Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Guido Baltussen"'
Publikováno v:
Financial Analysts Journal. :1-28
Publikováno v:
Financial Analysts Journal, 78(3), 30-48. CFA Institute
Studying a comprehensive universe of European-domiciled cross-border UCITS equity and fixed income funds we find that (i) active equity funds on average outperform passive alternatives before fees by about the level of the fees, (ii) active fixed inc
Publikováno v:
The Journal of Portfolio Management, 48(2), 209-225. Portfolio Management Research
The authors examine government bond factor premiums in a deep global sample from 1800 to 2020, spanning the major markets and maturities. Bond factors (value, momen- tum, low risk) offer attractive premiums that do not decay across samples, are persi
Publikováno v:
Journal of Financial Economics. Elsevier
Hedging short gamma exposure requires trading in the direction of price movements, thereby creating price momentum. Using intraday returns on over 60 futures on equities, bonds, commodities, and currencies between 1974 and 2020, we find strong market
Publikováno v:
Financial Analysts Journal, 77(3), 133-155. CFA Institute
We use 70 years of international data from the major bond markets to examine bond return predictability through in-sample and out-of-sample tests. Our results reveal economically strong and statistically significant bond return predictability. This f
Publikováno v:
SSRN Electronic Journal.
Autor:
Guido Baltussen, Amar Soebhag
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
We examine government bond factor premiums in a deep global sample from 1800 to 2020 spanning the major markets and maturities. Bond factors (Value, Momentum, Low-risk) offer attractive premiums that do not decay across samples, are persistent over t
Publikováno v:
SSRN Electronic Journal.
We study the cross-section of stock returns using a novel constructed database of U.S. stocks covering 61 years of additional and independent data. Our database contains data on stock prices, dividends and hand-collected market capitalizations for 1,
Autor:
Pim van Vliet, Guido Baltussen
Publikováno v:
SSRN Electronic Journal.
We study the performance of equity styles during the period around the Spanish Flu pandemic of 1918-1919 and other deep historical market corrections to gain a deeper understanding on the performance of different groups of stocks during crises. We ex