Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Mikhail Samonov"'
Autor:
Mikhail Samonov, Nonna Sorokina
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e64738df05d16d2e9ae6a775b43fb8b2
https://doi.org/10.2139/ssrn.4318157
https://doi.org/10.2139/ssrn.4318157
Publikováno v:
The Journal of Investing. 29:110-127
Using an earnings forecasting model is useful and produces statistically significant outperformance in US stock selection. This study finds that the incorporation of environmental, social, and governance (ESG) criteria can potentially enhance stockho
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f3879c43a8e4475fea10c78e2aee3e43
https://doi.org/10.3905/joi.2020.1.115
https://doi.org/10.3905/joi.2020.1.115
Autor:
Christopher C. Geczy, Mikhail Samonov
Publikováno v:
SSRN Electronic Journal.
Using hand-collected data of commodity futures contracts going back to 1877, we replicate in the pre-sample history the well-documented cross-sectional commodity factor premia of momentum, value and basis. All three premia remain significantly positi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::31a60eaa763e0c85da889222aca1f944
https://doi.org/10.2139/ssrn.3336406
https://doi.org/10.2139/ssrn.3336406
Autor:
Mikhail Samonov, Christopher C. Geczy
Publikováno v:
Financial Analysts Journal. 72:32-56
Having created a monthly dataset of US security prices between 1801 and 1926, we conduct out-of-sample tests of price-return momentum strategies that have been implemented in the post-1925 datasets. The additional time-series data strengthen the evid
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::efb1526b7d5162c3b43b7d6db2c8484e
https://doi.org/10.2469/faj.v72.n5.1
https://doi.org/10.2469/faj.v72.n5.1
Autor:
Christopher C. Geczy, Mikhail Samonov
Publikováno v:
SSRN Electronic Journal.
Extending price return momentum tests to the longest available histories of global financial asset returns, including country-specific sectors and stocks, fixed income, currencies, and commodities, as well as U.S. stocks, we create a 215-year history
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d77637cc631f59b77a2ebf653e787599
https://doi.org/10.2139/ssrn.2607730
https://doi.org/10.2139/ssrn.2607730
Autor:
Christopher C. Geczy, Mikhail Samonov
Publikováno v:
SSRN Electronic Journal.
We assemble a monthly dataset of U.S. security prices between 1801 and 1926 and, both in and out of sample, test price-return momentum strategies discovered in the post-1927 data. The pre-1927 momentum profits remain positive and statistically signif
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e5f005bdb87e2dba5afb1e19ea39b38d
https://doi.org/10.2139/ssrn.2292544
https://doi.org/10.2139/ssrn.2292544