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Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001 - This version: February 12, 2001

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

Persistent link: https://www.econbiz.de/10011316893

The time-varying relationship between mortality and business cycles in the USA

Lam, Jean-Paul; Piérard, Emmanuelle - In: Health economics 26 (2017) 2, pp. 164-183

Persistent link: https://www.econbiz.de/10011815312

Network nexus : exploring the impact of alumni connections of managers on mutual fund performance in India

Majumdar, Sudipta; Kundu, Sayantan; Bose, Sankalp; … - In: Asia Pacific financial markets 31 (2024) 4, pp. 889-923

Persistent link: https://www.econbiz.de/10015176814

Downward pressure, investment style and performance persistence of institutional investors

Sha, Yezhou; Wu, Xi - In: International review of economics & finance : IREF 95 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015141730

Style and performance of international socially responsible funds in Europe

Leite, Paulo; Cortez, Maria Ceu - In: Research in international business and finance 30 (2014), pp. 248-267

Persistent link: https://www.econbiz.de/10010391765

Performance of European socially responsible funds during market crises : evidence from France

Leite, Paulo; Cortez, Maria Ceu - In: International review of financial analysis 40 (2015), pp. 132-141

Persistent link: https://www.econbiz.de/10011475701

A robust set-valued scenario approach for handling modeling risk in portfolio optimization

Zhu, Shushang; Jin, Xiaodong; Li, Duan - In: The journal of computational finance 19 (2015) 1, pp. 11-40

Persistent link: https://www.econbiz.de/10011480704

Socially responsible investments in Germany, Switzerland and the United States : an analysis of investment funds and indices

Schröder, Michael - 2003

The aim of this study is the analysis of so called socially responsible investments (SRI). First, the performance of SRI equity investment funds and equity indices is investigated using Jensen's alpha as performance measure. The analysis considers market timing strategies of the fund management...

Persistent link: https://www.econbiz.de/10011448250

Socio-demographic characteristics of investors in the Warsaw Stock Exchange : how they influence the investment decision

Kliber, Agata; Łęt, Blanka; Rutkowska, Aleksandra - In: Bank i kredyt 47 (2016) 2, pp. 91-118

Persistent link: https://www.econbiz.de/10011528185

Measuring fund style, performance and activity : a new style-profiling approach

Buncic, Daniel; Eggins, Jon E.; Hill, Robert J. - In: Accounting and finance : journal of the Accounting … 55 (2015) 1, pp. 29-55

Persistent link: https://www.econbiz.de/10011306061