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Measuring accounting asset informativeness

Chen, Qi; Schipper, Katherine; Zhang, Ning - In: The accounting review : a publication of the American … 97 (2022) 4, pp. 209-236

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013384428

Mutual fund style drift measured using higher moments and its cash flow incentive

Chen, Qi; Wang, Peng; Yang, Dong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372664

How to compare market efficiency? : the Sharpe ratio based on the ARMA-GARCH forecast

Liu, Lin; Chen, Qiguang - In: Financial innovation : FIN 6 (2020) 38, pp. 1-21

This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process. For...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012296006

Is there more to asset price linkages in China than meets the eye : cross-asset momentum and the role of hybrid funds

Wang, Xiaowei; Wang, Rui; Yichun, Zhang - In: International review of financial analysis 95 (2024) 1, pp. 1-24

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015145263

Stochastic orders and distortion risk contribution ratio measures

Zhang, Yiying - In: Insurance : mathematics and economics 118 (2024), pp. 104-122

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015067027

Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery

Yong, Yaodi; Cheung, Ka Chun; Zhang, Yiying - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 738-766

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154573

Contrarian flows, consumption and expected stock returns

Zhang, Yuzhao - In: Journal of banking & finance 42 (2014), pp. 101-111

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010408421

Comparisons on aggregate risks from two sets of heterogeneous portfolios

Zhang, Yiying; Zhao, Peng - In: Insurance / Mathematics & economics 65 (2015), pp. 124-135

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011422894

Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios

Balakrishnan, Narayanaswamy; Zhang, Yiying; Zhao, Peng - In: Scandinavian actuarial journal (2018) 1, pp. 23-41

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011880796

Concave distortion risk minimizing reinsurance design under adverse selection

Cheung, Ka Chun; Yam, Sheung Chi Phillip; Yuen, Fei Lung; … - In: Insurance / Mathematics & economics 91 (2020), pp. 155-165

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012242000