Beta estimation in the European network regulation context: what matters, what doesn't, and what is indispensable [0.03%]
欧洲网络监管环境下的贝塔估计：哪些重要，哪些不重要，以及哪些不可或缺
Dmitry Bazhutov,André Betzer,Richard Stehle
Dmitry Bazhutov
Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual...
Adlane Haffar,Éric Le Fur,Mohamed Khordj
Adlane Haffar
This article investigates the pandemic risk coverage within the European Union member states through insurance securitization. This strategy allows the transfer of health risks from the insurance market to the financial markets. We focus on...
Report of the Editor 2022 [0.03%]
2022年主编报告
Markus Schmid
Markus Schmid
Marcelo Lewin,Carlos Heitor Campani
Marcelo Lewin
We implement an allocation strategy through a regime-switching model using recursive utility preferences in an out-of-sample exercise accounting for transaction costs. We study portfolios turnover and leverage, proposing two procedures to c...
Will the reddit rebellion take you to the moon? Evidence from WallStreetBets [0.03%]
_wallstreetbets论坛的用户会带你“登月”吗？来自wallstreetbets的数据证据
Ryan G Chacon,Thibaut G Morillon,Ruixiang Wang
Ryan G Chacon
In early 2021, several stocks receiving attention from retail traders known as "meme stocks" soared in value. A primary source of information regarding these stocks is from the social media platform Reddit, specifically from a subreddit kno...
How online discussion board activity affects stock trading: the case of GameStop [0.03%]
在线讨论板活动如何影响股票交易——游戏驿站公司案例分析
André Betzer,Jan Philipp Harries
André Betzer
In January 2021, the stock price of NASDAQ-listed GameStop Corporation surged more than twenty-fold for no discernible economic reason. Many observers attributed this broadly covered rise to retail investors, organizing themselves in Reddit...
Report of the Editor 2021 [0.03%]
2021年主编报告
Markus Schmid
Markus Schmid
ICO investors [0.03%]
ICO投资人
Rüdiger Fahlenbrach,Marc Frattaroli
Rüdiger Fahlenbrach
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 prod...
Milot Hasaj,Bernd Scherer
Milot Hasaj
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-relate...
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach [0.03%]
不规则时间网格下的投资组合选择：一个ICA-COGARCH(1, 1)方法的例子
Francesco Bianchi,Lorenzo Mercuri,Edit Rroji
Francesco Bianchi
In this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the margi...