Similar Search Results

Forward exchange bias, hedging and the gains from international diversification of investment portfolios

Levy, Haim; Lim, Kok Chew - In: Journal of International Money and Finance 13 (1994) 2, pp. 159-170

Persistent link: https://www.econbiz.de/10005402682

Forward exchange bias, hedging and the gains from international diversification of investment portfolios

Levy, Haim; Lim, Kok Chew - In: Journal of international money and finance 13 (1994) 2, pp. 159-170

Persistent link: https://www.econbiz.de/10006947221

The Economic Significance of the Cross-Sectional Autoregressive Model: Further Analysis.

Levy, Haim; Lim, Kok Chew - In: Review of Quantitative Finance and Accounting 11 (1998) 1, pp. 37-51

We reexamine whether investors can gain abnormal returns using the cross-sectional autoregressive model of stock returns. We find that the pattern of abnormal returns obtained is inconsistent over the time period 1934-94. We adjust for the higher commission costs in the pre-May 1 1975 period, a...

Persistent link: https://www.econbiz.de/10005673857