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Mirza Sikalo, Almira Arnaut-Berilo and Adela Delalic
Comparing portfolio performance is complex due to the fact that each model is dominant in its own risk space. Since there is no single dominant performance measure, the research problem is how to incorporate several different measures into a performance ...
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Álvaro Rodríguez-Sanz and Luis Rubio Andrada
An important and challenging question for airport operators is the management of airport capacity and demand. Airport capacity depends on the available infrastructure, external factors, and operating procedures. Investments in Air Traffic Management (ATM...
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Henri Siro Evrard,June Alisson Westarb Cruz
Pág. 59 - 92
The present work aims to verify the efficiency of factors of return in predicting stocks? returns traded in BM&FBovespa. Have been tested 39 models, grouping 16 variables in their totality, in families and in isolation. All the models have been tested us...
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Hojatollah Atashi Golestani,Seyyed Mohammad Hosseini,Ehsan Mehrjoo
Pág. 54 - 61
In Iranian Accounting Standard, cash flows statement includes five elements. This is justifiable considering all discussions that exist in International Accounting Standard No.7 (IAS 7). This new representation method has raised many debates on its usefu...
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Chyi-Lun Chiou
Pág. 148 - 157
This article investigates the use of cash flow-fundamental ratio in forecasting stock market return and examines implications behind this ratio. By presuming the dynamics of cash flow-fundamental ratio I identify the relationship between economic uncerta...
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Adam Stivers
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and ...
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Jayen B. Patel
The January Barometer or the Other January effect suggests that January returns can predict future performance of the stock market. In this study, it is examined if any particular calendar month return can effectively be used as a monthly barometer to ac...
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Pradosh Simlai
Pág. 291 - 315
In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endo...
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Wayne E. Ferson, Andrea Heuson, and Tie Su
Pág. 1582
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Luciano Martin Rostagno,Gilberto de Oliveira Kloeckner,João Luiz Becker
Pág. pp. 183 - 206
This paper examines the hypothesis of asst return predictability in the Brazilian Stock Market (Bovespa). Evidence suggests that seven factors explain most of the monthly differential returns of the stocks included in the sample. Within the factors that ...
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