Showing 171 - 180 of 70,872
This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...
Persistent link: https://www.econbiz.de/10012818066
This study examines the impact of credit rating announcements from the three leading credit rating agencies (Moody's, S&P, Fitch)on the Credit Default Swap Spreads of corporates and their spillover effects within industries. We find, that both downgrades and upgrades have an impact on the CDS...
Persistent link: https://www.econbiz.de/10012822376
This paper presents research on a profitable trading strategy for G10 currencies. We will devise trading strategies by considering realistic trading scenarios, analyze the performance of such strategies on out of sample data, identify the risks of these trading strategies, explain why the...
Persistent link: https://www.econbiz.de/10012823054
The COVID-19 pandemic is impacting global markets through unprecedented circumstances. Fears surrounding such novel virus has led to dramatic market turbulence and massive tumbles in stock prices. In this paper, we explore the impact of COVID-19 on a comprehensive sample of 45 emerging...
Persistent link: https://www.econbiz.de/10012824104
The paper attempts to understand the inter-linkages and causal relationships between the stock exchanges. This study covers Tokyo Stock Exchange (TSE), Hong Kong Stock Exchange (HSE), Bombay Stock Exchange (BSE) and National Stock Exchanges (NSE). To establish the relationship, the daily closing...
Persistent link: https://www.econbiz.de/10012865290
This paper introduces the QMIT LBO model and describes its salient characteristics. In addition to a 41% long term hit rate the Top 100 model predictions can be traded quite profitably as an equal weighted long portfolio. A Russell 2000 Value index hedge increases the Sortino ratio to ~2.5 over...
Persistent link: https://www.econbiz.de/10012865629
We introduce a novel template which allows for robust inference when attempting to distinguish priced from unpriced risks in factor portfolios. This is of interest since factor portfolios are prone to unintended and potentially unpriced risk exposures. We demonstrate this template by decomposing...
Persistent link: https://www.econbiz.de/10012866203
The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...
Persistent link: https://www.econbiz.de/10012867841
Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...
Persistent link: https://www.econbiz.de/10012872753
At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...
Persistent link: https://www.econbiz.de/10012968527