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This article analyses the impact of market climates on the Sharpe ratios (SRs) of funds. On the basis of a common factor model, we derive analytically how market climates impact the SR – taking into account the abilities of fund managers. This applies especially to the mean of the market returns...
Goyal and Wahal showed that plan sponsors typically lose value when firing an underperforming manager and hiring its replacement. Experience suggests that most investors appreciate this research but then ignore it when making decisions. To redress this problem, we build a model that shows an...
The value premium does not statistically exist in the benchmark opportunity set of stocks, as represented by market indexes, whether observed at the top level of index returns or within the constituency of at least one major index. These findings potentially offer a better explanation for why...
This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effect. We find that Halloween and TOM are the strongest and most profitable effects. The...
This article studies the relationship between initial market response to earnings surprise and subsequent stock price movement. We first develop a new measure – the earnings response elasticity (ERE) – to capture initial market response. It is defined as the absolute value of earnings...
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