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Jimmy Melo
Pág. 165 - 187
In scenarios of increasing pessimism, arbitrageurs affect processes by inducing a recuperation in demand for a risky asset (demand effect) or as a result of their capacity to transfer resources to scenarios of scarce liquidity (the liquidity effect). If ...
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Chen Kuo-Shing,Chen Chun-Ming,Lee Chien-Chiang
Pág. 420 - 428
This study applies interest parity theory including Covered Interest Parity (CIP) to examine the 30-, 60-.90-, and 180-day maturities for the NTD/USD foreign exchange (FX) market. In the empirical unit root tests, we find that NTD/USD forward premium and...
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John Muteba Mwamba
This paper investigates the persistence of hedge fund managers skills during periods of boom and/or recession. We consider a data set of monthly investment strategy indices published by Hedge Fund Research group. The data set spans from January 1995 to J...
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M. J. Page
AbstractIn this article a bootstrapping routine is used to compare the efficiency of different benchmarks that can be used for measuring security price performance on the Johannesburg Stock Exchange. Four approaches are compared; three benchmarks based o...
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Bo?ena Chovancová, Michaela Dorocáková and Dagmar Linnertová
A high liquidity, low expense ratio and the possibility to conduct arbitrage allow exchange-traded funds (ETFs) to be used for short sales. Bearish investors can also buy inverse ETFs. This paper aims to outline two investment approaches for bearish ETF ...
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