Search Results - "Lajbcygier, Paul"

Nonlinear hedge fund index clones? by Walden, Mikhail, Lajbcygier, Paul

“…Cloning hedge fund indexes circumvents the many challenges associated with direct hedge fund investment. Theoretically, hedge fund indexes could have nonlinear…”
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Factor Replication with Industry Stratification by Bharjana, Surpreet, Fletcher, Rohan, Lajbcygier, Paul

“…Factor investing exploits asset pricing anomalies to enhance fund returns. Unlike traditional market capitalization indexes, factors have onerous replication…”
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Virtue Remains After Removing Sin: Finding Skill Amongst Socially Responsible Investment Managers by Ooi, Elizabeth, Lajbcygier, Paul

“…We examine the investment skill of socially responsible investment (SRI) fund managers. Prior studies use the 'alpha' from standard asset pricing models as a…”
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Financial education via television comedy by Crawford, Andrew, Lajbcygier, Paul, Maitra, Pushkar

“…We show that television may be able to deliver rudimentary financial literacy in a cost-effective manner. In a controlled experiment, Cambodian garment factory…”
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The effects of trade size and market depth on immediate price impact in a limit order book market by Pham, Manh Cuong, Anderson, Heather Margot, Duong, Huu Nhan, Lajbcygier, Paul

“…We compare trade size to the prevailing market depth at the best level in the limit order book to detect and account for zero impact trades in an immediate…”
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The viability of alternative indexation when including all costs by Lajbcygier, Paul, Sojka, Jeremy

“…We ascertain the performance and viability of alternative indexation after including all relevant costs. Onerous costs, associated with forgoing the automatic…”
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Is Fundamental Indexation able to time the market? Evidence from the Dow Jones Industrial Average and the Russell 1000 by Chen, Doris, Dempsey, Michael, Lajbcygier, Paul

“…•In theory, Fundamental Indexation should possess market timing ability.•We examine Fundamental Indexation market timing over 50 years.•Limited evidence of…”
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A Comparison of the Forecasting Ability of Immediate Price Impact Models by Pham, Manh Cuong, Duong, Huu Nhan, Lajbcygier, Paul

“…As a consequence of recent technological advances and the proliferation of algorithmic and high‐frequency trading, the cost of trading in financial markets has…”
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The information content of special orders by Duong, Huu Nhan, Lajbcygier, Paul, Vu, Van Hoang

“…We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders,…”
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The effect of anonymity on price efficiency: Evidence from the removal of broker identities by Duong, Huu Nhan, Lajbcygier, Paul, Lu, Jerry Shuai, Vu, Van Hoang

“…We show that broker identities are important for price formation. We use the removal of broker identities by the ASX on November 28th 2005 as a natural…”
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Factors affecting the birth and fund flows of CTAs by Do, Viet, Faff, Robert, Lajbcygier, Paul, Veeraraghavan, Madhu, Tupitsyn, Mikhail

“…Our paper investigates the timing of the inception of commodity trading advisors and the relationship between their fund flows and performance. Our results…”
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Imputation Credits and Equity Returns by LAJBCYGIER, PAUL, WHEATLEY, SIMON M.

“…The provision of imputation tax credits can in principle lower the returns that investors require on equity. Whether in practice imputation credits lower the…”
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Improving option pricing with the product constrained hybrid neural network by Lajbcygier, P.

“…In the past decade, many studies across various financial markets have shown conventional option pricing models to be inaccurate. To improve their accuracy,…”
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A MODEL OF FUND GROWTH FOR MANAGED FUTURES: EVIDENCE OF MANAGERIAL SKILL by Lajbcygier, Paul

“…Fund size is an essential component of a funds overall value. In this work, we argue that growth in fund size results from managerial skill. To test this…”
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Estimating the cost of capital with basis assets by Brown, Stephen J., Lajbcygier, Paul, Wong, Woon Weng

“…► To estimate the cost of capital, risk-equivalent classes are required. ► Modigliani and Miller (1958) use industry groupings to form risk classes. ► Ross…”
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Going Negative: What to Do with Negative Book Equity Stocks by Brown, Stephen J, Lajbcygier, Paul, Li, Bob

“…A firm's book equity is a measure of the value held by a firm's ordinary shareholders. Increasingly, it is being reported as a negative number. Because a…”
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Using visual exploratory data analysis to find bias in option pricing models by Lajbcgier, P.

“…Options are amongst the most heavily transacted financial instruments in the world. This paper examines how the methods of visual exploratory tools, espoused…”
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Improved option pricing using artificial neural networks and bootstrap methods by Lajbcygier, P R, Connor, J T

“…A hybrid neural network is used to predict the difference between the conventional option-pricing model and observed intraday option prices for stock index…”
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