Journal of Investing最新文献_第9页

Analysis and Comparison of Natural Language Processing Algorithms as Applied to Bitcoin Conversations on Social Media 社交媒体上比特币对话的自然语言处理算法分析与比较

IF 0.6

Journal of Investing Pub Date : 2021-12-09 DOI: 10.3905/joi.2021.1.213

Benjamin McMillan, Joshua Myers, A. Nguyen, Don Robinson, Mark Kennard

引用次数: 2

The Historical Record on Active versus Passive Mutual Fund Performance 主动与被动共同基金业绩的历史记录

IF 0.6

Journal of Investing Pub Date : 2021-12-02 DOI: 10.3905/joi.2021.1.212

David Nanigian

引用次数: 0

Editor’s Letter 编辑的信

IF 0.6

Journal of Investing Pub Date : 2021-11-30 DOI: 10.3905/joi.2021.31.1.001

Brian R. Bruce

引用次数: 0

Trading Applications Using EVA Style Analysis 使用EVA风格分析的交易应用

IF 0.6

Journal of Investing Pub Date : 2021-11-07 DOI: 10.3905/joi.2021.1.210

A. Chakraborty, J. Grant, E. Trahan, B. Varma

{"title":"Trading Applications Using EVA Style Analysis","authors":"A. Chakraborty, J. Grant, E. Trahan, B. Varma","doi":"10.3905/joi.2021.1.210","DOIUrl":"https://doi.org/10.3905/joi.2021.1.210","url":null,"abstract":"The authors apply economic value added (EVA) style analysis to four corporate actions: acquisitions, share repurchases, stock splits, and dividend announcements. Firms acquiring public targets provide significant shorting opportunities on value-destroying growth and “wise” restructurers. Acquiring firms with private targets provide longing opportunities on underinvesting and wise restructurers. For share repurchases, the authors find consistent alpha opportunities on repurchasing firms by longing their stocks, with the highest alpha on the wise restructurers. The post-announcement returns for stock splits were negative for value destroyers and positive for restructurers. For dividend increases, post-announcement effects are small except for positive alpha on the wise restructurers. For dividend decreases, negative abnormal returns continue for the value destroyers and restructurers. The best longing opportunity is on the stocks of share-repurchasing companies in a wise restructurer position, while the best shorting opportunity is on the stocks of dividend-decreasing companies in a value-destroyer position. For active investors, EVA style analysis illuminates the naiveté of a “one size fits all” trading strategy on corporate actions.","PeriodicalId":45504,"journal":{"name":"Journal of Investing","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2021-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41289617","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

Protecting Portfolios Against Inflation 保护投资组合免受通货膨胀影响

IF 0.6

Journal of Investing Pub Date : 2021-10-18 DOI: 10.3905/joi.2021.1.207

Eugene Podkaminer, Wylie Tollette, Laurence B. Siegel

引用次数: 1

Enhancing Equity Index Mutual Fund Returns Using Cost and Morningstar Ratings Information 利用成本和晨星评级信息提高股票指数共同基金回报

IF 0.6

Journal of Investing Pub Date : 2021-10-15 DOI: 10.3905/joi.2021.1.206

C. E. Chang, T. Krueger, H. Witte

{"title":"Enhancing Equity Index Mutual Fund Returns Using Cost and Morningstar Ratings Information","authors":"C. E. Chang, T. Krueger, H. Witte","doi":"10.3905/joi.2021.1.206","DOIUrl":"https://doi.org/10.3905/joi.2021.1.206","url":null,"abstract":"Although equity index mutual funds (EIMFs) are often viewed as a commodity, we analyze the impact that differences in expenses and other fund characteristics have on both past returns and forward-looking ratings. Morningstar evaluates past performance with their “star” rating and evaluates future fund prospects using analyst ratings (ARs) and quantitative ratings (QRs). Funds with low expense ratios and no loads earn higher returns without adding proportionally higher risk. Morningstar analysts carefully consider fund fees in their evaluations and assign much higher ARs to lower-cost funds. Interestingly, although loads initially appear to negatively impact these ratings, once expense ratios are controlled for, analysts seem to be favorably disposed to funds with loads. Regression analysis further suggests that ARs are also positively influenced by Morningstar ratings and fund size. QRs are positively influenced by past performance, but negatively correlated with loads and expense ratios. EIMF age has little influence on AR and QR levels, though the likelihood of an AR rating increases with time since inception. Similar results occur in both the US and foreign equity markets. Expense ratios, loads, past performance, and size can all be used as fund selection tools that aid in maximizing investor wealth.","PeriodicalId":45504,"journal":{"name":"Journal of Investing","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2021-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47004808","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

