Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Mohammad Reza Tavakoli Baghdadabad"'
Publikováno v:
Journal of Business Economics and Management, Vol 14, Iss 1 (2013)
We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two CAPM-like m
Externí odkaz:
https://doaj.org/article/0dbf596c0ee94f6886bd0619141efceb
Publikováno v:
Journal of Business Economics and Management, Vol 14, Iss 4 (2013)
We evaluate the efficiency of mutual fund managers of 20 different classes of management styles to identify the most efficient strategies and to propose an optimal pattern in selecting the funds by investors. We collect monthly data of 17,686 US mutu
Externí odkaz:
https://doaj.org/article/a825e1a8b28a458cbeab0bbef3aa2cab
Publikováno v:
International Journal of Emerging Markets, 2015, Vol. 10, Issue 4, pp. 726-746.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/IJoEM-12-2011-0112
Publikováno v:
International Journal of Emerging Markets, 2015, Vol. 10, Issue 3, pp. 427-447.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/IJoEM-08-2011-0071
Publikováno v:
Empirical Economics. 61:1819-1863
We propose three co-moments of the market returns’ cash-flow, and discount-rate shocks and examine empirically an intertemporal capital asset pricing model using the co-moments on currency returns as well as stock returns during Dec. 1983 to Dec. 2
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aa0b2de22c90c89e696d4a5d04907c34
https://doi.org/10.1007/s00181-020-01951-y
https://doi.org/10.1007/s00181-020-01951-y
Publikováno v:
The Journal of Fixed Income. 27:73-99
The authors examine the relation between two global risk factors of co-skewness and co-kurtosis and the cross-section of currency excess returns arising from well-known strategies that borrow in currencies with low interest rates and invest in curren
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d6e2f2552a33aad481b8c186046adc61
https://doi.org/10.3905/jfi.2018.27.4.073
https://doi.org/10.3905/jfi.2018.27.4.073
Publikováno v:
Empirical Economics. 55:731-764
We investigate a global cross-sectional relation between idiosyncratic risk moments and expected stock returns by suggesting three global idiosyncratic volatility, skewness, and kurtosis risk factors. We also suggest two global small minus big and hi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8c4d56846368928032e101f9ae19021c
https://doi.org/10.1007/s00181-017-1301-y
https://doi.org/10.1007/s00181-017-1301-y
Publikováno v:
Research in Economics. 68:264-276
We investigate the effects of average drawdown risk reduction on US mutual funds. Due to numerous evidence of the asymmetric distribution of portfolio returns, the asymmetric risk measures have extensively been used in risk management during the rece
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4f5c4c6dd05ac6ca2225ad900fcb78c4
https://doi.org/10.1016/j.rie.2014.02.002
https://doi.org/10.1016/j.rie.2014.02.002
Publikováno v:
International Journal of Managerial Finance. 10:54-72
Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This stud
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::61bf9812e3cce6b3600776fd369d712b
https://doi.org/10.1108/ijmf-12-2011-0095
https://doi.org/10.1108/ijmf-12-2011-0095
Publikováno v:
Finance a uver - Czech Journal of Economics and Finance. 64(2):120-143
In this paper assess the relative performance of US mutual funds using a non-parametric method such as data envelopment analysis (DEA). In particular, we assess the changes of mutual funds’ total productivity using the DEA-based Tornqvist productiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::90118006186313c2fd3d81db0b068cb0
http://journal.fsv.cuni.cz/storage/1295_tavakoli.pdf
http://journal.fsv.cuni.cz/storage/1295_tavakoli.pdf