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Coskewness in Islamic, Socially Responsible and Conventional Mutual Funds : An Asset Pricing Test

Hassan, Abul - 2017

Intuition suggests that constraint investment strategies will result in losses due to a limited portfolio allocation. Two types of constrained assets have been particularly growing over the last few decades: Islamic Mutual Funds and Socially Responsible Mutual Funds. Although research regarding...

Persistent link: https://www.econbiz.de/10012959695

The Cross-Section of Currency Volatility Premia

Della Corte, Pasquale - 2019

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...

Persistent link: https://www.econbiz.de/10012902489

The Momentum Effect in Country-Level Stock Market Anomalies

Zaremba, Adam - 2019

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before....

Persistent link: https://www.econbiz.de/10012904212

Liquidity and Asset Prices : An Empirical Investigation of the Finnish Stock Market

Butt, Hilal Anwar - 2019

to the simple CAPM to explain variations in returns across assets and periods …

Persistent link: https://www.econbiz.de/10012905526

Does the Conditional CAPM Explain Asset Pricing Anomalies? Evidence from the Istanbul Stock Exchange

Yalcin, Atakan - 2019

This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects … utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing …

Persistent link: https://www.econbiz.de/10012906135

A Practitioner’s Guide to the CAPM : An Empirical Study

French, Jordan - 2018

The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from … the pricing, contrary to popular studies that use five to ten years of historical data. There are many different CAPM …

Persistent link: https://www.econbiz.de/10012907773

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

Persistent link: https://www.econbiz.de/10012888297

The Cross-Section of Returns in Frontier Equity Markets : Integrated or Segmented Pricing?

Zaremba, Adam - 2019

Is asset pricing segmented or integrated in frontier equity markets? To answer this question, we examine the returns on more than 4,500 stocks from 22 frontier countries for the years 1997–2018. We evaluate the performance of a few major asset pricing models. We document strong value and...

Persistent link: https://www.econbiz.de/10012893028

Limits to Arbitrage, Investor Sentiment, and Factor Returns in International Government Bond Markets

Zaremba, Adam - 2019

The perspective of behavioral finance is that anomalies in the cross-section of returns are driven by mispricing that arises from investor irrationality that cannot be easily arbitraged away. In this study, we examine the implications of this for international government bond markets. Using data...

Persistent link: https://www.econbiz.de/10012893037

Seasonality in the Cross Section of Factor Premia

Zaremba, Adam - 2019

This study examines the seasonality effect in the cross section of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigated the cross-sectional seasonality of market, value, size, momentum, quality, and low-risk premia within...

Persistent link: https://www.econbiz.de/10012893040