Search Results - "Äijö, Janne"

A common component of Fama and French factor variances by Fathi, Masoumeh, Grobys, Klaus, Äijö, Janne

“…•Realized Fama-French factor variances (RVs) exhibit strong power-law behavior from 1926 to 2022.•Striking commonality is that RVs show power-law exponents…”
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Is smart beta investing profitable? evidence from the Nordic stock market by Silvasti, Veikkopekka, Grobys, Klaus, Äijö, Janne

“…This study examines the profitability of the mixing and integrating approach for constructing multi-factor smart beta portfolios. While most studies explore…”
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Risk-managed industry momentum and momentum crashes by Grobys, Klaus, Ruotsalainen, Joni, Äijö, Janne

“…This paper investigates Barroso and Santa-Clara's [J. Financ. Econ., 2008, 116, 111-120] risk-managed momentum strategy in an industry momentum setting. We…”
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Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets by Dimic, Nebojsa, Kiviaho, Jarno, Piljak, Vanja, Äijö, Janne

“…This paper examines the impact of global financial market uncertainty and domestic macroeconomic factors on stock–bond correlation in emerging markets. In…”
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Does the F-score improve the performance of different value investment strategies in Europe? by Tikkanen, Jarno, Äijö, Janne

“…This study examines whether the performance of different value investment strategies can be improved with Piotroski’s (J Account Res 38:1–41, 2000 ) F-score…”
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Investor sentiment, soccer games and stock returns by Dimic, Nebojsa, Neudl, Manfred, Orlov, Vitaly, Äijö, Janne

“…This study investigates the nature of stock price reactions of publicly-traded soccer clubs following league matches. Consolidating data on soccer games and…”
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Frequency volatility connectedness across different industries in China by Jiang, Junhua, Piljak, Vanja, Tiwari, Aviral Kumar, Äijö, Janne

“…•Network graphs highlight the industry connectedness at different frequencies over various time periods.•The main targets of risks in China are Banking and…”
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The Fed's policy decisions and implied volatility by Vahamaa, Sami, Aijo, Janne

“…This study examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The results show that stock market uncertainty…”
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Equity volatility connectedness across China's real estate firms and financial institutions by Jiang, Junhua, Äijö, Janne

“…The study investigates the dynamic equity volatility connectedness across the major real estate firms, banks, and other financial institutions in China. Based…”
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Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices by Äijö, Janne

“…This study presents new evidence on stock market integration by investigating the implied volatility term structure linkages between the newly introduced VDAX,…”
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Baltic stock markets and the financial crisis of 2008–2009 by Nikkinen, Jussi, Piljak, Vanja, Äijö, Janne

“…► We examine stock market integration of the Baltic markets. ► Baltic stock markets were segmented before the financial crisis of 2008–2009. ► Baltic stock…”
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Benefits of wavelet-based carry trade diversification by Orlov, Vitaly, Äijö, Janne

“…•Carry trade excess returns are observed on five investigated investment horizons.•Wavelet correlation analysis reveals the temporal structure of the…”
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Return-Implied Volatility Dynamics of High and Low Yielding Currencies by Kaurijoki, Miikka, Nikkinen, Jussi, Äijö, Janne

“…This study investigates the return‐implied volatility dynamics of six most actively traded currencies before and during the financial crisis using quantile…”
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Cross-sectional anomalies and volatility risk in different economic and market cycles by Peltomaki, Jarkko, Aijo, Janne

“…•Cross-sectional anomalies exposures to volatility risk depend on economic and market cycles.•Value premium had a negative exposure to volatility risk during…”
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Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets by Kotkatvuori-Örnberg, Juha, Nikkinen, Jussi, Äijö, Janne

“…Using data from 50 equity markets we examine conditional and unconditional correlations around two major banking events during the financial crisis of 2008–09…”
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Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options by Äijö, Janne

“…This study investigates the effect of scheduled US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 option prices. The…”
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Global stock market reactions to scheduled U.S. macroeconomic news announcements by Nikkinen, Jussi, Omran, Mohammed, Sahlström, Petri, Äijö, Janne

“…This study investigates how global stock markets are integrated with respect to the U.S. macroeconomic news announcements. Although both investors on U.S. and…”
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Turn-of-the-month and intramonth effects: Explanation from the important macroeconomic news announcements by Nikkinen, Jussi, Sahlström, Petri, Äijö, Janne

“…This study provides a new and economically plausible explanation for turn‐of‐the‐month and intramonth anomalies. It is suggested that these anomalies arise…”
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Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets by Nikkinen, Jussi, Omran, Mohammad M., Sahlström, Petri, Äijö, Janne

“…September 11 attacks matter, and why not? Given that globalization has integrated financial markets, the magnitudes of the effect of the September 11 attacks…”
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Turn-of-the-month and intramonth effects in government bond markets: Is there a role for macroeconomic news? by Jalonen, Einari, Vähämaa, Sami, Äijö, Janne

“…This paper focuses on the turn-of-the-month (TOM) and intramonth anomalies in government bond returns. In particular, we examine whether the TOM and intramonth…”
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