Style Consistency and Mutual Fund Returns: The Case of Russia
In: CESifo Working Paper No. 7605
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In: CESifo Working Paper No. 7605
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In: CESifo Working Paper No. 7612
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In: CESifo Working Paper No. 7917
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In: CESifo Working Paper Series No. 7011
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In: CESifo Working Paper Series No. 7167
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In: CESifo Working Paper Series No. 6861
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In: CESifo Working Paper Series No. 6716
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In: DIW Berlin Discussion Paper No. 1669
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In: Brunel University London, Department of Economics and Finance, Working Paper No. 17-19
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In: CESifo Working Paper Series No. 6494
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In: DIW Berlin Discussion Paper No. 1694
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In: Guglielmo Maria Caporale and Alex Plastun (2017). Calendar anomalies in the Ukrainian stock market. Investment Management and Financial Innovations (open-access), 14(1), 104-114. doi:10.21511/imfi.14(1).2017.11
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In: Russian Journal of Economics, Band 3, Heft 1, S. 101-108
This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency. Specifically, OLS, GARCH, EGARCH and TGARCH models are estimated using daily data for the MICEX market index over the period Sept. 1997-Apr. 2016. The empirical results show the importance of taking into account transactions costs (proxied by the bid-ask spreads): once these are incorporated into the analysis, calendar anomalies disappear, and therefore, there is no evidence of exploitable profit opportunities based on them that would be inconsistent with market efficiency.
In: CESifo Working Paper Series No. 5877
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In: CESifo Working Paper Series No. 5716
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