An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk-return ratio based security selection criterion in an untested market – the KOSPI 200 over June 2006 to June 2012. Besides conventional risk-return ratios such as the Sharpe...

This paper explores the stock holdings of Spanish households. As found for other developed countries, the major part of Spanish households does not participate in the stock market. We analyse the impact that entry costs can have in this decision by looking at how wealth, education and a series...

In this paper, I examine the flow and performance of mutual funds in Brazil and their portfolio allocations during the global financial crisis. First, I show that mutual funds exposed to deposits and securities issued by small banks suffered significant outflows, due to the increased risk...

This paper examines the empirical validity of Nicolosi's optimal strategy for a hedge fund manager under a specific payment contract. The contract specifies that the manager's payment consists of a fixed payment and a variable payment, which is a performance-based payment. The model assumes that...

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...

The prevailing assumption holds that investors include in their portfolios securities that they know well, are located near their place of residence, or align with their fields of interest. This article analyse familiarity in investment through gender perspective and their fields of interest....