Does momentum trading generate extra downside risk?
Year of publication: |
2022
|
---|---|
Authors: | Dobrynskaja, V. V. |
Published in: |
The Quarterly Journal of Finance : QJF. - Singapore : World Scientific Publ., ISSN 2010-1406, ZDB-ID 2600942-0. - Vol. 12.2022, 2, Art.-No. 2250001, p. 1-32
|
Subject: | downside beta | downside risk | downside-risk CAPM | momentum crashes | Momentum premium | upside beta | upside risk | CAPM | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Betafaktor | Beta risk | Risiko | Risk | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Risikoprämie | Risk premium | Aktienmarkt | Stock market | Momentenmethode | Method of moments |
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