Hubert Dichtl

dichtl research & consulting GmbH

Managing Director

Am Bahnhof 7

65812 Bad Soden am Taunus

Germany

http://www.dichtl-rc.de

SCHOLARLY PAPERS

13

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3,802

CITATIONS
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Top 28,444

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14

Scholarly Papers (13)

1.

Testing Rebalancing Strategies for Stock-Bond Portfolios Across Different Asset Allocations

Number of pages: 24 Posted: 13 Aug 2014
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, Hamburg University and University of Hamburg
Downloads 522 (51,725)
Citation 5

Abstract:

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rebalancing, stock-bond portfolio, bootstrap, statistical inference

2.

Testing Rebalancing Strategies for Stock-Bond Portfolios: Where Is the Value Added of Rebalancing?

Midwest Finance Association 2012 Annual Meetings Paper , 2012 European Financial Management Symposium on Asset Management , 2012 K├Âlner Finanzmarktkolloquium on Asset Management
Number of pages: 27 Posted: 15 Sep 2011 Last Revised: 11 Aug 2015
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, Hamburg University and University of Hamburg
Downloads 417 (68,253)
Citation 2

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rebalancing, bootstrap, performance measurement, statistical inference, stock-bond portfolio

3.

Sell in May and Go Away: Still Good Advice for Investors?

Number of pages: 38 Posted: 21 May 2014
Hubert Dichtl and Wolfgang Drobetz
dichtl research & consulting GmbH and Hamburg University
Downloads 403 (71,187)
Citation 1

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Sell in May, Halloween effect, bootstrap simulation, statistical inference, investment strategy

4.

Optimal Timing and Tilting of Equity Factors

Number of pages: 40 Posted: 15 Dec 2018 Last Revised: 11 Apr 2019
dichtl research & consulting GmbH, Hamburg University, Invesco, Invesco and Allianz Global Investors
Downloads 388 (74,375)
Citation 3

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Asset allocation, factor investing, factor timing, factor tilting, parametric portfolio policy

5.

Investing in Gold - Market Timing or Buy-and-Hold?

Number of pages: 33 Posted: 17 Jul 2018 Last Revised: 15 Nov 2018
University of Western Australia - Business School, dichtl research & consulting GmbH, Hamburg University and University of Hamburg
Downloads 342 (86,138)

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gold; market efficiency; investment strategies; monthly seasonalities; fundamental factors; technical indicators; superior predictive ability test

6.

Data Snooping in Equity Premium Prediction

Number of pages: 47 Posted: 22 May 2017 Last Revised: 20 Jan 2019
dichtl research & consulting GmbH, Hamburg University, University of Notre Dame - Department of Finance and University of Hamburg
Downloads 334 (88,417)
Citation 2

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Equity risk premium prediction, data snooping bias

7.

A Bootstrap-Based Comparison of Portfolio Insurance Strategies

Number of pages: 53 Posted: 06 Oct 2013 Last Revised: 14 Jun 2014
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, Hamburg University and University of Hamburg
Downloads 304 (98,057)
Citation 2

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Portfolio insurance strategies, Omega ratio, bootstrap simulation, Monte Carlo simulation

8.

Timing the Stock Market: Does it Really Make No Sense?

Number of pages: 47 Posted: 29 Jul 2013 Last Revised: 11 Aug 2015
dichtl research & consulting GmbH, Hamburg University and Concordia University, Quebec - John Molson School of Business
Downloads 259 (116,294)

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Market timing, expected utility theory, regret theory, anticipated utility theory, cumulative prospect theory, bootstrap simulation

9.

Where is the Value Added of Rebalancing? A Systematic Comparison of Alternative Rebalancing Strategies

Number of pages: 40 Posted: 01 Sep 2012 Last Revised: 11 Aug 2015
Hubert Dichtl, Wolfgang Drobetz and Martin Wambach
dichtl research & consulting GmbH, Hamburg University and University of Hamburg
Downloads 241 (125,701)
Citation 3

Abstract:

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optimal rebalancing, stock-bond portfolio, bootstrap, statistical inference

10.

Are Stock Markets Really so Inefficient? The Case of the 'Halloween Indicator'

Finance Research Letters, Forthcoming
Number of pages: 17 Posted: 11 Aug 2013 Last Revised: 12 Dec 2013
Hubert Dichtl and Wolfgang Drobetz
dichtl research & consulting GmbH and Hamburg University
Downloads 221 (136,323)
Citation 1

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Sell in May, stock market anomaly, bootstrap simulation, statistical inference

11.

Active Factor Completion Strategies

Number of pages: 37 Posted: 16 Apr 2019 Last Revised: 25 May 2019
dichtl research & consulting GmbH, Hamburg University, Invesco and Invesco
Downloads 179 (165,811)

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Diversification, Risk Parity, Factor Completion, Multi-Asset Multi-Factor Investing

12.

Factor-Based Allocation: Is There a Superior Strategy?

Number of pages: 49 Posted: 24 Apr 2019
dichtl research & consulting GmbH, Hamburg University and University of Hamburg
Downloads 170 (173,561)

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factor-based allocation, multiple testing

13.

Forecasting Excess Returns of the Gold Market: Can We Learn from Stock Market Predictions?

Number of pages: 63 Posted: 05 Aug 2017
Hubert Dichtl
dichtl research & consulting GmbH
Downloads 22 (503,271)

Abstract:

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Gold Excess Return Prediction, Fundamental Factors, Technical Factors, Diffusion Indices, Predictive Regression Models, Restrictions, Business Cycles