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Will the reddit rebellion take you to the moon? Evidence from WallStreetBets. reddit的叛乱会带你去月球吗?来自WallStreetBets的证据。
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2023-01-01 DOI: 10.1007/s11408-022-00415-w
Ryan G Chacon, Thibaut G Morillon, Ruixiang Wang
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引用次数: 5
Report of the Editor 2022. 编者报告2022。
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2023-01-01 DOI: 10.1007/s11408-023-00426-1
Markus Schmid
{"title":"Report of the Editor 2022.","authors":"Markus Schmid","doi":"10.1007/s11408-023-00426-1","DOIUrl":"https://doi.org/10.1007/s11408-023-00426-1","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"37 1","pages":"119-120"},"PeriodicalIF":1.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9947874/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9138066","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Constrained portfolio strategies in a regime-switching economy. 制度转换经济中的约束投资组合策略。
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2023-01-01 DOI: 10.1007/s11408-022-00414-x
Marcelo Lewin, Carlos Heitor Campani
{"title":"Constrained portfolio strategies in a regime-switching economy.","authors":"Marcelo Lewin,&nbsp;Carlos Heitor Campani","doi":"10.1007/s11408-022-00414-x","DOIUrl":"https://doi.org/10.1007/s11408-022-00414-x","url":null,"abstract":"<p><p>We implement an allocation strategy through a regime-switching model using recursive utility preferences in an out-of-sample exercise accounting for transaction costs. We study portfolios turnover and leverage, proposing two procedures to constrain the allocation strategies: a low-turnover control (LoT) and a maximum leverage control (MaxLev). LoT sets a dynamic threshold to trim minor rebalancing, reducing portfolio turnover, mitigating costs. MaxLev calculates dynamic adjustments to the risk aversion parameter to constrain the portfolio leverage. The MaxLev adjustments depend on the risk aversion and permitted portfolio leverage, which enables optimal strategies considering the leverage constraints. The study uses US equity portfolios, and shows that, first, models with LoT result in superior return-to-risk measures than those without it when transaction costs increase. Second, considering transaction costs, the return-to-risk measures of the models using MaxLev closely match or exceed those from the corresponding unconstrained regime-switching benchmarks. Third, MaxLev returns have lower volatility and higher return-to-risk than conventional numerically constrained benchmarks. Fourth, the certainty equivalent returns indicate that models using MaxLev and LoT outperform both single-state models and unconstrained regime-switching models with statistical significance.</p><p><strong>Supplementary information: </strong>The online version contains supplementary material available at 10.1007/s11408-022-00414-x.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"37 1","pages":"27-59"},"PeriodicalIF":1.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9243879/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9129239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The palgrave handbook of FinTech and blockchain 帕尔格雷夫金融科技和区块链手册
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-12-10 DOI: 10.1007/s11408-022-00423-w
Luca J. Liebi
{"title":"The palgrave handbook of FinTech and blockchain","authors":"Luca J. Liebi","doi":"10.1007/s11408-022-00423-w","DOIUrl":"https://doi.org/10.1007/s11408-022-00423-w","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"50 10 1","pages":"1 - 3"},"PeriodicalIF":1.9,"publicationDate":"2022-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77777939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Neural network predictions of the high-frequency CSI300 first distant futures trading volume 神经网络高频预测CSI300期货首远成交量
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-11-04 DOI: 10.1007/s11408-022-00421-y
Xiaojie Xu, Yun Zhang
{"title":"Neural network predictions of the high-frequency CSI300 first distant futures trading volume","authors":"Xiaojie Xu, Yun Zhang","doi":"10.1007/s11408-022-00421-y","DOIUrl":"https://doi.org/10.1007/s11408-022-00421-y","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"284 1","pages":"191 - 207"},"PeriodicalIF":1.9,"publicationDate":"2022-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80228150","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
The bond king: how one man made a market, built an empire, and lost it all—review 债券之王:一个人如何创造了一个市场，建立了一个帝国，然后失去了一切
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-11-03 DOI: 10.1007/s11408-022-00422-x
Tom Burdorf
{"title":"The bond king: how one man made a market, built an empire, and lost it all—review","authors":"Tom Burdorf","doi":"10.1007/s11408-022-00422-x","DOIUrl":"https://doi.org/10.1007/s11408-022-00422-x","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"150 1","pages":"499 - 502"},"PeriodicalIF":1.9,"publicationDate":"2022-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77853754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do(n’t) believe everything you hear about disclosure: Twitter and the voluntary disclosure effect 你是否相信你所听到的关于信息披露的一切:Twitter和自愿披露效应
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-09-05 DOI: 10.1007/s11408-022-00420-z
Julian U. N. Vogel, Feixue Xie
{"title":"Do(n’t) believe everything you hear about disclosure: Twitter and the voluntary disclosure effect","authors":"Julian U. N. Vogel, Feixue Xie","doi":"10.1007/s11408-022-00420-z","DOIUrl":"https://doi.org/10.1007/s11408-022-00420-z","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"85 1","pages":"161 - 189"},"PeriodicalIF":1.9,"publicationDate":"2022-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90722615","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Six Best Paper Award 2022 六篇最佳论文奖2022
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-08-11 DOI: 10.1007/s11408-022-00416-9
Fabian Nagel
{"title":"Six Best Paper Award 2022","authors":"Fabian Nagel","doi":"10.1007/s11408-022-00416-9","DOIUrl":"https://doi.org/10.1007/s11408-022-00416-9","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"59 1-2","pages":"407 - 407"},"PeriodicalIF":1.9,"publicationDate":"2022-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72470491","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper? 势头:在杰加迪什和蒂特曼的开创性论文发表30年后，我们知道了什么?
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-08-02 DOI: 10.1007/s11408-022-00417-8
Tobias Wiest
{"title":"Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?","authors":"Tobias Wiest","doi":"10.1007/s11408-022-00417-8","DOIUrl":"https://doi.org/10.1007/s11408-022-00417-8","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"2016 1","pages":"95 - 114"},"PeriodicalIF":1.9,"publicationDate":"2022-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87800165","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Campbell R. Harvey, Ashwin Ramachandran, Joey Santoro: DeFi and the Future of Finance Campbell R. Harvey, Ashwin Ramachandran, Joey Santoro: DeFi与金融的未来
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2022-08-01 DOI: 10.1007/s11408-022-00418-7
Mathis Mörke
{"title":"Campbell R. Harvey, Ashwin Ramachandran, Joey Santoro: DeFi and the Future of Finance","authors":"Mathis Mörke","doi":"10.1007/s11408-022-00418-7","DOIUrl":"https://doi.org/10.1007/s11408-022-00418-7","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"49 1","pages":"347 - 349"},"PeriodicalIF":1.9,"publicationDate":"2022-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82239002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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