Momentum and the cross-section of stock volatility
Minyou Fan, Fearghal Kearney, Youwei Li, Jiadong Liu
| Year of publication: |
2022
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|---|---|
| Authors: | Fan, Minyou ; Kearney, Fearghal ; Li, Youwei ; Liu, Jiadong |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 144.2022, p. 1-30
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| Subject: | Cross-sectional momentum | Excess volatility | Generalised risk-adjusted momentum | Momentum crashes | Volatility timing | Volatilität | Volatility | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Schätzung | Estimation | Aktienmarkt | Stock market | Börsenkurs | Share price | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2022.104524 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013543109