Showing 1 - 10 of 19
We propose a proxy for global equity mispricing (mispricing $R^2$) based on an instrumented principal component analysis of the return variation of 198 mispricing anomalies. We find that mispricing $R^2$ is higher for countries with lower market development, lower accounting quality, and higher...
Persistent link: https://www.econbiz.de/10014254931
We examine the value of analyst recommendations across 45 countries and 3.8 million firm-month observations from 1994 to 2019. Recommendation-based portfolio strategies lead to highly significant (insignificant) abnormal returns in international markets (in the U.S.). In line with...
Persistent link: https://www.econbiz.de/10013213275
We examine the out-of-sample performance of 240 stock market anomalies enhanced by 49 machine learning algorithms and over 260 individually trained models across an international data sample of nearly 1.9 billion stock-month-anomaly observations from 1980 to 2019. We demonstrate significant...
Persistent link: https://www.econbiz.de/10013292645
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This dissertation analyzes how asset performance relates to inflation based on 50 countries and 60 years of data. The three key findings are: a nonlinear behavior of bills, bonds, and equities against inflation, the demystification of listed infrastructure as inflation hedge, and, finally, a...
Persistent link: https://www.econbiz.de/10009741569
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Persistent link: https://www.econbiz.de/10001440339
In this paper we propose a measure of systemic risk in the financial sector, the Expected Systemic Shortfall (ESS) indicator. The ESS-indicator is the product of the probability of a systemic default event and the expected tail loss in case this systemic event occurs. We compute the...
Persistent link: https://www.econbiz.de/10013114313
Even though infrastructure investments have gained increasing investor attention over the past decade, the empirical evidence on their risk characteristics is still limited. To fill this gap, we analyze the risk properties of a unique cross-sectional sample of more than 1,400 publicly listed...
Persistent link: https://www.econbiz.de/10013114871
In this paper we introduce a framework to analyze the key drivers of value creation of private equity in financial institutions and the bank holding sub-segment. We estimate the influence of market-timing, take specifications of this highly regulated industry into account, and approximate the...
Persistent link: https://www.econbiz.de/10013154414