Research Unbundling and COVID-19: Will Europe’s Capital Markets Recovery Package Help? 研究解绑与新冠肺炎：欧洲资本市场复苏计划会有帮助吗？

IF 0.6

Journal of Investing Pub Date : 2021-10-08 DOI: 10.3905/joi.2021.1.205

Michael Bender, Tino Cestonaro, P. Gomber, Jascha-Alexander Koch

{"title":"Research Unbundling and COVID-19: Will Europe’s Capital Markets Recovery Package Help?","authors":"Michael Bender, Tino Cestonaro, P. Gomber, Jascha-Alexander Koch","doi":"10.3905/joi.2021.1.205","DOIUrl":"https://doi.org/10.3905/joi.2021.1.205","url":null,"abstract":"In 2018, the European financial regulation MiFID II introduced research unbundling rules that banned the bundling of research payments with execution costs. The aim of research unbundling is to increase transparency for investors and to avoid agency conflicts. Opponents argue that research unbundling reduces small and medium-sized enterprise (SME) research and, thereby, SMEs’ financing opportunities because this research can no longer be cross-subsidized by research fees paid for larger companies. The outbreak of COVID-19 and its impact on financial markets fueled intense discussions on rebundling for SMEs. Consequently, in February 2021, the European Commission adopted a Capital Markets Recovery Package that allows bundled research for SMEs below a market capitalization of EUR 1 billion. Against this backdrop, the authors conducted a survey among European market participants to investigate changes in research services due to research unbundling and the COVID-19 pandemic. Moreover, they examine market participants’ views on the expected effects and improvements of the option to rebundle SME research as provided by the recovery package.","PeriodicalId":45504,"journal":{"name":"Journal of Investing","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2021-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42383087","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

Maximum Drawdown Distributions: The Cross-Asset Dimension 最大缩减分布:跨资产维度

IF 0.6

Journal of Investing Pub Date : 2021-09-30 DOI: 10.3905/joi.2021.1.194

Peter Warken, Angelina Kostyrina

{"title":"Maximum Drawdown Distributions: The Cross-Asset Dimension","authors":"Peter Warken, Angelina Kostyrina","doi":"10.3905/joi.2021.1.194","DOIUrl":"https://doi.org/10.3905/joi.2021.1.194","url":null,"abstract":"Potential severe drawdowns are a central concern of investors and pose a risk often inadequately considered in the risk profiling or portfolio optimization process. In this article, conditional expected drawdowns are extended from a multi-asset perspective by introducing the conditional expected cross-maximum drawdown measure. The dimensions of magnitude and time are combined to describe tail risk dynamics across asset classes. Beyond extending the risk analytics toolbox, approaches are introduced to explicitly and computational efficiently incorporate this perspective in the optimization process. This puts investors in the position to significantly improve the tails of the maximum drawdown distribution of their strategic asset allocation. Key Findings ▪ The understanding of maximum drawdown distributions is extended from a multi-asset perspective to address a central concern of investors. ▪ A framework to estimate and analyze the dynamics across asset classes is established by using the introduced risk measure and bootstrapping simulations. ▪ Applications in portfolio optimization highlight the fact that investors can significantly increase resilience and improve the risk-adjusted returns of their strategic asset allocation.","PeriodicalId":45504,"journal":{"name":"Journal of Investing","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47359768","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

BOOK REVIEW: Do-It-Yourself Wealth Management 书评:自己做财富管理

IF 0.6

Journal of Investing Pub Date : 2021-09-30 DOI: 10.3905/joi.2021.1.198

F. Fabozzi

引用次数: 0

Bonds Don’t Need to Be Negatively Correlated with Equities 债券不需要与股票负相关

IF 0.6

Journal of Investing Pub Date : 2021-09-30 DOI: 10.3905/joi.2021.1.192

L. Ryan

引用次数: 0