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Monetary policy after the crisis : a threat to hedge funds' alphas?

Berglund, Alexander; Guidolin, Massimo; Pedio, Manuela - In: The journal of asset management 21 (2020) 3, pp. 219-238

Persistent link: https://www.econbiz.de/10012292767

Momentum and contrarian effects in the Ukrainian stock market : case of daily overreactions

Plastun, Alex; Strochenko, Nataliya; Zhmaylova, Olga; … - In: Investment management and financial innovations 17 (2020) 1, pp. 24-34

Persistent link: https://www.econbiz.de/10012299781

Gold and oil prices : abnormal returns, momentum and contrarian effects

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the following hypotheses are tested: H1) there are...

Persistent link: https://www.econbiz.de/10012252384

Prediction of open market share repurchases and portfolio returns : evidence from France, Germany and the UK

Andriosopoulos, Dimitris; Gaganis, Chrysovalantis; … - In: Review of quantitative finance and accounting 46 (2016) 2, pp. 387-416

Persistent link: https://www.econbiz.de/10011588384

Dealing with non-normality when estimating abnormal returns and systematic risk of private equity : a closed-form solution

Buchner, Axel - In: Journal of international financial markets, … 45 (2016), pp. 60-78

Persistent link: https://www.econbiz.de/10011690435

Stock returns on customer satisfaction do beat the market : gauging the effectof a marketing intangible

Fornell, Claes; Morgeson, Forrest V., III.; Hult, G. … - In: Journal of marketing 80 (2016) 5, pp. 92-107

Persistent link: https://www.econbiz.de/10011591206

Corporate diversification and abnormal returns

Lawrey, Chris M.; Morris, Brandon C. L. - In: The journal of asset management 20 (2019) 1, pp. 31-37

Persistent link: https://www.econbiz.de/10012059741

Investor attention strategy

Wang, Xuewu - In: The journal of behavioral finance : a publication of … 18 (2017) 4, pp. 390-399

Persistent link: https://www.econbiz.de/10012008637

Abnormal returns or mismeasured risk? : network effects and risk spillover in stock returns

Bhattacharjee, Arnab; Roy, Sudipto - In: Journal of risk and financial management : JRFM 12 (2019) 2/50, pp. 1-13

Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests the misspecification of the underlying factor...

Persistent link: https://www.econbiz.de/10012022242

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940

Persistent link: https://www.econbiz.de/10011972202