Glogger S.’s scientific contributions

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Publications (1)

Bearing the Bear: Sentiment-based Disagreement in Multi-criteria Portfolio Optimization
  • Article

April 2019

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23 Reads

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2 Citations

Finance Research Letters

Glogger S.

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Heiden S.

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Schneller D.

Employing a nonlinear multi-criteria optimization approach, sentiment-based disagreement is incorporated into portfolio optimization as additional risk factor. A multi-criteria trading strategy outperforms several benchmarks regarding various performance measures. Applying the strategy over a long time period including downturns and upswings, disagreement proves itself especially valuable in bear markets as it is an indicator for future volatility.

Citations (1)

... weather effects on stock returns. Subsequent studies have supported the notion that weather, disasters, lunar phases, cloudiness, temperature, wind, etc. affect stock returns (see, for example, Hirshleifer, 2001;Hirshleifer, and Shumway, 2003;Cao and Wei, 2005;Yuan, Zheng, and Zhu, 2006;Kaplanski, and Levy, 2010;Dehaan, Madsen, and Piotroski, 2017;You, Guo, and Peng, 2017;Xu, and Zhou, 2018;Glogger et al., 2019;Erdemlioglu, and Joliet, 2019;Gao et al., in press). ...

Reference:

By the Light of Day: The Effect of the Switch to Winter Time on Stock Markets
Bearing the Bear: Sentiment-based Disagreement in Multi-criteria Portfolio Optimization
  • Citing Article

  • April 2019

Finance Research Letters

Glogger S.

·

Heiden S.

·

Schneller D.