A comparison of global factor models
MX Hanauer - Available at SSRN 3546295, 2020 - papers.ssrn.com
I compare commonly employed factor models across 50 non-US developed and emerging
market countries by ranking them based on their maximum Sharpe ratios. Consistent with …
market countries by ranking them based on their maximum Sharpe ratios. Consistent with …
Sustainable stocks and the Russian war on Ukraine-an event study in Europe
A Kick, H Rottmann - 2022 - papers.ssrn.com
The popularity of sustainable investments is unbroken and attracts investors and
researchers alike. Modelling the properties of such 'green'firms, Pástor, Stambaugh, and …
researchers alike. Modelling the properties of such 'green'firms, Pástor, Stambaugh, and …
Does earnings growth drive the quality premium?
High (low) quality stocks generate anomalously high (low) returns above and beyond
expected returns based on betas, market sizes, valuations, and momentum. We provide a …
expected returns based on betas, market sizes, valuations, and momentum. We provide a …
Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
M Khasawneh, DG McMillan… - The European Journal of …, 2023 - Taylor & Francis
We investigate the joint ability of fundamental-based and market-based news to explain the
anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out …
anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out …
On the protective effects of European sustainable stocks during the Russian invasion of Ukraine
A Kick, H Rottmann - Applied Economics, 2024 - Taylor & Francis
Sustainable investments remain popular, attracting investors and researchers alike.
Especially the tail-risk properties seem to differ between sustainable stocks and common …
Especially the tail-risk properties seem to differ between sustainable stocks and common …
The relevance of banks to the European stock market
A Kick, H Rottmann - The European Journal of Finance, 2023 - Taylor & Francis
Banks have always played an ambivalent role in financial markets. On the one hand, they
provide essential services for the market; on the other hand, problems in the banking sector …
provide essential services for the market; on the other hand, problems in the banking sector …
Uncertainty about Future Economic Policy and Expected Stock Returns-International Evidence
R Heigermoser - Available at SSRN 3563556, 2020 - papers.ssrn.com
I investigate the role of economic policy uncertainty (EPU), proxied by the news-based
measure of Baker et al.(2016), in the cross-section of individual stock returns in 23 countries …
measure of Baker et al.(2016), in the cross-section of individual stock returns in 23 countries …
Investing in Smart Beta ETFs: Relative Performance and Factor Exposure
O Saarijärvi - 2023 - osuva.uwasa.fi
Viimeisen vuosikymmenen aikana niin kutsuttu" Smart Beta" on saanut paljon huomiota ja
suosiota sijoittajien keskuudessa. Kasvua ovat johtaneet nettomerkinnät rahastoihin, uusien …
suosiota sijoittajien keskuudessa. Kasvua ovat johtaneet nettomerkinnät rahastoihin, uusien …
[PDF][PDF] Quality Dynamics in a Dynamic Economy
J O'Connell, S van den Hauwe - thesis.eur.nl
This research paper studies the quality factor within US equity markets from 1962 through
2018. Quality is a market characteristic that has explanatory power on the cross section of …
2018. Quality is a market characteristic that has explanatory power on the cross section of …