Results 51 to 60 of about 16,345 (198)
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
Predictive power of Brazilian equity fund performance using R2 as a measure of selectivity
Revista Contabilidade & Finanças, 2017 This paper aimed to investigate the impact of levels of selectivity on the performance of equity funds using a methodology applied for the first time ever (as far as we know) in the Brazilian market.
Marcelo dos Santos Guzella +1 more
doaj +1 more source
PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018
Journal of Management and Entrepreneurship Research, 2020 Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio.
Happy Catherine, Robiyanto Robiyanto
doaj +1 more source
Global Oil and Gas Stocks: Anomalies, Systematic Risks and Mispricing
International Journal of Finance &Economics, EarlyView.ABSTRACT We analyse anomaly and factor risk premia in the global oil and gas (OG) sector, which plays a central role in the global economy through its importance for energy supply, industrial production, and capital markets. Using firm‐level and portfolio data, we examine whether cross‐sectional return patterns reflect systematic risk compensation or ...
Nader Virk +3 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the evolving integration of 10 major Asian stock markets with key global and regional financial centres, namely, the U.S., China, the E.U., and a constructed Asia centroid. Incorporating all four statistical moments (mean, variance, skewness, and kurtosis), we compute pairwise Euclidean distances to evaluate the degree ...
Burak Korkusuz +3 more
wiley +1 more source
Inefficient Frontiers: Industry‐Specific Anomalies in Frontier Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT In this study we identify low‐risk anomalies affiliated with industry in frontier markets, offering valuable insights for fund managers and investors managing an internationally diversified portfolio. Utilising a two‐beta model—incorporating both market and industry betas—we reveal a distinct low‐beta anomaly with a monthly magnitude of 2.13 ...
Alya Hourani +3 more
wiley +1 more source
BarekengBuilding a portfolio is one method of reducing investment risk. Cluster analysis can shorten the time required to choose companies for a portfolio because it makes it easy to put firms in the same category together.
Zuva Amalina Zain +2 more
doaj +1 more source
Industry Signals and the Dynamics of Stock Market Predictability
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate whether industry portfolios contain information that forecasts aggregate stock market returns. Earlier research reports evidence of their usefulness as predictors, yet later studies find weaker and unstable effects. Using updated U.S.
Michael Ellington +2 more
wiley +1 more source
Liberation Through Narration: A Novel Humanistic Framework to Address Body Dissatisfaction
The Journal of Humanistic Counseling, EarlyView.ABSTRACT Though body dissatisfaction is nuanced and pervasive, the magnitude of body dissatisfaction is undercut by essentialist conceptualizations of the body and medicalized metrics of wellness tied to disordered eating. Hence, there is a need for a contextualized and sustaining framework to address and promote healing from body dissatisfaction ...
Kim Hughes, Amber L. Pope
wiley +1 more source
Is VIX a Contrarian Indicator? On the Positivity of the Conditional Sharpe Ratio †
EconometricsThe notion of compensation for systematic risk is well ingrained in finance and constitutes the basis for numerous empirical tests. The concept an increase in systematic risk is accompanied by an increase in the required risk premium has strong intuitive
Ehud I. Ronn, Liying Xu
doaj +1 more source