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Can exchange traded funds be used to exploit industry and country momentum?
Andreu, Laura; Swinkels, Laurens; Tjong-A-Tjoe, Liam - In: Financial Markets and Portfolio Management 27 (2013) 2, pp. 127-148
There is overwhelming empirical evidence on the existence of country and industry momentum effects. This line of research suggests that investors who buy country and industry portfolios with relatively high past returns and sell countries and industries with relatively low past returns will earn...
Persistent link: https://www.econbiz.de/10010987753
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A data-based power transformation for compositional data
T. Tsagris, Michail; Preston, Simon; T.A. Wood, Andrew - Volkswirtschaftliche Fakultät, … - 2011
the stay-in-the-simplex, is a Box-Cox type transformation. We call the second version the isometric �alpha …-transformation because of the multiplication with the Helmert sub-matrix. We discuss a parametric way of estimating the value of alpha … metrics corresponding to the family of �alpha-transformation and consider the corresponding family of Fr�echet means. …
Persistent link: https://www.econbiz.de/10011260258
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Extension of Feldt's approach to testing homogeneity of coefficients of reliability
Kraemer, Helena - In: Psychometrika 46 (1981) 1, pp. 41-45
Persistent link: https://www.econbiz.de/10005381799
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Reliability and expected loss: A unifying principle
Cooil, Bruce; Rust, Roland - In: Psychometrika 59 (1994) 2, pp. 203-216
Persistent link: https://www.econbiz.de/10005156274
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Smart rebalancing
Arnott, Robert D.; Li, Feifei; Linnainmaa, Juhani - In: Financial analysts journal : FAJ 80 (2024) 2, pp. 26-51
Persistent link: https://www.econbiz.de/10014576170
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Material ESG alpha : a fundamentals-based perspective
Ahn, Byung Hyun; Patatoukas, Panos N.; Skiadopoulos, … - In: The accounting review : a publication of the American … 99 (2024) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10014632024
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Investible benchmarks & hedge fund liquidity
Freed, Marc S; McMillan, Ben - Volkswirtschaftliche Fakultät, … - 2011
A lack of commonly accepted benchmarks for hedge fund performance has permitted hedge fund managers to attribute to …
Persistent link: https://www.econbiz.de/10009226946
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A Markov Test for Alpha
Young, H Peyton; Foster, Dean P.; Stine, Robert - Department of Economics, Oxford University - 2011
Alpha is the amount by which the returns from a given asset exceed the returns from the wider market.  The standard way … of estimating alpha is to correct for correlation with the market by regressing the asset's returns against the market … alpha based on the Markov inequality.  Since it is based on the compound value of the estimated excess returns, we call it …
Persistent link: https://www.econbiz.de/10009320944
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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Market volatility and hedge fund returns in emerging markets
Cao, B.; Jayasuriya, S. A. - In: Applied Financial Economics 21 (2011) 22, pp. 1691-1701
In this article, we estimate several augmented Treynor and Mazuy (1966) models to examine the performance of hedge fund …
Persistent link: https://www.econbiz.de/10009278661