Cross-sectional factor dynamics and momentum returns
Doron Avramov, Satadru Hore
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Avramov, Doron ; Hore, Satadru |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 32.2017, p. 69-96
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| Subject: | Momentum | Cross-Sectional dynamics | Long-run risk | Bayesian filtering | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Momentenmethode | Method of moments | Theorie | Theory | CAPM | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2017.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011814969