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Performance Attribution Using an Apt with Prespecified Macrofactors and Time-Varying Risk Premia and Betas

Kryzanowski, Lawrence - 1997

This paper assesses the selection and timing abilities of 130 equity mutual funds using a conditional APT model with specified macrofactors, and time-varying risk premia and betas. For all fund categories based on investment objectives, a significant proportion of the funds exhibits negative...

Persistent link: https://www.econbiz.de/10012792118

International Trade-Venue Clienteles and Order-Flow Competitiveness

Kryzanowski, Lawrence - 2004

This paper tests a generalized version of the investor clientele hypothesis of Amihud and Mendelson [J.Finan.Econ.17(1986)223]. This international trade-venue clientele effect hypothesis is supported for the Canadian cross-listed firms undifferentiated and differentiated by US trade venue,...

Persistent link: https://www.econbiz.de/10012785694

Misinformation and regulatory actions in the Canadian capital markets : some empirical evidence

Kryzanowski, Lawrence - In: The Bell journal of economics 9 (1978) 2, pp. 355-368

Persistent link: https://www.econbiz.de/10002259226

An Empirical Investigation of Term Structure of Implied Volatilities in Currency Options.

Fouda, H.; Kryzanowski, L.; To, M.C. - HEC Montréal (École des Hautes Études Commerciales) - 1995

Persistent link: https://www.econbiz.de/10005475157

An exploratory analysis of the order book, and order flow and execution on the Saudi stock market

Al-Suhaibani, M.; Kryzanowski, L. - In: Journal of banking & finance 24 (2000) 8, pp. 1323-1358

Persistent link: https://www.econbiz.de/10005895728

FOREIGN EXCHANGE RATES BASES ON INTEREST AND INFLATION RATE EXPECTATIONS.

GHALBOUNI, J.P.; KRYZANOWSKI, L. - HEC Montréal (École des Hautes Études Commerciales) - 1990

Persistent link: https://www.econbiz.de/10005671771

Accuracy of consensus expectations for top-down earnings per share forecasts for two S&P indexes

Chung, R.; Kryzanowski, L. - In: Applied financial economics 9 (1999) 3, pp. 233-238

Persistent link: https://www.econbiz.de/10007685926

Determinants of the decreasing term structure of relative yield spreads for taxable and tax-exempt bonds

Kryzanowski, L.; Xu, K.; Zhang, H. - In: Applied economics 27 (1995) 7, pp. 583-590

Persistent link: https://www.econbiz.de/10007626689

Cost of equity for Canadian and U.S. sectors

He, Zhongzhi; Kryzanowski, Lawrence - In: The North American Journal of Economics and Finance 18 (2007) 2, pp. 215-229

Persistent link: https://www.econbiz.de/10005439507

Market timing using strategists' and analysts' forecasts of S&P 500 earnings per share

Chung, Richard; Kryzanowski, Lawrence - In: Financial Services Review 9 (2000) 2, pp. 125-144

Persistent link: https://www.econbiz.de/10005444655