Zobrazeno 1 - 10
of 61
pro vyhledávání: '"JUHANI T. LINNAINMAA"'
Autor:
SINA EHSANI, JUHANI T. LINNAINMAA
Publikováno v:
The Journal of Finance. 77:1877-1919
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6c7cff9380eca5171d0e0b66dc8e212e
https://doi.org/10.1111/jofi.13131
https://doi.org/10.1111/jofi.13131
Publikováno v:
The Review of Financial Studies.
Factors display strong cross-sectional momentum that subsumes momentum in industries and other portfolio characteristics. The profits of all these momentum strategies—based on factors, industries, and other characteristics—significantly correlate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ddc13466bcac1d14b5452d2017ab889
https://doi.org/10.1093/rfs/hhad006
https://doi.org/10.1093/rfs/hhad006
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bd744929c92b2ef0d5da8cb61a730621
https://doi.org/10.2139/ssrn.4381611
https://doi.org/10.2139/ssrn.4381611
Publikováno v:
Journal of Financial Economics. 139:138-161
Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka, 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stoc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87131e8f64d899de2588583361c0a162
https://doi.org/10.1016/j.jfineco.2020.07.009
https://doi.org/10.1016/j.jfineco.2020.07.009
Publikováno v:
The Journal of Finance. 76:587-621
A common view of retail finance is that conflicts of interest contribute to the high cost of advice. Within a large sample of Canadian financial advisors and their clients, however, we show that advisors typically invest personally just as they advis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4f6d1f2ca352dc4a5fcfc6c13f034c43
https://doi.org/10.1111/jofi.12995
https://doi.org/10.1111/jofi.12995
Autor:
Sina Ehsani, Juhani T. Linnainmaa
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c076e5f93dc76dd963ec553561a49ee5
https://doi.org/10.2139/ssrn.4059632
https://doi.org/10.2139/ssrn.4059632
Long-term expected returns appear to vary little, if at all, in the cross section of stocks. We devise a bootstrapping procedure that injects small amounts of variation into expected returns and show that even negligible differences in expected retur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f20132c486f442daf5676593a1705264
https://aaltodoc.aalto.fi/handle/123456789/112944
https://aaltodoc.aalto.fi/handle/123456789/112944
Publikováno v:
The Journal of Portfolio Management. 45:18-36
Factor investing has failed to live up to its many promises. Its success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of dat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4b4277ccb8a8d7825bcf85612599185c
https://doi.org/10.3905/jpm.2019.45.4.018
https://doi.org/10.3905/jpm.2019.45.4.018
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e8aa63129bf775516165e9a1458011da
https://doi.org/10.2139/ssrn.3971821
https://doi.org/10.2139/ssrn.3971821
Publikováno v:
SSRN Electronic Journal.
By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characte
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2cd2aaf2251c8270b868a272132e4091
https://doi.org/10.2139/ssrn.3783925
https://doi.org/10.2139/ssrn.3783925