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Overreaction and Portfolio Selection Strategies in the Tunisian Stock Market

Trabelsi, Mohamed Ali - 2011

Purpose - This article aims to present a new strategy of portfolio selection.Design/methodology/approach - After having made a comparative survey of different strategies of portfolio selection adopted by portfolio managers in Tunisia, we propose a new strategy, which we call weighted...

Persistent link: https://www.econbiz.de/10013128917

Coskewness in Islamic, Socially Responsible and Conventional Mutual Funds : An Asset Pricing Test

Hassan, Abul - 2017

Intuition suggests that constraint investment strategies will result in losses due to a limited portfolio allocation. Two types of constrained assets have been particularly growing over the last few decades: Islamic Mutual Funds and Socially Responsible Mutual Funds. Although research regarding...

Persistent link: https://www.econbiz.de/10012959695

The effect of stock return sequences on trading volumes

Kudryavtsev, Andrey - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-15

The present study explores the effect of the gambler’s fallacy on stock trading volumes. I hypothesize that if a stock’s price rises (falls) during a number of consecutive trading days, then the gambler’s fallacy may cause at least some of the investors to expect that the stock’s price...

Persistent link: https://www.econbiz.de/10011760176

An analysis of conditional mean-variance portfolio performance using hierarchical clustering

Owen, Stephen R. - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper studies portfolio optimization through improvements of ex-ante conditional covariance estimates. We use the cross-section of stock returns over a 52-year sample to analyze trading performance by implementing the machine learning algorithm of hierarchical clustering. We find that...

Persistent link: https://www.econbiz.de/10014514019

Expected Returns and the Predictability of Equity Lending Fees

Andrews, Spencer - 2022

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

Persistent link: https://www.econbiz.de/10013491786

Sources of Momentum Returns : A Decomposition of the Explained and the Unexplained Risk Factors

Sarwar, Sirajum M. - 2015

In this paper, I examine the sources of momentum returns and uncover a list of intriguing features. I find that when the momentum returns are decomposed the contributions of the explained and the unexplained risk factors depend on the level of analysis, the risk factors used, and the lag...

Persistent link: https://www.econbiz.de/10013029071

The effect of preceding sequences on stock returns

Kudryavtsev, Andrey - In: European financial and accounting journal : EFAJ 12 (2017) 4, pp. 83-96

This study explores the effect of the gambler's fallacy on stock returns. I hypothesize that if during a number of consecutive trading days, a stock's return is positive (negative), then due to the gambler's fallacy, at least some of the investors may believe that the stock's price "has" to...

Persistent link: https://www.econbiz.de/10011820323

Common risk factors of infrastructure firms

Ben Ammar, Semir; Eling, Martin - 2013 - This version: 05/07/2013

, size, value, momentum, cashflow volatility, leverage, investment growth, term risk, and default risk. We empirically test …

Persistent link: https://www.econbiz.de/10010410032

Cross-Country Equity Investment and Exchange Rate Dynamics

Chang, Sanders - 2011

This paper develops a model of exchange rate dynamics that takes into account speculative positions in foreign and domestic equities in addition to the "standard" positions in short-term riskless deposits. The modeling of cross-country stock holdings is motivated by evidence that a large and...

Persistent link: https://www.econbiz.de/10013129102

Finding the Persistence of Stock Volatility on the NSE, Nifty Indices

paldon, trinley - 2020

This study is conducted to find if there is an existence of volatility persisting in any of the market capitalization …'s (1991) EGARCH and TGARCH. It is found that Smallcap and Midcap stock index is showing persistence in stock volatility with … existence of volatility clustering instead it is found that there is evidence of the past errors not affecting the Largecap …

Persistent link: https://www.econbiz.de/10012826398