Factor momentum, option-implied volatility scaling, and investor sentiment
Year of publication: |
2022
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Authors: | Grobys, Klaus ; Kolari, James W. ; Rutanen, Jere |
Published in: |
The journal of asset management : a major new, international quarterly journal for the financial community. - London [u.a.] : Henry Stewart Publ., ISSN 1479-179X, ZDB-ID 2039445-7. - Vol. 23.2022, 2, p. 138-155
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Subject: | Asset pricing | Factor momentum | Investor sentiment | Option-implied volatility scaling | VIX | Volatilität | Volatility | Anlageverhalten | Behavioural finance | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Skalenertrag | Returns to scale | Kapitalmarktrendite | Capital market returns |
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