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This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...
Persistent link: https://www.econbiz.de/10013207355
to the dynamic body of knowledge regarding psychological influences on market fluctuations in order to develop a new …
Persistent link: https://www.econbiz.de/10013086813
The issue of gold and silver price manipulation, in particular price suppression, is examined. We use a mixture of … computed for modelled abnormal and control clusters in gold and silver. In both metals the proportion of negative runs in the … normal approach to decompose the returns into abnormal and control samples. Price suppression is a form of market …
Persistent link: https://www.econbiz.de/10013000617
examine whether abnormal returns are available for Gold and Silver ETFS. Gold and silver ETFs have attracted substantial … investments, with $40.5 billion USD in gold (GLD) is and $5.22 billion in silver (SLV). Our study shows that while inefficiency is … present in the gold and silver ETF markets for the period 2006-2009, when risk is factored the abnormal returns evaporate …
Persistent link: https://www.econbiz.de/10012905875
This study tests the popular claim that psychological barriers exist around key reference points in prices for gold and … silver, namely around numbers ending in 0 (e.g. $450) and 00 (e.g. $200). Initial observations and tests show that the price … of gold fixes less frequently on values ending in 0 and 00, suggesting the existence of barriers at these levels which …
Persistent link: https://www.econbiz.de/10012998786
In “Benjamin Graham and Risk”, Brandes Institute Advisory Board member Bruce Grantier examines the similarities and differences between the modern portfolio theory concept of risk and the writings of Benjamin Graham and other prominent value investors. This article is part of an ongoing...
Persistent link: https://www.econbiz.de/10013121955
Value investing is the age-old investment strategy that involves buying securities that appear cheap relative to some fundamental anchor. For equity investors that anchor is typically a measure of intrinsic value linked to financial statement variables. Recently, there has been much written...
Persistent link: https://www.econbiz.de/10012839544
Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are cornerstone concepts …
Persistent link: https://www.econbiz.de/10012954957
that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no …
Persistent link: https://www.econbiz.de/10012970463
Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the...
Persistent link: https://www.econbiz.de/10012971740