منابع مشابه
Currency Equivalent Currency
specialist microfinance institutions (MFIs). The Central Bank of Sri Lanka (CBSL) has traditionally pursued an active "developmental" role in the microfinance sector, although this has been changing. It should further reduce its developmental activities by diluting its ownership of regional development banks and taking a less hands-on role in project implementation. Conversely, it would be appr...
متن کاملDevelopment and Calibration of Currency Market Strategies by Global Optimization
We have developed a new financial indicator – called the Interest Rate Differential Adjusted for Volatility (IRDAV) measure – to assist investors in currency markets. On a monthly basis, we rank currency pairs according to this measure and generate a basket of pairs with the highest IRDAV values. Under positive market conditions, an IRDAV based investment strategy (buying a currency with high i...
متن کاملPortfolio Momentum Strategies and Financial Databases: An investigation of Intra-day Pattern in Price Momentum
How do different databases define a firm? What are the rules for listing/de-listing firms across databases? In this paper we show that the listing/de-listing criteria across the CRSP and TAQ databases are different enough to impact the magnitude and direction of statistical profits of “momentum” portfolios. We show that while standard momentum returns established in the literature can be replic...
متن کاملMomentum effect on the Russian stock market. Whether emerging markets are not profitable for Momentum Strategies
Our study examines whether price momentum strategy (cross section momentum effect on longshort portfolios) can be profitable on Russian stock market. We testing the statistical significance of zero cost portfolio excess returns. Our sample covers the period from 2004 to 2013 capturing different states of Russian economy. We implement relative strength strategy with 10% quantile to construct equ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1773543