transaction costs are taken into account. We show that the impact of transaction costs on the strategies' profitability can …

transaction costs are taken into account. We show that the impact of transaction costs on the strategies' profitability can …

extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index … complete order for all risk avers investors. We present a closed-form solution to the PROFIT Index, as a function of the return … moments. The PROFIT Index is dynamically calibrated to the market, becoming a live indicator suitable for investors perception …

We have found that for net income and earnings before interest and tax the average expected rate of profitability mean … reversion (exactly rate of abnormal profitability deterioration) differs significantly from approx. 10 % to 80 % (depending on …, expecting the badly performing companies to regain their profitability and the well-performing to keep their superior …

We examine how profitability of long–short arbitrage strategies based on anomalies is affected after adjustment for two … provide explicit evidence that casts doubt on the profitability of long-short arbitrage strategies based on anomalies …

explained by the new Fama-French five-factor model, which includes a profitability factor. We argue that this conclusion is …

. We then construct a comprehensive U.S. data set to explore the sources behind the puzzling profitability in more depth …