Zobrazeno 1 - 10
of 90
pro vyhledávání: '"Timotheos Angelidis"'
Autor:
Timotheos Angelidis, Alexander V. Benos, Stavros Antonios Degiannakis, Helena Schweiger, Daniel Quinn, Michael T. Kiley, Albert Queralto, Jae W. Sim, Ke Wang, Missaka Warusawitharana, Tilman Bletzinger, Othman Bouabdallah, Gabriele Galati, Pablo Burriel, Sándor Gardó, Cristina D. Checherita-Westphal, Felix Hammermann, Stephan Krikor Haroutunian, Jacopo Cimadomo, Benjamin Hartung, Pascal Jacquinot, Christophe Kamps, Steven Poelhekke, Ivan Kataryniuk, Joost Röttger, Falk Mazelis, Stephan Sauer, Katja Schmidt, Carlos Montes-Galdón, Sebastian Schmidt, Philip Muggenthaler, Carolin Nerlich, Ralph Setzer, Galo Nuño, Vilém Valenta, Anamaria Piloiu, Guido Wolswijk, Massimiliano Pisani, Chloé Derouen, Thomas Faria, Jean Barthélemy, Dennis Bonam, Guiseppe Ferrero, José Garcia, Tommy Kostka, Sebastiaan Pool, Julia Körding, Marzia Romanelli, Kamila Slawinska, Marco Marrazzo, Talga Ozden, Agnieszka Trzcinska, Alari Paulus, Alexandru Penciu, Kai Philipp Christoffel
Publikováno v:
SSRN Electronic Journal.
Autor:
Nagaraju Velde, Timotheos Angelidis
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
International Review of Financial Analysis. 77:101852
Motivated by the ongoing debate on the interaction between fund size and fund performance, we investigate the effect of asset growth on fund performance. We explicitly measure the economic gain (loss) of being a small (large) fund by comparing the av
Publikováno v:
SSRN Electronic Journal.
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions. However, they have not succeeded yet as the developed
Publikováno v:
International Review of Financial Analysis. 35:118-127
Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock markets has been explored
Publikováno v:
Journal of Banking & Finance. 37:1759-1776
Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark results in different measuremen
Publikováno v:
Federal Reserve Bank of St. Louis, Working Papers. 2016
This paper proposes a theoretical and quantitative analysis of the reallocation of labor across firms in response to idiosyncratic shocks of different persistence. Creating and destroying jobs is costly and workers are paid a share of the value of th
The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation of oil pri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::87eafc023a00602a75b7db376740844b
https://eprints.bournemouth.ac.uk/21884/4/GFJ_post-print.pdf
https://eprints.bournemouth.ac.uk/21884/4/GFJ_post-print.pdf
Autor:
Timotheos Angelidis
Publikováno v:
Financial Review. 45:1053-1078
In this study, I examine the properties and portfolio management implications of value-weighted idiosyncratic volatility in 24 emerging markets. This paper provides evidence against the view that the rise of idiosyncratic risk is a global phenomenon.
Publikováno v:
International Review of Financial Analysis. 19:214-221
In the light of recent evidence that liquidity and idiosyncratic risk may be priced factors in the cross section of expected stock returns and that market capitalization significantly affects investor behavior and liquidity, we explore the interactio