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Exploring asset pricing anomalies

Zhang, Lu - In: NBER reporter online (2014) 1, pp. 17-19

Persistent link: https://www.econbiz.de/10011368742

Cryptocurrencies and momentum

Grobys, Klaus; Sapkota, Niranjan - In: Economics letters 180 (2019), pp. 6-10

Persistent link: https://www.econbiz.de/10012121731

Another look at momentum crashes : momentum in the European Monetary Union

Grobys, Klaus - In: Applied economics 48 (2016) 19/21, pp. 1759-1766

Persistent link: https://www.econbiz.de/10011589714

A neoclassical interpretation of momentum

Xiaolei Lui, Laura; Zhang, Lu - In: Journal of monetary economics 67 (2014), pp. 109-128

Persistent link: https://www.econbiz.de/10010510918

Momentum crash, credit risk and optionality effects in bear markets and crisis periods : evidence from the US stock market

Grobys, Klaus - In: Applied economics letters 24 (2017) 4/6, pp. 387-391

Persistent link: https://www.econbiz.de/10011705358

Are momentum crashes pervasive regardless of strategy? : evidence from the foreign exchange market

Grobys, Klaus; Haga, Jesper - In: Applied economics letters 24 (2017) 20, pp. 1499-1503

Persistent link: https://www.econbiz.de/10011853099

Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk

Grobys, Klaus - In: Quantitative finance 18 (2018) 7, pp. 1233-1247

Persistent link: https://www.econbiz.de/10011911534

Momentum in global equity markets in times of troubles : does the economic state matter?

Grobys, Klaus - In: Economics letters 123 (2014) 1, pp. 100-103

Persistent link: https://www.econbiz.de/10010399032

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

Persistent link: https://www.econbiz.de/10012888297

Choosing factors : the international evidence

Grobys, Klaus; Kolari, James W. - In: Applied economics 54 (2022) 6, pp. 633-647

Persistent link: https://www.econbiz.de/10012874235