Zobrazeno 1 - 10
of 42
pro vyhledávání: '"Vitali Kalesnik"'
Publikováno v:
Financial Analysts Journal. 79:76-97
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a20e9b46723a0305ea9b83f1feb0450
https://doi.org/10.1080/0015198x.2023.2173506
https://doi.org/10.1080/0015198x.2023.2173506
Publikováno v:
The Journal of Portfolio Management. 49:111-124
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::878e238d101d694418b5c380a436c58d
https://doi.org/10.3905/jpm.2022.1.454
https://doi.org/10.3905/jpm.2022.1.454
Publikováno v:
The Journal of Portfolio Management. 48:119-147
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9c2aeb75bda5a77fdd6b2da1b00d6097
https://doi.org/10.3905/jpm.2022.1.410
https://doi.org/10.3905/jpm.2022.1.410
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_________::ce7c54b0c53efd473406e3f914a6185c
https://doi.org/10.2139/ssrn.4099610
https://doi.org/10.2139/ssrn.4099610
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:
Financial Analysts Journal. 75:44-61
Unlike standard factors, such as value, momentum, and size, “quality” lacks a commonly accepted definition. Practitioners, however, are increasingly gravitating to this style factor. They define qu...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4065eec8793f1be98ff3967bb7e9d76f
https://doi.org/10.1080/0015198x.2019.1567194
https://doi.org/10.1080/0015198x.2019.1567194
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
Autor:
Shingo Goto, Vitali Kalesnik
Publikováno v:
Finance Research Letters. 46:102377
Some firms time their share issuances/repurchases using their private information while others do not. We identify successful timers by comparing a cash-flow-based measure of net share issuance (NSI) with a share-based measure. Recent successful time
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cc7e334485e76a6656b35ff3fa3dbe7d
https://doi.org/10.1016/j.frl.2021.102377
https://doi.org/10.1016/j.frl.2021.102377
Publikováno v:
The Journal of Portfolio Management. 44:78-102
This article revisits the findings (published in this journal) of Jeffrey and Arnott, who reported that over 95% of active managers underperformed a capitalization-weighted index fund on an after-tax basis. The authors posit that much has changed in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef53e7d80913d7287c2f085291960e18
https://doi.org/10.3905/jpm.2018.44.5.078
https://doi.org/10.3905/jpm.2018.44.5.078