Pub Date : 2021-01-01Epub Date: 2021-03-04DOI: 10.1007/s11408-021-00379-3
Markus Schmid
{"title":"Report of the Editor 2020.","authors":"Markus Schmid","doi":"10.1007/s11408-021-00379-3","DOIUrl":"https://doi.org/10.1007/s11408-021-00379-3","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"35 1","pages":"149-150"},"PeriodicalIF":1.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-021-00379-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39720786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01Epub Date: 2020-11-06DOI: 10.1007/s11408-020-00366-0
Rüdiger Fahlenbrach, Marc Frattaroli
We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4700 contributors. The median participant contributes small amounts and many investors sell their tokens before the underlying product is developed. Large presale investors obtain tokens at a discount and flip part of their allocation shortly after the ICO. ICO contributors lack the protections traditionally afforded to investors in early-stage financing. Nevertheless, returns 9 months after the ICO are positive on average, driven mostly by an increase in the value of the Ethereum cryptocurrency.
{"title":"ICO investors.","authors":"Rüdiger Fahlenbrach, Marc Frattaroli","doi":"10.1007/s11408-020-00366-0","DOIUrl":"https://doi.org/10.1007/s11408-020-00366-0","url":null,"abstract":"<p><p>We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4700 contributors. The median participant contributes small amounts and many investors sell their tokens before the underlying product is developed. Large presale investors obtain tokens at a discount and flip part of their allocation shortly after the ICO. ICO contributors lack the protections traditionally afforded to investors in early-stage financing. Nevertheless, returns 9 months after the ICO are positive on average, driven mostly by an increase in the value of the Ethereum cryptocurrency.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"35 1","pages":"1-59"},"PeriodicalIF":1.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-020-00366-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39644383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01Epub Date: 2021-04-15DOI: 10.1007/s11408-021-00383-7
Milot Hasaj, Bernd Scherer
We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes.
{"title":"Covid-19 and smart beta: A case study on the role of sectors.","authors":"Milot Hasaj, Bernd Scherer","doi":"10.1007/s11408-021-00383-7","DOIUrl":"https://doi.org/10.1007/s11408-021-00383-7","url":null,"abstract":"<p><p>We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"35 4","pages":"515-532"},"PeriodicalIF":1.9,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-021-00383-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39720789","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01Epub Date: 2021-03-25DOI: 10.1007/s11408-021-00384-6
Nadia Balemi, Roland Füss, Alois Weigand
As symbolized by vacant office buildings, empty shopping malls and abandoned flats in metropolitan areas, the new coronavirus disease 2019 has severely impacted real estate markets. This paper provides a comprehensive literature review of the latest academic insights into how this pandemic has affected the housing, commercial real estate and the mortgage market. Moreover, these findings are linked to comprehensive statistics of each real estate sector's performance during the crisis. Finally, the paper includes an outlook and discusses possible future developments in each real estate segment.
{"title":"COVID-19's impact on real estate markets: review and outlook.","authors":"Nadia Balemi, Roland Füss, Alois Weigand","doi":"10.1007/s11408-021-00384-6","DOIUrl":"10.1007/s11408-021-00384-6","url":null,"abstract":"<p><p>As symbolized by vacant office buildings, empty shopping malls and abandoned flats in metropolitan areas, the new coronavirus disease 2019 has severely impacted real estate markets. This paper provides a comprehensive literature review of the latest academic insights into how this pandemic has affected the housing, commercial real estate and the mortgage market. Moreover, these findings are linked to comprehensive statistics of each real estate sector's performance during the crisis. Finally, the paper includes an outlook and discusses possible future developments in each real estate segment.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"35 4","pages":"495-513"},"PeriodicalIF":1.5,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7993983/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39720787","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-11-23DOI: 10.1007/s11408-020-00369-x
Juan Andres Rodriguez-Nieto, A. Mollick
{"title":"The US financial crisis, market volatility, credit risk and stock returns in the Americas","authors":"Juan Andres Rodriguez-Nieto, A. Mollick","doi":"10.1007/s11408-020-00369-x","DOIUrl":"https://doi.org/10.1007/s11408-020-00369-x","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"55 1","pages":"225 - 254"},"PeriodicalIF":1.9,"publicationDate":"2020-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73442570","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}
Pub Date : 2020-10-20DOI: 10.1007/s11408-020-00368-y
Florian Hinz
{"title":"Marcos M. López de Prado: Machine learning for asset managers","authors":"Florian Hinz","doi":"10.1007/s11408-020-00368-y","DOIUrl":"https://doi.org/10.1007/s11408-020-00368-y","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"36 1","pages":"507 - 509"},"PeriodicalIF":1.9,"publicationDate":"2020-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90837462","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}
Pub Date : 2020-10-15DOI: 10.1007/s11408-020-00364-2
Yunmi Kim, Douglas Stone, Tae-Hwan Kim
{"title":"Testing for structural breaks in return-based style regression models","authors":"Yunmi Kim, Douglas Stone, Tae-Hwan Kim","doi":"10.1007/s11408-020-00364-2","DOIUrl":"https://doi.org/10.1007/s11408-020-00364-2","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"44 1","pages":"61 - 76"},"PeriodicalIF":1.9,"publicationDate":"2020-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90475812","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}
Pub Date : 2020-08-24DOI: 10.1007/s11408-020-00363-3
Kobana Abukari, Isaac Otchere
{"title":"Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence","authors":"Kobana Abukari, Isaac Otchere","doi":"10.1007/s11408-020-00363-3","DOIUrl":"https://doi.org/10.1007/s11408-020-00363-3","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"210 6","pages":"471 - 505"},"PeriodicalIF":1.9,"publicationDate":"2020-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s11408-020-00363-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72448638","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}
Pub Date : 2020-07-31DOI: 10.1007/s11408-020-00361-5
M. Tachibana
{"title":"Flight-to-quality in the stock–bond return relation: a regime-switching copula approach","authors":"M. Tachibana","doi":"10.1007/s11408-020-00361-5","DOIUrl":"https://doi.org/10.1007/s11408-020-00361-5","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":"25 1","pages":"429 - 470"},"PeriodicalIF":1.9,"publicationDate":"2020-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75469174","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}
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