chow, Wei-Liang - In: Journal of banking & finance 36 (2012) 2, pp. 371-382
Persistent link: https://www.econbiz.de/10009511316
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The cross-section of stock returns in frontier emerging markets
Groot, Wilma de; Pang, Juan; Swinkels, Laurens - In: Journal of empirical finance 19 (2012) 5, pp. 796-818
Persistent link: https://www.econbiz.de/10009700587