Results 71 to 80 of about 6,534 (244)
Testing for the best alternative with an application to performance measurement [PDF]
Suppose that we are searching for the maximum of many unknown and analytically untractable quantities or, say, the 'best alternative' among several candidates.
Frahm, Gabriel
core
The Sector Liquidity Timing Ability of Bond Mutual Funds
International Journal of Finance &Economics, EarlyView.ABSTRACT We investigate whether bond mutual fund managers exhibit market liquidity timing skills in the U.S. corporate bond market. At the portfolio level, we find only weak evidence that bond funds adjust their overall market exposure in anticipation of changes in corporate bond market liquidity.
Zhengnan Yin +3 more
wiley +1 more source
Time-Varying Sharpe Ratios and Market Timing
, 2011 This paper documents predictable time-variation in stock market Sharpe ratios. Predetermined financial variables are used to estimate both the conditional mean and volatility of equity returns, and these moments are combined to estimate the conditional ...
Whitelaw, Robert F., Tang, Yi
core
Losing money with a high Sharpe ratio [PDF]
, 2011 A simple example shows that losing all money is compatible with a very high Sharpe ratio (as computed after losing all money). However, the only way that the Sharpe ratio can be high while losing money is that there is a period inwhich all or almost all ...
Vladimir Vovk, Vovk, Vladimir
core
Alternative Data for Realised Volatility Forecasting: Limit Order Book and News Stories
International Journal of Finance &Economics, EarlyView.ABSTRACT We examine whether two major alternative data sources, limit order book information and firm‐specific news, provide incremental predictive information for daily realised volatility forecasting within the HAR‐family, using a parsimonious framework to ensure practical implementation and comparability. The framework is designed for practical real‐
Eghbal Rahimikia, Ser‐Huang Poon
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
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
Journal of Adolescence, EarlyView.ABSTRACT Introduction Cyberbullying is highly prevalent during adolescence and is consistently associated with poor mental health outcomes. However, it remains unclear whether these difficulties develop into distinct psychosocial profiles, limiting understanding of how early cyberbullying relates to longitudinal patterns of psychological distress and ...
Taliah Prince +5 more
wiley +1 more source
Measuring the Performance of Leveraged and Non‑Leveraged ETF’s
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 This paper deals with exchange traded funds (ETFs) and valuation it’s performance according to selected indicators. For empirical analysis 10 leveraged and non‑leveraged ETFs listed on US market is chosen according to selected criterias (adequate history
Martin Širůček +2 more
doaj +1 more source
Journal of Banking and Financial Economics, 2020 This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk.
Jarno Klaudia, Smaga Łukasz
doaj +1 more source