Portfolio selection is a major topic for investors to allocate their assets and maximize their profit under constrained risk. For uncertain investment behavior in a vagueness environment, some researchers have devoted themselves to this field of fuzz...
The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the d...
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global...
This paper analyzes the forecast performance of historical S&P500 and Dow Jones Industrial Average (DJIA) excess returns while using nonparametric functional data analysis (NP-FDA). The empirical results show that the NP-FDA forecasting strategy...
This study examines the impact of the flight-to-liquidity (FTL) phenomenon on the excess stock return by applying the previously developed generalised method of moments (GMM) framework. For this purpose, we use the data covering the period from 2004...
Based on the concept of high returns as the preference to low returns, this study discusses the adjustable security proportion for excess investment and shortage investment based on the selected guaranteed return rates in a fuzzy environment, in whic...
Fuzzy portfolio models have received many researchers’ focus on the issue of risk preferences. The portfolio based on guaranteed return rates has been developing and considering the dimension of excess investment for the investors in different...
Financial crises, such as the Great Financial Crisis of 2007–2009 and the COVID-19 Crisis of 2020–2021, lead to high volatility in financial markets and highlight the importance of the debate on the Efficient Markets Hypothesis, a corollary of which...
This paper evaluates an editorial and seven invaluable and interesting review papers for the Journal of Risk and Financial Management (JRFM). The topics covered include the rising complexity of bank regulatory capital requirements from global guideli...
Measures of corporate credit risk incorporate compensation for unpredictable future changes in the credit environment and compensation for expected default losses. Since the launch of purchases of government securities and corporate securities by the...
Salinity increase in groundwater was investigated in the area between Al-Zubair and Safwan, and close to the Khor Al-Zubair Channel of southern Iraq. Thirty-nine groundwater samples from the shallow aquifer and one sample from the Khor Al-Zubair Chan...
With the rapid development of financial research theory and artificial intelligence technology, quantitative investment has gradually entered people’s attention. Compared with traditional investment, the advantage of quantitative investment lie...
This study analyzed partner volatility (new, old, revocation partners) and country-specific signal effects (United States (US), Taiwan, Japan, and South Korea) for Apple iPhone parts suppliers from 2007 to 2018. Mid- to long-term stock price movement...
Financial liabilities, as an important part of the capital structure, are closely related to the value creation and scale of growth of a company. To test whether financial liabilities affect the “size effect” of company value, this paper...
Under constant selection, each trait has a fixed fitness, and small mutation rates allow populations to efficiently exploit the optimal trait. Therefore, it is reasonable to expect that mutation rates will evolve downwards. However, we find that this...
The study employs principal component analysis (PCA) to construct an investor attention index derived from seven key variables: abnormal trading volume, extreme returns, past returns, nearness to the 52-week high, nearness to the historical high, Goo...
To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study o...
Recent developments in dynamic portfolio optimization have focused on the role played by portfolio frictions. Portfolio frictions make the portfolio’s response to financial shocks weaker and more gradual than in a model without frictions. At th...
This paper explores the relationship between media coverage and stock returns using monthly data of news reports from major Chinese newspapers. We find that firms with higher media coverage in the current month have higher sustainable stock returns i...
This paper illustrates the impact of Environmental Social and Governance (ESG) disclosure on European corporate equity performance. In this study, we use an extensive data set of European ESG ratings provided by Bloomberg to demonstrate that ESG disc...
The popularity of SPACs (Special Purpose Acquisition Companies) has grown dramatically in recent years as a substitute for the traditional IPO (Initial Public Offer). We modeled the average annual return for SPAC investors and found that this financi...
Long-term return expectations or predictions play an important role in planning purposes and guidance of long-term investors. Five-year stock returns are less volatile around their geometric mean than returns of higher frequency, such as one-year ret...
We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) marke...
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess return...
In this paper, we infer that when no excess monetary liquidity exists, people tend to invest available capital in assets associated with a high return or low risk. However, when excess monetary liquidity occurs, capital may successively boost asset m...
Statistical modeling of hydrological extremes is significant to the construction of hydraulic engineering. This paper, taking the Yingluoxia watershed as the study area, compares the annual maximum (AM) series and the peaks over a threshold (POT) ser...
We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sector...
Timor-Leste is a new country still in the process of economic development and does not yet have a capital market for stock and bond investments. These two asset classes have been invested in international capital markets such as the US, the UK, Japan...
This study uses event study analysis to examine the impact of Super Bowl commercials on the stock prices of sponsoring firms by product type and the frequency of ad executions. By examining 272 Super Bowl advertisements from 142 firms that aired from...
The article presents an original and innovative technical solution for the exploitation of low-temperature excess heat from hot water boilers that use gas or liquid fuel for the needs of high-temperature heating in buildings or in industry. The prima...
The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashe...
In this paper, we let the data speak for itself about the existence of volatility feedback and the often debated risk–return relationship. We do this by modeling the contemporaneous relationship between market excess returns and log-realized va...
The Constant Leverage covering strategy for the equity momentum portfolio (CLvg) developed in this project cannot mask its shortcomings by increasing leverage. It has to successfully forecast and avoid more losses than profits to perform better than...
This paper presents an innovative derivation of intensity–duration–frequency (IDF) curves, which play a crucial role in the design of hydraulic infrastructures. IDF curves are herein derived from excess rainfall, that is, the net rainfall...
We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining th...
One can suspect that capital return rate in forestry can be maximized by growing trees experiencing a value-adding assortment transition. Such a situation may or may not endure. We investigate the financial feasibility of a few harvesting schedules f...
Understanding individual investors’ short-term behavior toward skewness is essential for the management and investment of corporate social responsibility because the skewness-seeking behavior of individual investors, which causes a bubble in th...
We investigate the risk–return trade-off on the US and European stock markets. We investigate the non-linear risk–return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market...
This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s interest rates and Baker–Wur...
Economic policy uncertainty has been identified as a new macroeconomic risk factor that harms the stock market’s profitability. This paper examines the impact of the Chinese EPU levels on one of the most famous financial anomalies—momentu...
This paper compares actively managed bond vs. equity mutual fund performance using modified False Discovery Rate (q∗) and percent simulated t(α) < Actual t(α). Bond funds are more likely to outperform than equity funds: q&lowast...
In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a r...
The fundamental interest of investors in econometric modeling for excess stock returns usually focuses either on short- or long-term predictions to individually reduce the investment risk. In this paper, we present a new and simple model that contemp...
This study explores the initial impact of COVID-19 sentiment on US stock market using big data. Using the Daily News Sentiment Index (DNSI) and Google Trends data on coronavirus-related searches, this study investigates the correlation between COVID-...
In this study, we examine the relevance of the coexistence of structural change and long memory to model and forecast the volatility of Tunisian stock returns and to deliver a more accurate measure of risk along the lines of VaR and expected shortfal...
The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide inve...
This paper examines the existence of the month-of-the-year effects in four different continents, namely Europe, Asia, America, and Oceania. Nine indexes were analyzed in order to verify differences between monthly returns from January 1990 to Decembe...
Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing mod...
Liquid often exists in the accumulator of the rotary compressor during the process of startup or defrost of air-conditioning systems. Too much liquid entering the compressor cylinder would result in excessive pressure caused by the liquid compression...
Fuzzy portfolio selection has resulted in many researchers to focus on this field. Based on the risk attitudes, this study discusses the risk attitudes in a decision group for portfolio selection. Therefore, we adopt the risk attitudes to describe th...
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