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The performance of commodity trading advisors : a mean-variance-ratio test approach

Bai, Zhidong; Phoon, Kok Fai; Wang, Keyan; Wong, Wing Keung - In: The North American journal of economics and finance : a … 25 (2013), pp. 188-201

Persistent link: https://www.econbiz.de/10009779308

The Impact of the Global Financial Crisis on the Efficiency and Performance of Latin American Stock Markets

Zhu, Zhenzhen - 2018

We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from...

Persistent link: https://www.econbiz.de/10012915498

The Impact of the Global Financial Crisis on the Efficiency and Performance of Latin American Stock Markets

Zhu, Zhenzhen - 2020

Persistent link: https://www.econbiz.de/10012849139

Can the forecasts generated from E/P ratio and bond yield be used to beat stock markets?

Wong, Wing Keung; Chew, Boon-Kiat; Sikorski, Douglas J. - In: Multinational finance journal : MF ; quarterly … 5 (2001) 1, pp. 59-86

Persistent link: https://www.econbiz.de/10001697032

Stochastic Dominance and Omega Ratio : Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly

Guo, Xu - 2017

Both stochastic dominance and Omega ratio can be used to examine whether market is efficient, whether there is any arbitrage opportunity in the market, and whether there is any anomaly in the market. In this paper, we first study relationship between stochastic dominance and Omega ratio. We find...

Persistent link: https://www.econbiz.de/10012946301

Investment based on size, value, momentum and income measures : a study in the Taiwan stock market

Lu, Richard; Wang, Jai-Jen; Wong, Wing Keung - In: Annals of financial economics 17 (2022) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10014234486

Modeling of stock returns in continuous vis-à-vis discrete time is equivalent, respectively, to the conditioning of stock returns on a random walk process for trade imbalances vis-à-vis a random walk process for evolution of information

Obrimah, Oghenovo Adewale; Wong, Wing Keung - In: Annals of financial economics 17 (2022) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10013262988

Market overreaction and underreaction : tests of the directional and magnitude effects

Fabozzi, Frank J.; Fung, Chun-yip; Lam, Kin; Wong, Wing … - In: Applied financial economics 23 (2013) 16/18, pp. 1469-1482

Persistent link: https://www.econbiz.de/10010259386

A new pseudo-Bayesian model with implications for financial anomalies and investors' behavior

Lam, Kin; Liu, Taisheng; Wong, Wing Keung - In: The journal of behavioral finance : a publication of … 13 (2012) 2, pp. 93-107

Persistent link: https://www.econbiz.de/10009616411

A mixed Sharpe ratio

Wong, Wing Keung; Wright, J. A.; Yam, Sheung Chi Phillip; … - In: Risk and decision analysis 3 (2012) 1/2, pp. 37-65

Persistent link: https://www.econbiz.de/10009655139