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Do diamond stocks shine brighter than diamonds?

Jotanovic, Vera; D'Ecclesia, Rita L. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-19

This paper addresses two practical investment questions: Is investing in the diamond equity market a more feasible and … liquid alternative to investing in diamonds? Additionally, is diamond equity affected by polished diamond prices? We assemble … an original database of diamond mining stock prices traded on main stock exchanges in order to assess their relationship …

Persistent link: https://www.econbiz.de/10012611119

Hong Kong : Risk or Alpha? Factor Analysis on the Hong Kong Stock Market – Additional Risk Factors or Anomalies?

Nicoletti, Nicola - 2011

This paper aims to analyze so-called anomalies or additional risk factors (other than market risk) on the Hong Kong stock exchange. To do so, we first select arbitrarily several factors that we a priori believe to be significant, we then collect the data and evaluate the returns associated with...

Persistent link: https://www.econbiz.de/10013123414

A Risk-Return Analysis of the Chinese Stock Market

Nandha, Mohan - 2013

This study examines the risk-return characteristics of the Chinese A and H B-shares from domestic and foreign investors' perspective over the period January 1995 to June 2012. On average, H B-shares appear to offer a better risk-adjusted return irrespective of whether the returns are measured in...

Persistent link: https://www.econbiz.de/10013088569

The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns

Blackburn, Douglas W. - 2017

Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...

Persistent link: https://www.econbiz.de/10012958130

Risk or Mispricing? Cross-Country Evidence on the Cross-Section of Stock Returns

Dong, Mike - 2019

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

Persistent link: https://www.econbiz.de/10012860225

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

Persistent link: https://www.econbiz.de/10012259354

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Betting against beta (and gamma) using government bonds

Durham, J. Benson - 2015

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

Persistent link: https://www.econbiz.de/10010467093

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

Betting Against Beta (and Gamma) Using Government Bonds

Durham, J. Benson - 2016

Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this...

Persistent link: https://www.econbiz.de/10013005284

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