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Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

ESG disclosure and portfolio performance

Bermejo Climent, Ramón; Figuerola-Ferretti Garrigues, … - In: Risks : open access journal 9 (2021) 10, pp. 1-14

performance. The impact of ESG disclosure on volatility is changing over time, suggesting that the existence of opaque ratings …

Persistent link: https://www.econbiz.de/10012632189

Further evidence of momentum in corporate bond returns

Lin, Hai; Tao, Xinyuan Stacie; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 65-97

Persistent link: https://www.econbiz.de/10012601390

A fundamental misunderstanding of risk : the bias associated with the annualized calculation of standard deviation

Burkett, Matthew W.; Scherer, William T. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Quantifiable, measurable risk is of critical importance when making data-driven decisions in finance and investment management, but what if the generally accepted practice of the investment industry for calculating risk possessed incorrect mathematical assumptions and embedded biases? This piece...

Persistent link: https://www.econbiz.de/10013179703

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Can equity be safe-haven for investment?

Janani Sri S.; Kayal, Parthajit; Balasubramanian, G. - In: Journal of emerging market finance 21 (2022) 1, pp. 32-63

Persistent link: https://www.econbiz.de/10013171276

Measuring the mutual fund industry risk management and performance sustainability : quantile regression model

Lee, Joe-ming - 2013

We apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility …, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied …

Persistent link: https://www.econbiz.de/10009776201

Evidence from business strategy of mutual fund managers after the financial crisis : panel smooth transition regression model

Lee, Joe-ming - 2013

between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be … different business strategy under the volatility threshold value and the control variables of asset of funds, management fee and … Turnover indicator. After the financial crisis, the threshold of volatility will be an important index to different business …

Persistent link: https://www.econbiz.de/10009776209

Strategic asset allocation and Markov Regime Switch with GARCH

Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51

Persistent link: https://www.econbiz.de/10009776452

Does volatility traverse between emerging and frontier stock markets of Asia?

Sato, Velip Suraj; Raju, Guntur Anjana - In: Investment management and financial innovations 17 (2020) 3, pp. 82-96

Persistent link: https://www.econbiz.de/10012405602