The growing number of institutions exploiting factor-investing strategies raises concerns that crowding may increase price-impact costs and erode profits. We identify a mechanism that alleviates crowding--trading diversification: institutions exploiting different characteristics can reduce each...

I provide evidence that fund managers who overweight firms with the most differentiated products ('monopolies') exhibit a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of qualitative information on a firm's competitive...

We look at the association between the price of a cryptocurrency and the secondary market prices of the hardware used to mine it. We find the prices of the most efficient Graphical Processing Units (GPUs) for Ethereum mining are significantly positively correlated with the daily price returns to...

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...

This paper develops a theory of patent portfolios in which firms accumulate an enormous amount of related patents in diverse technology fields such that it becomes impractical to develop a new product that with certainty does not inadvertently infringe on other firms' patent portfolios. We...

Objective: The main purpose of the research is to show that the Central and Eastern European (CEE) market is an essential component of the global stock market. It displays similar patterns to developed countries, and there is a special emphasis on information technology. Research Design &...

This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...

In this article we investigate the determinants of the Intellectual Assets in Europe. We use data from the European Innovation Scoreboard of the European Commission in the period 2000-2019 for 36 countries. Data are analyzed using Panel with Fixed Effects, Random Effects, WLS, Pooled OLS,...

This paper theoretically and empirically examines the effect of product market competition on the relation between real estate investments and stock returns. By limiting operating flexibility in the event of negative demand shocks, real estate assets are found to increase firm risk. This study...

The newsvendor model is a building block for inventory management under stochastic situation. This paper examines the effects of an additive and a multiplicative background risk separately on the optimal order quantity of a risk-averse newsvendor with Mean-Variance utility. We derive several...