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Will the winner still be the winner? A study of equity mutual fund performance in Indonesia

Frensidy, Budi; Nainggolan, Reynardo; Robiyanto, Robiyanto - In: Verslas: Teorija ir praktika / Business: Theory and Practice 21 (2020) 2, pp. 566-577

addressed. Will the winning mutual funds be the winner in the following period? Is the performance of a longer period more … funds in Indonesia earn no stable performance. The winner will not always be the winner in the following observed period. In … addition, no evidence is found that long-term performance would result in a better persistence than that of the shorter time …

Persistent link: https://www.econbiz.de/10012703624

Determinants of Stock Market Correlation. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting

Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...

Persistent link: https://www.econbiz.de/10013427742

The Capital Asset Pricing Model: A New Empirical Investigation

Zarifhonarvar, Ali - 2023

In financial economics, numerous theoretical models explain the relationship between investment risk and return in the capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this area, this study discusses the theoretical background...

Persistent link: https://www.econbiz.de/10013499610

The Cross-Section of Cryptocurrency Risk and Return

Günther, Steffen; Fieberg, Christian; Poddig, Thorsten - In: Vierteljahrshefte zur Wirtschaftsforschung 89 (2020) 4, pp. 7-28

We analyze the cross-section of more than 1200 cryptocurrencies derived from 350 exchanges in the time period from January 2014 to June 2020. Specifically, we investigate whether well-known cross-sectional characteristics like beta (Fama/MacBeth (1973)), size (Banz (1981)) or momentum (...

Persistent link: https://www.econbiz.de/10014001303

Predictability of earnings and its impact on stock returns: Evidence from India

Kundu, Sayantan; Banerjee, Aditya - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-24

The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...

Persistent link: https://www.econbiz.de/10014001364

The role of reference-dependent preferences in the idiosyncratic volatility puzzle: Evidence from Korea

In: Cogent Economics & Finance 8 (2020) 1, pp. 1-15

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and...

Persistent link: https://www.econbiz.de/10014001413

Calendar anomalies in African stock markets

Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-17

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...

Persistent link: https://www.econbiz.de/10014001526

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries

Sahabuddin, Mohammad; Tabash, Mosab I.; Alam, Md. Kausar; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and...

Persistent link: https://www.econbiz.de/10014332858

Pre-IPO financial performance and offer price estimation: Evidence from India

Yadav, Ajay; Prosad, Jaya Mamta - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-19

Performance Indicators and IPO Offer Prices. It seeks to assist Indian IPO investors to make more informed decisions by advancing … their knowledge about relevant Pre-IPO Financial Performance Indicators that are effective predictors of Offer Price. The … multiple linear regression model. This study uses a range of fundamental factors related to financial performance in a single …

Persistent link: https://www.econbiz.de/10014332881

Green Bonds, Conventional Bonds and Geopolitical Risk

Sheenan, Lisa - 2023

This paper analyses linkages between green, conventional (corporate and sovereign) bond markets and geopolitical risk in high and low volatility periods between 2014 and 2022 using a Markov-switching VAR (MS-VAR) framework. The results indicate that geopolitical risk significantly affects green...

Persistent link: https://www.econbiz.de/10014369247