Momentum and crash sensitivity
Stefan Ruenzi, Florian Weigert
| Year of publication: |
April 2018
|
|---|---|
| Authors: | Ruenzi, Stefan ; Weigert, Florian |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 165.2018, p. 77-81
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| Subject: | Asset pricing | Copulas | Crash sensitivity | Momentum | Tail risk | Finanzkrise | Financial crisis | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Börsenkurs | Share price | Anlageverhalten | Behavioural finance | Risikomaß | Risk measure | Momentenmethode | Method of moments | CAPM | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2018.01.031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011973844