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Analyst herding and firm-level investor sentiment 分析师羊群效应和公司层面的投资者情绪
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-04-03 DOI: 10.1007/s11408-021-00382-8
John Garcia
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引用次数: 6
Designing volatility indices for Austria, Finland and Spain 为奥地利、芬兰和西班牙设计波动率指数
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-04-03 DOI: 10.1007/s11408-021-00381-9
Giovanni Campisi, S. Muzzioli
{"title":"Designing volatility indices for Austria, Finland and Spain","authors":"Giovanni Campisi, S. Muzzioli","doi":"10.1007/s11408-021-00381-9","DOIUrl":"https://doi.org/10.1007/s11408-021-00381-9","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"5 1","pages":"369 - 455"},"PeriodicalIF":1.9,"publicationDate":"2021-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77742332","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
Star rating, fund flows and performance predictability: evidence from Norway 星级评级、资金流动和业绩可预测性:来自挪威的证据
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-03-21 DOI: 10.2139/ssrn.3460883
Linn K. Aasheim, A. Miguel, S. Ramos
{"title":"Star rating, fund flows and performance predictability: evidence from Norway","authors":"Linn K. Aasheim, A. Miguel, S. Ramos","doi":"10.2139/ssrn.3460883","DOIUrl":"https://doi.org/10.2139/ssrn.3460883","url":null,"abstract":"This paper studies the effect of Morningstar ratings on fund flows and fund performance predictability using a proprietary data set of equity funds from Norway. Controlling for a number of variables proxying for fund and firm visibility, we find that fund flows respond asymmetrically to changes in Morningstar ratings. Specifically, 4- and 5-star rated funds get more flows, and funds upgraded to 5-star get significantly more flows not only in the next month, but also over the following 12 months after the rating change. Downgraded funds suffer outflows, but the results only become statistically significant when fund performance falls to a 2-star rating. We also find evidence of long-term performance predictability for top-rated funds. As the mutual fund industry develops worldwide, our results suggest that Morningstar has been successful in bringing its brand name to markets outside the USA, and that Morningstar ratings are a valuable tool for helping investors make strong investment decisions.","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"36 1","pages":"29 - 56"},"PeriodicalIF":1.9,"publicationDate":"2021-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77907363","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
Matthias Thiemann: The Growth of Shadow Banking: A Comparative Institutional Analysis Matthias Thiemann:影子银行的成长:一个比较制度分析
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-02-12 DOI: 10.1007/s11408-021-00378-4
Pēteris Kloks
{"title":"Matthias Thiemann: The Growth of Shadow Banking: A Comparative Institutional Analysis","authors":"Pēteris Kloks","doi":"10.1007/s11408-021-00378-4","DOIUrl":"https://doi.org/10.1007/s11408-021-00378-4","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"5 1","pages":"269 - 272"},"PeriodicalIF":1.9,"publicationDate":"2021-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87936258","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: 12
The better turbulence index? Forecasting adverse financial markets regimes with persistent homology 更好的湍流指数?预测具有持续同源性的不利金融市场机制
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-02-10 DOI: 10.1007/s11408-020-00377-x
Eduard Baitinger, Samuel Flegel
{"title":"The better turbulence index? Forecasting adverse financial markets regimes with persistent homology","authors":"Eduard Baitinger, Samuel Flegel","doi":"10.1007/s11408-020-00377-x","DOIUrl":"https://doi.org/10.1007/s11408-020-00377-x","url":null,"abstract":"<p>Persistent homology is the workhorse of modern topological data analysis, which in recent years becomes increasingly powerful due to methodological and computing power advances. In this paper, after equipping the reader with the relevant background on persistent homology, we show how this tool can be harnessed for investment purposes. Specifically, we propose a persistent homology-based turbulence index for the detection of adverse market regimes. With the help of an out-of-sample study, we demonstrate that investment strategies relying on a persistent homology-based turbulence detection outperform investment strategies based on other popular turbulence indices. Additionally, we conduct a stability analysis of our findings. This analysis confirms the results from the previous out-of-sample study, as the outperformance prevails for most configurations of the respective investment strategy and thereby mitigating possible data mining concerns.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"57 8","pages":""},"PeriodicalIF":1.9,"publicationDate":"2021-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138526331","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
Interaction effects between dynamic hybrid products and traditional deferred annuities in the German life insurance market 动态混合产品与传统递延年金在德国寿险市场的交互效应
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-02-01 DOI: 10.1007/s11408-020-00367-z
Nikolaj Moretti, Johannes Bartels
{"title":"Interaction effects between dynamic hybrid products and traditional deferred annuities in the German life insurance market","authors":"Nikolaj Moretti, Johannes Bartels","doi":"10.1007/s11408-020-00367-z","DOIUrl":"https://doi.org/10.1007/s11408-020-00367-z","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"9 1","pages":"193 - 224"},"PeriodicalIF":1.9,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72868810","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
Seasonalities in the German stock market 德国股市的季节性
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-01-24 DOI: 10.1007/s11408-020-00373-1
D. Hofmann, K. Keiber
{"title":"Seasonalities in the German stock market","authors":"D. Hofmann, K. Keiber","doi":"10.1007/s11408-020-00373-1","DOIUrl":"https://doi.org/10.1007/s11408-020-00373-1","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"22 1","pages":"151 - 192"},"PeriodicalIF":1.9,"publicationDate":"2021-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74020027","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
Product market competition and intermediate-term momentum 产品市场竞争和中期势头
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-01-23 DOI: 10.1007/s11408-020-00371-3
Scott Li
{"title":"Product market competition and intermediate-term momentum","authors":"Scott Li","doi":"10.1007/s11408-020-00371-3","DOIUrl":"https://doi.org/10.1007/s11408-020-00371-3","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"33 1","pages":"255 - 267"},"PeriodicalIF":1.9,"publicationDate":"2021-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-020-00371-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72454419","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
Antony Lewis: The basics of bitcoins and blockchains 安东尼·刘易斯:比特币和区块链的基础知识
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-01-04 DOI: 10.1007/s11408-020-00374-0
Luca J. Liebi
{"title":"Antony Lewis: The basics of bitcoins and blockchains","authors":"Luca J. Liebi","doi":"10.1007/s11408-020-00374-0","DOIUrl":"https://doi.org/10.1007/s11408-020-00374-0","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"11 1","pages":"145 - 147"},"PeriodicalIF":1.9,"publicationDate":"2021-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86123001","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: 2
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios 高维最小方差组合的交叉验证协方差估计
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-01-02 DOI: 10.1007/s11408-020-00376-y
S. Husmann, A. Shivarova, R. Steinert
{"title":"Cross-validated covariance estimators for high-dimensional minimum-variance portfolios","authors":"S. Husmann, A. Shivarova, R. Steinert","doi":"10.1007/s11408-020-00376-y","DOIUrl":"https://doi.org/10.1007/s11408-020-00376-y","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"55 1","pages":"309 - 352"},"PeriodicalIF":1.9,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81218326","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
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