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Analyst herding and firm-level investor sentiment 分析师羊群效应和公司层面的投资者情绪
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-04-03 DOI: 10.1007/s11408-021-00382-8
John Garcia
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引用次数: 6
Designing volatility indices for Austria, Finland and Spain 为奥地利、芬兰和西班牙设计波动率指数
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-04-03 DOI: 10.1007/s11408-021-00381-9
Giovanni Campisi, S. Muzzioli
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引用次数: 1
Star rating, fund flows and performance predictability: evidence from Norway 星级评级、资金流动和业绩可预测性:来自挪威的证据
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-03-21 DOI: 10.2139/ssrn.3460883
Linn K. Aasheim, A. Miguel, S. Ramos
This paper studies the effect of Morningstar ratings on fund flows and fund performance predictability using a proprietary data set of equity funds from Norway. Controlling for a number of variables proxying for fund and firm visibility, we find that fund flows respond asymmetrically to changes in Morningstar ratings. Specifically, 4- and 5-star rated funds get more flows, and funds upgraded to 5-star get significantly more flows not only in the next month, but also over the following 12 months after the rating change. Downgraded funds suffer outflows, but the results only become statistically significant when fund performance falls to a 2-star rating. We also find evidence of long-term performance predictability for top-rated funds. As the mutual fund industry develops worldwide, our results suggest that Morningstar has been successful in bringing its brand name to markets outside the USA, and that Morningstar ratings are a valuable tool for helping investors make strong investment decisions.
本文利用挪威股票基金的专有数据集，研究了晨星评级对基金流量和基金业绩可预测性的影响。控制了代表基金和公司可见度的一些变量，我们发现资金流动对晨星评级的变化做出了不对称的反应。具体而言，4星和5星评级的基金获得更多的流量，升级为5星的基金不仅在下个月获得更多的流量，而且在评级变化后的12个月内获得更多的流量。被降级的基金遭受资金外流，但只有当基金业绩降至2星评级时，结果才会在统计上显著。我们还发现了顶级基金长期业绩可预测性的证据。随着共同基金行业在全球范围内的发展，我们的研究结果表明，晨星已经成功地将其品牌品牌引入了美国以外的市场，晨星评级是帮助投资者做出强有力的投资决策的宝贵工具。
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引用次数: 0
Matthias Thiemann: The Growth of Shadow Banking: A Comparative Institutional Analysis Matthias Thiemann:影子银行的成长:一个比较制度分析
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-02-12 DOI: 10.1007/s11408-021-00378-4
Pēteris Kloks
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引用次数: 12
The better turbulence index? Forecasting adverse financial markets regimes with persistent homology 更好的湍流指数?预测具有持续同源性的不利金融市场机制
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-02-10 DOI: 10.1007/s11408-020-00377-x
Eduard Baitinger, Samuel Flegel

Persistent homology is the workhorse of modern topological data analysis, which in recent years becomes increasingly powerful due to methodological and computing power advances. In this paper, after equipping the reader with the relevant background on persistent homology, we show how this tool can be harnessed for investment purposes. Specifically, we propose a persistent homology-based turbulence index for the detection of adverse market regimes. With the help of an out-of-sample study, we demonstrate that investment strategies relying on a persistent homology-based turbulence detection outperform investment strategies based on other popular turbulence indices. Additionally, we conduct a stability analysis of our findings. This analysis confirms the results from the previous out-of-sample study, as the outperformance prevails for most configurations of the respective investment strategy and thereby mitigating possible data mining concerns.

持久同构是现代拓扑数据分析的主力，近年来由于方法和计算能力的进步，它变得越来越强大。在本文中，在为读者提供持久同源性的相关背景之后，我们将展示如何利用该工具进行投资。具体来说，我们提出了一个持久的基于同源性的湍流指数来检测不利的市场制度。在样本外研究的帮助下，我们证明了依赖于基于持续同构的湍流检测的投资策略优于基于其他流行湍流指数的投资策略。此外，我们对我们的发现进行了稳定性分析。这一分析证实了之前样本外研究的结果，因为各自投资策略的大多数配置都表现优异，从而减轻了可能的数据挖掘问题。
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引用次数: 0
Interaction effects between dynamic hybrid products and traditional deferred annuities in the German life insurance market 动态混合产品与传统递延年金在德国寿险市场的交互效应
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-02-01 DOI: 10.1007/s11408-020-00367-z
Nikolaj Moretti, Johannes Bartels
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引用次数: 0
Seasonalities in the German stock market 德国股市的季节性
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-01-24 DOI: 10.1007/s11408-020-00373-1
D. Hofmann, K. Keiber
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引用次数: 3
Product market competition and intermediate-term momentum 产品市场竞争和中期势头
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-01-23 DOI: 10.1007/s11408-020-00371-3
Scott Li
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引用次数: 0
Antony Lewis: The basics of bitcoins and blockchains 安东尼·刘易斯:比特币和区块链的基础知识
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-01-04 DOI: 10.1007/s11408-020-00374-0
Luca J. Liebi
{"title":"Antony Lewis: The basics of bitcoins and blockchains","authors":"Luca J. Liebi","doi":"10.1007/s11408-020-00374-0","DOIUrl":"https://doi.org/10.1007/s11408-020-00374-0","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"11 1","pages":"145 - 147"},"PeriodicalIF":1.9,"publicationDate":"2021-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86123001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios 高维最小方差组合的交叉验证协方差估计
IF 1.9 Q3 BUSINESS, FINANCE
Financial Markets and Portfolio Management
Pub Date : 2021-01-02 DOI: 10.1007/s11408-020-00376-y
S. Husmann, A. Shivarova, R. Steinert
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引用次数: 0
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