Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Gregg S. Fisher"'
Publikováno v:
SSRN Electronic Journal.
A property's location is often considered to be the ultimate determinant of its investment performance. But how exactly does a property's location influence its risk and return? We focus on the effects of location density on the risk and return of co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b1c01569e1b59103e5088e2552c008f5
https://doi.org/10.2139/ssrn.3864236
https://doi.org/10.2139/ssrn.3864236
Autor:
Gregg S. Fisher, Michael B. McDonald
Publikováno v:
The Journal of Wealth Management. 21:10-20
This article examines four different asset-pricing factors and their use in a portfolio that varies over time based on an investor’s risk preferences. Using data for the period 1980–2014, the authors show that the risk premiums of different facto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ded9d7e45fbd9f5144d2043d71799edb
https://doi.org/10.3905/jwm.2018.21.2.010
https://doi.org/10.3905/jwm.2018.21.2.010
Publikováno v:
The Journal of Portfolio Management. 44:127-141
In this article, the authors examine the relationship between country size, measured as the aggregate market capitalization of the listed stocks in a country, and individual stock returns. They find that stocks from small countries tend to have highe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::77ab77d7bce54942f47b5086f60c2700
https://doi.org/10.3905/jpm.2017.44.1.127
https://doi.org/10.3905/jpm.2017.44.1.127
Publikováno v:
SSRN Electronic Journal.
We find that accounting ratios (asset and sales growth, profitability, and equity dilution) that predict stock returns are associated with errors in analyst long-term growth forecasts. Specifically, accounting information that is associated with favo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a334fbfdeffbf22e23c454a939d3f075
https://doi.org/10.2139/ssrn.3454934
https://doi.org/10.2139/ssrn.3454934
Publikováno v:
The Journal of Index Investing. 6:10-19
This article compares fundamental index strategies with strategies that start with the market index and then tilt towards high fundamental-to-price ratio stocks. The authors find that the tilt strategies have similar return, volatility, and turnover
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4af8ccd29569da24f94b5c7ce72611df
https://doi.org/10.3905/jii.2015.6.3.010
https://doi.org/10.3905/jii.2015.6.3.010
Publikováno v:
The Journal of Portfolio Management. 41:42-56
In this article, the authors show under general conditions that the probability of risk parity beating any other portfolio is more than 50%. They also prove the maximin properties of a risk-parity portfolio under two scenarios: 1) when all assets’
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9f7559c3f011c7469c39e073496fc5f
https://doi.org/10.3905/jpm.2015.41.2.042
https://doi.org/10.3905/jpm.2015.41.2.042
Autor:
Gregg S. Fisher, Michael B. McDonald
Publikováno v:
SSRN Electronic Journal.
We examine the time series asset pricing factor returns and their use in a portfolio that varies over time based on an investor’s remaining human capital. Using of data for a common set of four different risk factors for the period 1980 to 2013, we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0ec1cca91db00f8decce3d2859b2768b
https://doi.org/10.2139/ssrn.3045907
https://doi.org/10.2139/ssrn.3045907
Publikováno v:
SSRN Electronic Journal.
In this article, the authors examine the relation between country size, measured as the aggregate market capitalization of the listed stocks in a country, and individual stock returns. They find that stocks from small countries tend to have higher av
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fcddfb650a9b34d962a4cf00a28f98de
https://doi.org/10.2139/ssrn.3088220
https://doi.org/10.2139/ssrn.3088220
Publikováno v:
The Journal of Investing. 23:114-123
In this article, the authors show that the profitability of time-series momentum strategies on commodity futures across their entire history is strongly sensitive to the starting day. When using daily returns with 252-day formation periods and 21-day
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e67b7c8b35702f6b8ed0e9b512f949ee
https://doi.org/10.3905/joi.2014.23.2.114
https://doi.org/10.3905/joi.2014.23.2.114
Autor:
Gregg S. Fisher, Nicolas P. B. Bollen
Publikováno v:
The Journal of Alternative Investments. 16:80-95
Replication products strive to offer investors some of the benefits of hedge funds while avoiding their high fees, illiquidity, and opacity. The authors of this article test whether a replication algorithm can deliver the diversification and high Sha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9343dd219e7c920358a175052bb2bb4a
https://doi.org/10.3905/jai.2013.16.2.080
https://doi.org/10.3905/jai.2013.16.2.080