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Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and … that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and …

Persistent link: https://www.econbiz.de/10012237439

Review papers for journal of risk and financial management (JRFM)

McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 8/185, pp. 1-18

This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and … literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a …

Persistent link: https://www.econbiz.de/10012321338

Modeling momentum and reversals

Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...

Persistent link: https://www.econbiz.de/10013555665

Belief-neutral efficiency in financial markets

Beißner, Patrick; Riedel, Frank - 2025

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk … pricing for ambiguous contracts, without compromising legitimate risk-hedging activities. While Arrow-Debreu equilibria …

Persistent link: https://www.econbiz.de/10015272951

Investor sentiment, portfolio returns, and macroeconomic variables

Banchit, Azilawati; Abidin, Sazali; Lim, Sophyafadeth; … - In: Journal of risk and financial management : JRFM 13 (2020) 11/259, pp. 1-14

Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the...

Persistent link: https://www.econbiz.de/10012389848

Mutual funds' cost persistence

Trzebiński, Artur A. - In: Financial internet quarterly 18 (2022) 2, pp. 13-20

The research aimed to check whether investment fund managers maintain costs similarly from period to period. The research verified the hypothesis that managers maintain costs in the subsequent periods at a similar level. The study used a method based on contingency tables which are used to...

Persistent link: https://www.econbiz.de/10013252655

Islamic capital market integration and asymmetric information: a study in the five ASEAN countries from the post-global financial crisis

Qizam, Ibnu - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 22 (2021) 1, pp. 121-132

results confirm an interplay between a modern portfolio theory, Efficient Market Hypothesis (EMH), contract theory, and … general economic theory, and also provide new insights for stakeholders in investment decisions and strategies, cross …

Persistent link: https://www.econbiz.de/10012503437

Portfolio optimization at damascus securities exchange : a fractal analysis approach

Dooba, Kinda; Mouselli, Sulaiman - In: Cogent economics & finance 11 (2023) 2, pp. 1-16

This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange (DSE). We construct three portfolios based on the Hurst index from stocks listed on the DSE during the period between 2019 and 2021 and find that...

Persistent link: https://www.econbiz.de/10014500978

Return based risk measures for non-normally distributed returns : an alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48

assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

Persistent link: https://www.econbiz.de/10012795821

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

Persistent link: https://www.econbiz.de/10013363078