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Evaluating ESG investment profitability : from the perspective of sophistication in investment decision-making

Lu, Xiaomeng; Zhang, Xianjun; Guo, Fusen; Li, Feng - In: Finance research letters 69 (2024) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10015080131

Time-zone arbitrage in vanguard international index funds

Donnelly, Katelyn Rae (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003748416

Does the fundamental indexation portfolio perform better? : an Indian investigation

Kumar, Santosh; Tiwari, Ranjit - In: Accounting research journal 35 (2022) 2, pp. 121-144

Persistent link: https://www.econbiz.de/10012886454

Fast and slow arbitrage : fund flows and mispricing in the frequency domain

Peress, Joël; Xi, Dong; Kang, Namho - 2020

Persistent link: https://www.econbiz.de/10012300568

Cointegration-based trading : evidence on index tracking & market-neutral strategies

Papantonis, Ioannis - In: Managerial finance 42 (2016) 5, pp. 449-471

Persistent link: https://www.econbiz.de/10011570282

Bill Gross' alpha : the king versus the oracle

Brown, Aaron; Dewey, Richard - In: Journal of investment management : JOIM 17 (2019) 3, pp. 65-81

Persistent link: https://www.econbiz.de/10012111184

Pairs trading in the index options market

Brunetti, Marianna; De Luca, Roberta - 2021 - This version: March 2021

Persistent link: https://www.econbiz.de/10013256318

Investor heterogeneity and large-scale asset purchases

Breckenfelder, Johannes; De Falco, Veronica - 2024

Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...

Persistent link: https://www.econbiz.de/10014528264

Comovement, Index Investing and the Financialization of Commodities

Bonato, Matteo - 2018

2017 for 25 US-traded commodities, we find a statistically significant increase in comovement among non-energy index …-commodities. This increase is only temporary. In contrast, no change in comovement is observed for off-index commodities over the entire … the results. Such comovement ‘index effect' is in line with the predictions of theoretical models of the financialization …

Persistent link: https://www.econbiz.de/10012937435

Modeling momentum and reversals

Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

captured, the model is arbitrage free, and market informational efficiency is preserved. Simulation shows that in such a market …

Persistent link: https://www.econbiz.de/10013555665