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Report of the Editor 2020. 2020年编辑报告。
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-01-01 Epub Date: 2021-03-04 DOI: 10.1007/s11408-021-00379-3
Markus Schmid
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引用次数: 0
ICO investors. ICO投资者。
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-01-01 Epub Date: 2020-11-06 DOI: 10.1007/s11408-020-00366-0
Rüdiger Fahlenbrach, Marc Frattaroli
{"title":"ICO investors.","authors":"Rüdiger Fahlenbrach,&nbsp;Marc Frattaroli","doi":"10.1007/s11408-020-00366-0","DOIUrl":"https://doi.org/10.1007/s11408-020-00366-0","url":null,"abstract":"<p><p>We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4700 contributors. The median participant contributes small amounts and many investors sell their tokens before the underlying product is developed. Large presale investors obtain tokens at a discount and flip part of their allocation shortly after the ICO. ICO contributors lack the protections traditionally afforded to investors in early-stage financing. Nevertheless, returns 9 months after the ICO are positive on average, driven mostly by an increase in the value of the Ethereum cryptocurrency.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"35 1","pages":"1-59"},"PeriodicalIF":1.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-020-00366-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39644383","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
Covid-19 and smart beta: A case study on the role of sectors. Covid-19与智能beta:部门作用的案例研究。
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2021-01-01 Epub Date: 2021-04-15 DOI: 10.1007/s11408-021-00383-7
Milot Hasaj, Bernd Scherer
{"title":"Covid-19 and smart beta: A case study on the role of sectors.","authors":"Milot Hasaj,&nbsp;Bernd Scherer","doi":"10.1007/s11408-021-00383-7","DOIUrl":"https://doi.org/10.1007/s11408-021-00383-7","url":null,"abstract":"<p><p>We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"35 4","pages":"515-532"},"PeriodicalIF":1.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-021-00383-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39720789","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: 2
COVID-19's impact on real estate markets: review and outlook. COVID-19 对房地产市场的影响：回顾与展望。
IF 1.5
Financial Markets and Portfolio Management Pub Date : 2021-01-01 Epub Date: 2021-03-25 DOI: 10.1007/s11408-021-00384-6
Nadia Balemi, Roland Füss, Alois Weigand
{"title":"COVID-19's impact on real estate markets: review and outlook.","authors":"Nadia Balemi, Roland Füss, Alois Weigand","doi":"10.1007/s11408-021-00384-6","DOIUrl":"10.1007/s11408-021-00384-6","url":null,"abstract":"<p><p>As symbolized by vacant office buildings, empty shopping malls and abandoned flats in metropolitan areas, the new coronavirus disease 2019 has severely impacted real estate markets. This paper provides a comprehensive literature review of the latest academic insights into how this pandemic has affected the housing, commercial real estate and the mortgage market. Moreover, these findings are linked to comprehensive statistics of each real estate sector's performance during the crisis. Finally, the paper includes an outlook and discusses possible future developments in each real estate segment.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"35 4","pages":"495-513"},"PeriodicalIF":1.5,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7993983/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39720787","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
A comprehensive investigation into style momentum strategies in China 中国风格动量策略的综合研究
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2020-12-22 DOI: 10.1007/s11408-020-00375-z
C. Su
{"title":"A comprehensive investigation into style momentum strategies in China","authors":"C. Su","doi":"10.1007/s11408-020-00375-z","DOIUrl":"https://doi.org/10.1007/s11408-020-00375-z","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"24 1","pages":"101 - 144"},"PeriodicalIF":1.9,"publicationDate":"2020-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79641468","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
The US financial crisis, market volatility, credit risk and stock returns in the Americas 美国金融危机、市场波动、信贷风险和美洲股市回报
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2020-11-23 DOI: 10.1007/s11408-020-00369-x
Juan Andres Rodriguez-Nieto, A. Mollick
{"title":"The US financial crisis, market volatility, credit risk and stock returns in the Americas","authors":"Juan Andres Rodriguez-Nieto, A. Mollick","doi":"10.1007/s11408-020-00369-x","DOIUrl":"https://doi.org/10.1007/s11408-020-00369-x","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"55 1","pages":"225 - 254"},"PeriodicalIF":1.9,"publicationDate":"2020-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73442570","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
Marcos M. López de Prado: Machine learning for asset managers Marcos M. López de Prado:资产管理的机器学习
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2020-10-20 DOI: 10.1007/s11408-020-00368-y
Florian Hinz
{"title":"Marcos M. López de Prado: Machine learning for asset managers","authors":"Florian Hinz","doi":"10.1007/s11408-020-00368-y","DOIUrl":"https://doi.org/10.1007/s11408-020-00368-y","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"36 1","pages":"507 - 509"},"PeriodicalIF":1.9,"publicationDate":"2020-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90837462","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
Testing for structural breaks in return-based style regression models 基于回报的回归模型的结构断裂检验
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2020-10-15 DOI: 10.1007/s11408-020-00364-2
Yunmi Kim, Douglas Stone, Tae-Hwan Kim
{"title":"Testing for structural breaks in return-based style regression models","authors":"Yunmi Kim, Douglas Stone, Tae-Hwan Kim","doi":"10.1007/s11408-020-00364-2","DOIUrl":"https://doi.org/10.1007/s11408-020-00364-2","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"44 1","pages":"61 - 76"},"PeriodicalIF":1.9,"publicationDate":"2020-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90475812","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
Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence 混合对比策略对动量策略和反向策略的优势:半个世纪的证据
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2020-08-24 DOI: 10.1007/s11408-020-00363-3
Kobana Abukari, Isaac Otchere
{"title":"Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence","authors":"Kobana Abukari, Isaac Otchere","doi":"10.1007/s11408-020-00363-3","DOIUrl":"https://doi.org/10.1007/s11408-020-00363-3","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"210 6","pages":"471 - 505"},"PeriodicalIF":1.9,"publicationDate":"2020-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-020-00363-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72448638","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
Flight-to-quality in the stock–bond return relation: a regime-switching copula approach 股票-债券回报关系中的“逃向优质资产”:一种制度转换的联结方法
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2020-07-31 DOI: 10.1007/s11408-020-00361-5
M. Tachibana
{"title":"Flight-to-quality in the stock–bond return relation: a regime-switching copula approach","authors":"M. Tachibana","doi":"10.1007/s11408-020-00361-5","DOIUrl":"https://doi.org/10.1007/s11408-020-00361-5","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"25 1","pages":"429 - 470"},"PeriodicalIF":1.9,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75469174","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: 4
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