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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......
Sports betting as a new asset class—current market organization and options for development
Tập 22 - Trang 169-192 - 2008
New asset classes are originally distributed via over the counter channels; mostly negotiated, traded, and settled on a bilateral and ad-hoc basis. Subsequently, the demand for organized market services grows alongside trading volumes, number of market participants, and distribution reach. This paper focuses on sports betting as a new asset class and uses the analogies between the development of t......
David Larcker and Brian Tayan: Corporate governance matters—a closer look at organizational choices and their consequences
Tập 26 - Trang 403-404 - 2012
Investing in the turn-of-the-year effect
Tập 25 - Trang 455-472 - 2011
The January effect is concerned with high stock returns in January, especially by small cap stocks. Transactions costs, especially price pressures, make it difficult to take advantage of this anomaly. However, these costs are minimal in the futures markets. This paper discusses the results of small minus large capitalized US stocks since futures trading began in 1982. There is some anticipation of......
Funds of hedge funds: performance, risk and capital formation 2005 to 2010
Tập 26 - Trang 87-108 - 2012
Using a comprehensive data set of funds-of-hedge funds, we extend the results of Fung et al. (J. Finance 63:1777–1803, 2008) (FHNR) with an augmented version of the Fung and Hsieh (Financ. Anal. J. 60:65–80, 2004a; J. Empir. Finance 18:547–569, 2004b) model to document performance characteristics from January 2005 to December 2010. We find that our sample period is divided into three distinct subp......