Search for Articles:
Title / Keyword
Author / Affiliation / Email
Journal
Article Type
 
 
Advanced Search
 
Section
Special Issue
Volume
Issue
Number
Page
 
4.5
Journals
JRFM
Special Issues
Empirical Research on Asset Pricing and Portfolio Selection
share announcement

Empirical Research on Asset Pricing and Portfolio Selection

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Mathematics and Finance".

Deadline for manuscript submissions: 31 March 2025 | Viewed by 3670

Special Issue Editor

Prof. Dr. Mika Vaihekoski

E-Mail Website
Guest Editor
Department of Accounting and Finance, Turku School of Economics, University of Turku, FI-20014 Turun yliopisto, Finland
Interests: asset pricing; portfolio management; financial econometrics; financial history

Special Issue Information

Dear Colleagues,

This Special Issue focuses on empirical research on the broad topic of “Empirical Research on Asset Pricing and Portfolio Selection”. Empirical studies testing different (unconditional or conditional) asset pricing models for equity premia, stocks, and other financial instruments are particularly welcomed. Empirical studies on different (novel) portfolio choice strategies are equally welcomed. Contributions analyzing recent changes (e.g., global health, climate, and political risks or demand for sustainability) and their impact on asset pricing and portfolio choice are also central to this Issue. The long-term analysis of different investment strategies and/or asset classes and their performance/risk profile is also encouraged.

If you have any questions, please do not hesitate to contact me at: [email protected]. I look forward to receiving your submissions.

Prof. Dr. Mika Vaihekoski
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • (tests of) asset pricing models
  • priced risk factors and risk analysis
  • portfolio choice and investment strategies
  • equity premia
  • long-term investing

Benefits of Publishing in a Special Issue

  • Ease of navigation: Grouping papers by topic helps scholars navigate broad scope journals more efficiently.
  • Greater discoverability: Special Issues support the reach and impact of scientific research. Articles in Special Issues are more discoverable and cited more frequently.
  • Expansion of research network: Special Issues facilitate connections among authors, fostering scientific collaborations.
  • External promotion: Articles in Special Issues are often promoted through the journal's social media, increasing their visibility.
  • e-Book format: Special Issues with more than 10 articles can be published as dedicated e-books, ensuring wide and rapid dissemination.

Further information on MDPI's Special Issue polices can be found here.

Published Papers (3 papers)

Download All Papers
Order results
Result details
Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:

Research

15 pages, 311 KiB  
Article
The Performance of Hedge Funds: Are There Differences in Terms of Gender?
by Francesc Naya and Nils S. Tuchschmid
J. Risk Financial Manag. 2024, 17(11), 499; https://doi.org/10.3390/jrfm17110499 - 7 Nov 2024
Viewed by 422
Abstract
The hedge fund (HF) industry is known to be one of the most unequal professional fields when it comes to gender. This study quantifies and confirms this severe gender gap, which appears to be persistent or even widening in recent years. We assess [...] Read more.
The hedge fund (HF) industry is known to be one of the most unequal professional fields when it comes to gender. This study quantifies and confirms this severe gender gap, which appears to be persistent or even widening in recent years. We assess whether performance and risk differences explain this gap by comparing samples of woman-managed HFs vs. man-managed HFs. Through analyzing their descriptive statistics first, examining their alphas using HF benchmark indices and a pricing model and, finally, comparing differences in wealth generation, we found no evidence of performance differences that could explain such an extreme gender gap. Furthermore, our results do not support the view that women are more risk-averse than men, or that this is translated into their investment decisions. Other sociocultural factors probably partly explain the existence and persistence of this gender gap in hedge funds. Full article
(This article belongs to the Special Issue Empirical Research on Asset Pricing and Portfolio Selection)
33 pages, 579 KiB  
Article
Are Regulatory Short Sale Data a Profitable Predictor of UK Stock Returns?
by Michael Ashby
J. Risk Financial Manag. 2024, 17(8), 320; https://doi.org/10.3390/jrfm17080320 - 25 Jul 2024
Viewed by 661
Abstract
Regulator-required public disclosures of net short positions do not provide a profitable investment signal for UK stocks across a variety of portfolio formation methodologies. While long-short (zero initial outlay) portfolios based on this signal usually make a profit on average, it is rarely [...] Read more.
Regulator-required public disclosures of net short positions do not provide a profitable investment signal for UK stocks across a variety of portfolio formation methodologies. While long-short (zero initial outlay) portfolios based on this signal usually make a profit on average, it is rarely statistically significant in either gross or risk-adjusted terms. The issue is that the short sides of the portfolios make substantial losses. Unit initial outlay portfolios based on the disclosures do not generally significantly outperform the market, either. Where they do significantly outperform the market, this outperformance is economically modest. Full article
(This article belongs to the Special Issue Empirical Research on Asset Pricing and Portfolio Selection)
►▼ Show Figures

Figure 1

14 pages, 358 KiB  
Article
Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981
by Mika Vaihekoski
J. Risk Financial Manag. 2024, 17(3), 90; https://doi.org/10.3390/jrfm17030090 - 20 Feb 2024
Viewed by 1454
Abstract
Stock market indices play a central role in portfolio and risk management and performance evaluation, as well as academic research. This paper presents a fully updated and extended stock market index for the Finnish stock market using new and updated historical databases that [...] Read more.
Stock market indices play a central role in portfolio and risk management and performance evaluation, as well as academic research. This paper presents a fully updated and extended stock market index for the Finnish stock market using new and updated historical databases that cover the period from the establishment of the Helsinki Stock Exchange in October 1912 to the end of 1981. In addition to the all-share market index, four industry indices are presented for the first time. The observed geometric mean market return is 1.034 percent per month (13.14% p.a.). Of the industry indices, the banking sector performed the worst as it was found to have clearly lagged behind in the market, whereas the paper and forest and the metal and manufacturing industries performed the best during the sample period. The results also highlight the importance of taking into account corporate capital actions—which are, historically, often the hardest information to obtain—as they can have a material effect on the index performance. Full article
(This article belongs to the Special Issue Empirical Research on Asset Pricing and Portfolio Selection)
►▼ Show Figures

Figure 1

Show export options expand_more Show export options expand_less
Select all
Export citation of selected articles as:
 
Displaying articles 1-3
Back to TopTop