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Abstract Extensive studies have been done on the day-of-the-week effect in currency markets using the spot or future prices. Surprisingly, no literature is available on the day-of-the-week effect, considering the gauge of investors’ fears, that is, implied volatility. In this study, we attempted...
Abstract This paper examines the cross-sectional properties of stock return forecasts based on Fama–MacBeth regressions using all firms contained in the STOXX Europe 600 index during the September 1999–December 2018 period. Our estimation approach is strictly out of sample, mimicking an investor...
Abstract This paper is the first to identify and classify nearly all investment instruments held by equity funds by investigating their portfolio holdings. This enables us to analyze the effects of long and short exposures from different complex instruments including short sales, options and...
Abstract Dividend yields have been widely used in previous research to relate stock market valuations to cash flow fundamentals. However, this approach relies on the assumption that dividend yields are stationary. Due to the failure to reject the hypothesis of a unit root in the classical...
Abstract In recent years, thematic exchange-traded funds (ETF) have given core satellite strategies a new impetus. Thematic investing attempts to participate in certain trends, or to serve any conceivable subjective interest such as ethics and sustainability by supplementing the corresponding...
Abstract In this globalizing world, the search for predictions of asset returns across financial markets has challenged practitioners and academics for decades. Aware of this issue importance in developing investment strategy, we aim in this paper to give new evidence on the efficiency degree of...
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