Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?
Subrata Kumar Mitra, Jaslene Bawa, M. Kannadhasan, Vinay Goyal, Manojit Chattopadhyay
| Year of publication: |
February 2017
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|---|---|
| Authors: | Mitra, Subrata Kumar ; Bawa, Jaslene Kaur ; Kannadhasan, M. ; Goyal, Vinay ; Chattopadhyay, Manojit |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 20.2017, p. 269-273
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| Subject: | Anomaly | Range to standard deviation ratio | Momentum trading strategy | Returns persistence | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Börsenkurs | Share price | Momentenmethode | Method of moments | Rentabilität | Profitability | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.10.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011806945