References of "Journal of Financial and Quantitative Analysis"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailHeterogeneity of Beliefs and Trade in Experimental Asset Markets
Neugebauer, Tibor UL; Carlé, Tim A.; Lahav, Yaron et al

in Journal of Financial and Quantitative Analysis (2019), 54

Detailed reference viewed: 36 (0 UL)
Full Text
Peer Reviewed
See detailInvestor Sentiment and Employment
Montone, Maurizio UL; Zwinkels, Remco

in Journal of Financial and Quantitative Analysis (2019)

We develop a multi-country model with moral hazard and noise traders, and show that investor sentiment should affect employment growth both domestically and abroad. Using a large sample of international ... [more ▼]

We develop a multi-country model with moral hazard and noise traders, and show that investor sentiment should affect employment growth both domestically and abroad. Using a large sample of international industry-level data, we find strong support for the model's predictions. We show that US investor sentiment has a positive association with labor market conditions around the world, due to spillover effects as well as foreign direct investments from the US. We also find that US sentiment amplifies the negative effect of local financial crises on job losses, which supports the idea that financial development has a "dark side". [less ▲]

Detailed reference viewed: 54 (3 UL)
Full Text
Peer Reviewed
See detailContingent Capital: The Case of COERCs
Wolff, Christian UL; Vermaelen, Theo UL; Pennacchi, George

in Journal of Financial and Quantitative Analysis (2014)

Detailed reference viewed: 24 (5 UL)
Full Text
Peer Reviewed
See detailImproving Portfolio Selection Using Option-Implied Volatility and Skewness
DeMiguel, Victor; Plyakha, Yuliya UL; Uppal, Raman et al

in Journal of Financial and Quantitative Analysis (2013), 48(06), 1813-1845

Our objective in this paper is to examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects ... [more ▼]

Our objective in this paper is to examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful to improve their out-of-sample performance. Portfolio performance is measured in terms of volatility, Sharpe ratio, and turnover. Our empirical evidence shows that using option-implied volatility helps to reduce portfolio volatility. Using option-implied correlation does not improve any of the metrics. Using option-implied volatility, risk premium, and skewness to adjust expected returns leads to a substantial improvement in the Sharpe ratio, even after prohibiting short sales and accounting for transaction costs. [less ▲]

Detailed reference viewed: 129 (3 UL)
Full Text
Peer Reviewed
See detailCorporate Governance, Finance, and the Real Sector
Suominen, Matti UL; Fulghieri, Paolo

in JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2013), 47

Detailed reference viewed: 53 (4 UL)