Výsledky vyhledávání - "Marcel Prokopczuk"

How do corporate bond investors measure performance? Evidence from mutual fund flows

Autor: Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk

Which factor model do investors in corporate bonds use? We examine this question by tracking investors’ decisions to invest in actively managed corporate bond mutual funds with a revealed preference approach. Our main result is that all bond factor

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b18a8dacdc7e316fdd61779d86bf90a0
https://centaur.reading.ac.uk/105634/1/SSRN-id3486351.pdf

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Which Factors for Corporate Bond Returns?

Autor: Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk

Publikováno v: SSRN Electronic Journal.

Factors related to carry, duration, equity momentum, and the term structure are the most important risk factors in corporate bond markets. From a large set of factor candidates, we condense an optimal model with a two-step approach. First, we filter

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e05becb759c0c81744ad84e1b85ef005
https://doi.org/10.2139/ssrn.4012601

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Anomalies in Commodity Futures Markets

Autor: Marcel Prokopczuk, Bjoern Tharann, Fabian Hollstein

Publikováno v: The Quarterly Journal of Finance. 11

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a l

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::6c6aa7b658ead6df2f615d23cd0debcd
https://doi.org/10.1142/s2010139221500178

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