L’accélération des échanges internationaux de capitaux a révélé au grand public le rôle déterminant joué par le fonctionnement des marchés financiers. La Bourse est dans ce cadre un acteur central, lieu de rencontre – réel et virtuel – entre l’offre et la demande de capitaux....

In this article, we analyse whether the class of adequately defined drawdown-based performance measures produces hedge fund rankings similar to the one that can be obtained using the Sharpe ratio. Supported by a series of robustness checks, we find that the choice of performance measure does not...

The currency carry-trade, which consists of selling low-yielding currencies and investing in high-yielding currencies, has the potential to be a new alternative asset class in the asset allocation decision. Using the Sharpe ratio and other performance measures, carry-trade displays noticeable...

We investigate whether lack of familiarity may contribute to an explanation of the gender gap in stock market participation and risk taking. We use ads in widely read women magazines to select companies that we assume to be more familiar to women than to men, and construct a “pink”...

Using a set of transaction records from the Taiwan Futures Exchange, we examine risk-taking behavior subject to prior outcomes and study the house money and break-even effects across various trader types. The empirical results show that the degree of morning gains/losses nonlinearly influences...

This paper examines the performance of Australian managed funds by adopting the false discovery rate (FDR). Comparing the estimation results between the four-factor model and the conditional model reveals that the use of conditioning information improves the performance of Australian managed...

E cikk az új, feltehetően 2007-ben életbe lépő Bázel II. tőkeegyezményben a hitelkockázatok számszerűsítésére alkalmazott közgazdasági modellt és annak matematikai hátterét mutatja be. A modell olyan leegyszerűsítő feltevéseket használ a csődfolyamatok modellezésére...

This paper continues the data collection procedure and analysis set forth in Nyberg and Vaihekoski (2009). A number of new time series that are commonly used in finance literature are collected, created, and analyzed for the first time. These series include, among others, monthly dividend yields...

This paper investigates an intertemporal general equilibrium theory of capital asset pricing with the spirit of capitalism. It is an attempt to put together ideas from the modern finance literature and the literature on stochastic growth models. Using methods adopted in Brock (1982), an...