Zobrazeno 1 - 10
of 140
pro vyhledávání: '"Aboura, Sofiane"'
Autor:
Aboura, Sofiane1 (AUTHOR) sofiane.aboura@sorbonne-paris-nord.fr
Publikováno v:
Journal of Fixed Income. Spring2024, Vol. 33 Issue 4, p105-127. 23p.
Publikováno v:
J. Finan. Res. 42, 71-113 (2019)
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify the relatio
Externí odkaz:
http://arxiv.org/abs/1911.00919
Autor:
Aboura, Sofiane1 Sofiane.Aboura@univ-paris13.fr
Publikováno v:
International Journal of Environmental Health Research. Aug2023, Vol. 33 Issue 8, p809-822. 14p. 6 Charts, 2 Graphs.
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration policies s
Externí odkaz:
http://arxiv.org/abs/1602.00931
Publikováno v:
In European Journal of Operational Research 16 August 2020 285(1):306-323
Publikováno v:
In Journal of Financial Markets June 2020 49
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 15 July 2019 526
Publikováno v:
Quant. Finance 13, 1697-1706 (2013)
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations. This model is able to capture both the "retarded effect" induced by the specific risk
Externí odkaz:
http://arxiv.org/abs/1209.5190
Autor:
Aboura, Sofiane1 (AUTHOR) Sofiane.Aboura@univ-paris13.fr
Publikováno v:
Empirical Economics. Nov2022, Vol. 63 Issue 5, p2577-2603. 27p. 1 Diagram, 6 Charts, 7 Graphs.
Autor:
Aboura, Sofiane, Chevallier, Julien
Publikováno v:
In Research in International Business and Finance December 2018 46:16-29