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Academics, practitioners and investors essentially agree that in the short term stocks are riskier than bonds. Which of these two assets is riskier in the long term, however, is controversial. This short article explores this issue by assessing long-term risk as suggested by Warren Buffett; that...
The study examines the possibility of arbitrage profits among 40 cross-listed Asia-Pacific stocks traded both on their home exchanges and the New York Stock Exchange in the form of American Depositary Receipts without overlapping trading hours. We propose a statistical method categorizing the...
We propose a novel approach to the benchmark replication problem that uses a minimum tracking error variance as an objective subject to a target expected outperformance. When no budget constraint is imposed on the replicating portfolio, the solution is a two-fund portfolio involving the standard...
This article compares the performance of behavioural finance funds with the performance of the market and that of matched mutual funds across the major regions of the world from 1990 to 2010. Performance is measured raw and risk-adjusted. The empirical evidence suggests that behavioural finance...
We explore the profitability of a strategy that is based on the quarterly addition/deletion revisions of the FTSE100 index and of a strategy that is based on the irregular additions of reserve companies on the list of firms to be included in the FTSE100. We estimate the transaction cost based on...
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