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The effect of short selling on volatility and jumps

Ho, Glenn Kit Foong; Sirimon Treepongkaruna; Wee, Marvin; … - In: Australian journal of management 47 (2022) 1, pp. 34-52

Persistent link: https://www.econbiz.de/10012801592

Attention effect via internet search intensity in Asia-Pacific stock markets

Tantaopas, Parkpoom; Padungsaksawasdi, Chaiyuth; … - In: Pacific-Basin finance journal 38 (2016), pp. 107-124

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Cokurtosis and the ability of mutual fund managers

Woraphon Wattanatorn; Chaiyuth Padungsaksawasdi - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012820068

Coskewness timing ability in the mutual fund industry

Woraphon Wattanatorn; Chaiyuth Padungsaksawasdi - In: Research in international business and finance 53 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012549059

Mutual fund liquidity timing ability in the higher moment framework

Wattanatorn, Woraphon; Chaiyuth Padungsaksawasdi; … - In: Research in international business and finance 51 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012208255

Stock price crash risk : the role of systematic skewness

Woraphon Wattanatorn; Chaiyuth Padungsaksawasdi - In: International journal of monetary economics and finance … 15 (2022) 1, pp. 78-93

Persistent link: https://www.econbiz.de/10013256805

Alpha : Empirical Evidence of Mutual Fund Performance Under Different Economic Cycles and Over Fund Objectives

Fernandez, Giovanni - 2011

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund...

Persistent link: https://www.econbiz.de/10013120441

Alpha : Empirical Evidence of Mutual Fund Performance under Different Economic Cycles and over Fund Objectives

Fernandez, Giovanni - 2011

Persistent link: https://www.econbiz.de/10013121150

The return-implied volatility relation for commodity ETFs

Padungsaksawasdi, Chaiyuth; Daigler, Robert T. - In: The journal of futures markets 34 (2014) 3, pp. 261-281

Persistent link: https://www.econbiz.de/10010355434

Multifactor asset pricing model incorporating coskewness and cokurtosis : the evidence from Asian mutual funds

Nathee Naktnasukanjn; Chunhachinda, Pornchai; … - In: International journal of economics and business research 16 (2018) 3, pp. 308-325

Persistent link: https://www.econbiz.de/10011990708