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prices. The main aim of this study is to analyze the fractal dimension in CNX 500 index returns which is India's first broad …
Persistent link: https://www.econbiz.de/10013062935
. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess … trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and … reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating …
Persistent link: https://www.econbiz.de/10013062306
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. The test is used to detect whether asymmetric comovements...
Persistent link: https://www.econbiz.de/10003996877
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
This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian...
Persistent link: https://www.econbiz.de/10013100307
This study tests a large sample of UK equity returns from 1965-2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a...
Persistent link: https://www.econbiz.de/10013081376
that information risk is priced …
Persistent link: https://www.econbiz.de/10013010774
This paper examines the temporal relationship between sin stocks and investor sentiment using vector autoregressive models. It decomposes sin returns into a market-based and pure sin component and then performs dynamic statistical modeling on the pure sin portfolio. Next, it attempts to...
Persistent link: https://www.econbiz.de/10012948710
self- and asymmetrically cross-induced. Our descriptive findings have implications for stock trading and corresponding risk …
Persistent link: https://www.econbiz.de/10012848486
risk factors. …
Persistent link: https://www.econbiz.de/10014305602