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Does neutralizing style factors help or hurt?

Scruggs, John T. - In: The journal of investing : JOI 30 (2021) 5, pp. 71-94

Persistent link: https://www.econbiz.de/10012613203

Maximizing excess return per unit variance : a novel investment management objective

Glabadanidis, Paskalis - In: The journal of asset management 17 (2016) 7, pp. 486-501

Persistent link: https://www.econbiz.de/10011648208

Timing the market with a combination of moving averages

Glabadanidis, Paskalis - In: International review of finance 17 (2017) 3, pp. 353-394

Persistent link: https://www.econbiz.de/10011807162

Portfolio weights concentration : optimal strategies and equilibrium implications

Glabadanidis, Paskalis - In: International journal of managerial finance : IJMF 19 (2023) 3, pp. 572-582

Persistent link: https://www.econbiz.de/10014325948

Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds

Scruggs, John T. - In: Journal of Empirical Finance 14 (2007) 2, pp. 220-247

Persistent link: https://www.econbiz.de/10005152436

Noise trader risk: Evidence from the Siamese twins

Scruggs, John T. - In: Journal of Financial Markets 10 (2007) 1, pp. 76-105

Persistent link: https://www.econbiz.de/10005320012

Can technical indicators predict the Chinese equity risk premium?

Sun, Mingwei; Glabadanidis, Paskalis - In: International Review of Finance 22 (2021) 1, pp. 114-142

Persistent link: https://www.econbiz.de/10012537642

An Exact Test of the Improvement of the Minimum Variance Portfolio

Glabadanidis, Paskalis - In: International Review of Finance 19 (2018) 1, pp. 45-82

Persistent link: https://www.econbiz.de/10012091495

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) 3, pp. 247-270

Purpose – This paper aims to evaluate the risk‐adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M‐DRM) based on the modern portfolio theory. The purpose is to report...

Persistent link: https://www.econbiz.de/10014785582

An extensile method on the arbitrage pricing theory based on downside risk (D-APT)

Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 10 (2014) 1, pp. 54-72

Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study includes 163 stocks traded on the Malaysian...

Persistent link: https://www.econbiz.de/10014785727