Results 11 to 20 of about 26,363 (266)
Machine learning portfolio allocation
Journal of Finance and Data Science, 2022 We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset.
Michael Pinelis, David Ruppert
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Do survey expectations of stock returns reflect risk adjustments? [PDF]
Journal of Monetary Economics, 2018 Constatant que les données d’enquête sur les rendements attendus des actions ne correspondent pas aux anticipations rationnelles fondées sur des probabilités réelles, nous examinons si elles pourraient concorder avec d’autres hypothèses soulevées dans la littérature sur les anticipations relatives à l’évaluation des actifs.
Adam, Klaus +2 more
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Intellectual capital and bank profitability: New evidence from Vietnam
Cogent Business & Management, 2020 This study empirically examines the impact of intellectual capital on bank risk-adjusted returns in Vietnam between 2007 and 2019 using the system generalized method of moments (GMM).
Tu D. Q. Le, Dat T. Nguyen
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Measuring the risk-adjusted performance of selected soft agricultural commodities
Agricultural Economics (AGRICECON), 2022 In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only the level of risk, we found that cocoa had the highest risk of losses, followed by orange juice. Cotton
Dejan Živkov +2 more
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PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX
İşletme Bilimi Dergisi, 2023 Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index.
Serdar Ramazan Kahraman, Kartal Somuncu
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Risks, 2023 Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs ...
Cristiana Tudor
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Journal of Financial Management, Markets and Institutions, 2023 We examine how changes in research and development expenditures (R&Ds) at the beginning of the 2008 financial crisis affected firms’ market performance immediately after the crisis. Our sample contains 2470 firms listed on NYSE and NASDAQ.
JITKA HILLIARD, HAORAN ZHANG
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Flight of the Condors: Evidence on the Performance of Condor Option Spreads in Australia
Applied Finance Letters, 2017 This paper examines whether superior nominal and risk-adjusted returns can be generated using condor option spread strategies on a large capitalized Australian stock.
Scott James Niblock
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Effect of brand value announcements on stock returns: empirical evidence from Turkey
Journal of Business Economics and Management, 2016 This study examines the effects of brand value announcements on stock returns of Turkish firms by using the event study methodology and long-term risk adjusted port-folio returns.
Pinar Basgoze +2 more
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RISK-ADJUSTED RETURNS AND SPILLOVER DYNAMICS AMONG EMERGING DIGITAL CURRENCIES
Journal of Islamic Monetary Economics and FinanceThis study investigates the interconnected dynamics among diverse digital currencies, specifically focusing on risk-adjusted returns, tail risks, dynamic spillovers, and portfolio implications.
Zaäfri Ananto Husodo +5 more
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