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    <title>EconStor Collection:</title>
    <link>https://hdl.handle.net/10419/49019</link>
    <description />
    <pubDate>Thu, 30 Apr 2026 10:30:45 GMT</pubDate>
    <dc:date>2026-04-30T10:30:45Z</dc:date>
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      <title>The stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock market</title>
      <link>https://hdl.handle.net/10419/49036</link>
      <description>Title: The stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock market
Authors: Grobys, Klaus
Abstract: Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios' out-of-sample performance. The empirical study here takes into account the Danish stock market from 2000-2010 and gives evidence that stock portfolios including small companies' stocks being estimated via cointegration optimization methods are most beneficial. Only the stock portfolios exhibiting the lowest initial market capitalization corresponding to 29.51% showed a Sharpe ratio of 0.4545 and 0.4824, respectively, being higher than the stock market's Sharpe ratio of 0.4451 concerning the out-of-sample period running from 2003-2010.</description>
      <pubDate>Sat, 01 Jan 2011 00:00:00 GMT</pubDate>
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      <dc:date>2011-01-01T00:00:00Z</dc:date>
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    <item>
      <title>The amendment and empirical test of arbitrage pricing models</title>
      <link>https://hdl.handle.net/10419/49031</link>
      <description>Title: The amendment and empirical test of arbitrage pricing models
Authors: Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; Zhao, Peibiao
Abstract: The classical APT model is of the form rj − E(rj) = Øj (I − EI ) +ε , where rj − E(rj) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model as follows rj = E(rj ) + Øj (I − EI ) +θj (I − EI )2 +λj (I − EI )3 +δj (I − EI )4 +ε Based on the regression analysis method, and the fitting degree, one can arrive at this re-modified model has a more reasonable explanation level for securities pricing.</description>
      <pubDate>Sat, 01 Jan 2011 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/49031</guid>
      <dc:date>2011-01-01T00:00:00Z</dc:date>
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    <item>
      <title>Market timing and statistical arbitrage: Which market timing opportunities arise from equity price busts coinciding with recessions? The Swedish stock market in the financial crises 2008</title>
      <link>https://hdl.handle.net/10419/49033</link>
      <description>Title: Market timing and statistical arbitrage: Which market timing opportunities arise from equity price busts coinciding with recessions? The Swedish stock market in the financial crises 2008
Authors: Grobys, Klaus
Abstract: Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being associated with recessions continue until the economy switches from the state of recession to an economic pick-up. The following contribution takes into account the Swedish stock index OMX 30 and 25 preselected stocks. The out-of-sample period runs from September 12, 2008 - March 12, 2009, whereas on September 11, 2008 the official press release was issued that European economies face a recession. This study suggests a market timing opportunity resulting in a maximum statistical arbitrage opportunity corresponding to a profit of 19% p.a. with an empirical probability of 50.14%. The optimal defensive strategies, however, exhibit excess returns of 15.12% p.a. above the benchmark with a marginal lower volatility as the benchmark, respectively, 28.08% p.a. with 7.99 percent units higher volatility as the benchmark.</description>
      <pubDate>Sat, 01 Jan 2011 00:00:00 GMT</pubDate>
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      <dc:date>2011-01-01T00:00:00Z</dc:date>
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    <item>
      <title>Determining the probability of default of agricultural loans in a French bank</title>
      <link>https://hdl.handle.net/10419/49038</link>
      <description>Title: Determining the probability of default of agricultural loans in a French bank
Authors: Jouault, Amelie; Featherstone, Allen M.
Abstract: Recently, financial institutions have developed improved internal risk rating systems and emphasized the probability of default and loss given default. The default characteristics are studied for 756 loans from a French bank: CIC- Banque SNVB. A binomial logit regression is used to estimate several models of the probability of default of agribusiness loans based on information available at loan origination. The results show that leverage, profitability and liquidity at loan origination are statistically significant indicators of the probability of default. As leverage increases, profitability decreases, or liquidity decreases, the probability of default increases. As the length of loan increases, the probability of default also increases. Finally, it is more accurate to develop a model for each type of collateral (activity). By developing more quantitative credit scoring models, banks may benefit from lower capital requirements while borrowers may see better rates where the risk of loans is appropriately priced.</description>
      <pubDate>Sat, 01 Jan 2011 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/49038</guid>
      <dc:date>2011-01-01T00:00:00Z</dc:date>
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