Einzeltitelempfehlungen von Banken oder Fachzeitschriften treffen in den vergangenen Jahren bei der Investorenschaft immer häufiger auf Misstrauen. Zunehmende Aufmerksamkeit wird hingegen indexbasierten aktiven Portfoliomanagement-Strategien gewidmet. Trotzdem werden nur selten Prognosen zur...

The stock market is characterized by extreme fluctuations, non-linearity, and shifts in internal and external environmental variables. Artificial intelligence (AI) techniques can detect such non-linearity, resulting in much-improved forecast results. This paper reviews 148 studies utilizing...

The stock market is characterized by extreme fluctuations, non-linearity, and shifts in internal and external environmental variables. Artificial intelligence (AI) techniques can detect such non-linearity, resulting in much-improved forecast results. This paper reviews 148 studies utilizing...

We evaluate whether stock prices can predict the sales takeoff and the long-term survival of firms at takeoff. We find that abnormal returns are strongly positive in the year prior to takeoff, thus suggesting an important signal of the takeoff. Moreover, we find that negative abnormal returns in...

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...

We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the highest predictive power. The resulting forecasts are more...

The Black-Litterman (BL) model has been proposed as an alternative to Markowitz's average-variance model for the structuring of financial asset portfolios, allowing the incorporation of perspectives of fundamental analysts and guaranteeing a high degree of diversification. This model is applied...