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Art as investment
(2022-05)
This paper applies the Fama-French three-factors model, augmented with Momentum and Liquidity factors, to analyze Art as an Investment. It also compares investing in Art to several other traditional and non-traditional ...
Portfolio performance under tracking error and benchmark volatility constraints
(Universidad ESAN. ESAN EdicionesPE, 2021-06-30)
Purpose. Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in ...
Liquidity Constraint for Portfolio Selection ModelsRestrição de Liquidez para Modelos de Seleção de Carteiras
(Lociedade Brasileira de Finanças, 2015)
Prêmio de liquidez de ações brasileiras
(2020-05-27)
O estudo investiga a relação entre liquidez e retorno das ações no mercado brasileiro. A hipótese central é que ativos ilíquidos apresentam retornos maiores que os líquidos. Utilizando os índices de negociabilidade (IN) ...
Missing details and conspicuous absences: from the Treatise to the General Theory
(M E Sharpe IncArmonkEUA, 2008)
Insider trading, investment, and liquidity: a welfare analysis
(Escola de Pós-Graduação em Economia da FGV, 1999-08-17)
We compare competitive equilibrium outcomes with and without trading by a privately infonned 'monopolistic' insider, in a model with real investment portfolio choices ex ante, and noise trading generated by aggregate ...