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Các bài báo tiêu biểu
Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany
Tập 17 - Trang 309-331 - 2003
An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management
Tập 21 Số 2 - Trang 147-166 - 2007
Three aspects of the Swiss term structure: an empirical survey
Tập 21 - Trang 221-240 - 2007
The term structure is an important transmitter of, and indicator for, monetary policy. This paper studies the Swiss term structure using monthly data from 1989 to 2005. We study the impact of the new monetary policy strategy that the Swiss National Bank (SNB) adopted at the beginning of 2000 on three aspects of the term structure. First, we test the expectations hypothesis and find it confirmed at......
The 52-week high strategy and information uncertainty
Tập 25 - Trang 345-378 - 2011
This paper examines the driver of the 52-week high strategy, which is long in stocks close to their 52-week high price and short in stocks with a price far below their one-year high, and tests the hypothesis that this strategy’s profitability can be explained by anchoring—a behavioral bias. To test the null, we examine whether the 52-week high criterion has more predictive power in cases of larger......