OSUVA - Selaus tekijän "Äijö, Janne" mukaan
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A common component of Fama and French factor variances
(Elsevier, 24.09.2024)
articleThis is the first study that explicitly explores the risk of the Fama and French equity factors in terms of their realized variances. Our results show that realized factor variances exhibit strong power-law behavior. A ... -
Bond-equity yield ratio investing in Emerging markets
(SAGE Publications, 28.03.2019)
articlehis article investigates the market timing ability of the bond–equity yield ratio (BEYR) from an international investor perspective. Consolidating data on emerging markets, we document no major international evidence that ... -
Does the F-score improve the performance of different value investment strategies in Europe?
(Palgrave Macmillan, 26.11.2018)
articleThis study examines whether the performance of 8 different value investment strategies can be improved with 9 Piotroski’s (J Account Res 38:1–41, 2000) F-score screening method for the European stock markets. Our aim is ... -
Essays on macroeconomic news announcements and option-implied information
(Vaasan yliopisto, 2007)
Monografiaväitöskirja -
Frequency volatility connectedness across different industries in China
(Elsevier, 24.11.2019)
articleUtilizing the advantageous method of Barunik and Krehlik (2018), we examine the frequency connectedness of equity volatilities across 12 industries in China from October 2003 to April 2018. The results indicate that the ... -
Is smart beta investing profitable? evidence from the Nordic stock market
(Routledge, Taylor & Francis Group, 10.12.2020)
articleThis study examines the profitability of the mixing and integrating approach for constructing multi-factor smart beta portfolios. While most studies explore this issue in a U.S. market setting, this is the first study that ... -
Magic formula vs. traditional value investment strategies in the Finnish stock market
(Association of Business Schools Finland, 02.12.2016)
articleFor the first time in a smaller market setting, we compare the performance of the magic formula pro-posed by Greenblatt (2006) against the most commonly used value investment strategies. We also test whether the cash ...
