Similar Search Results

The analytics of momentum

Kwon, Oh Kang; Satchell, Stephen - In: The journal of asset management 20 (2019) 6, pp. 433-441

Persistent link: https://www.econbiz.de/10012125379

The distribution of cross sectional momentum returns

Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241

Persistent link: https://www.econbiz.de/10012004391

A critique of momentum strategies

Gao, Yang; Leung, Henry; Satchell, Stephen - In: The journal of asset management 19 (2018) 5, pp. 341-350

Persistent link: https://www.econbiz.de/10011942569

The distribution of cross sectional momentum returns when underlying asset returns are student’s t distributed

Kwon, Oh Kang; Satchell, Stephen - In: Journal of risk and financial management : JRFM 13 (2020) 2/27, pp. 1-19

In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the...

Persistent link: https://www.econbiz.de/10012173937

Global equity styles and industry effects : the pre-eminence of value relative to size

Kuo, Weiyu; Satchell, Stephen - In: Journal of international financial markets, … 11 (2001) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10001536895

The link between macro-economic factors and style returns

Zhang, Qi J.; Hopkins, Peter; Satchell, Stephen; … - In: The journal of asset management 10 (2009/10) 5, pp. 338-355

Persistent link: https://www.econbiz.de/10003916963

Modeling style rotation : switching and re-switching

Golosov, Edward; Satchell, Stephen - In: Journal of time series econometrics 6 (2014) 2, pp. 103-128

Persistent link: https://www.econbiz.de/10010401130

The underlying return-generating factors for REIT returns : an application of independent component analysis

Lizieri, Colin; Satchell, Stephen; Zhang, Qi - In: Real estate economics : journal of the American Real … 35 (2007) 4, pp. 569-598

Persistent link: https://www.econbiz.de/10003640860

The disappearance of style in the US equity market

Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 17 (2007) 7/9, pp. 597-613

Persistent link: https://www.econbiz.de/10003491204

Quantifying the non-Gaussian gain

Allen, David; Satchell, Stephen; Lizieri, Colin - In: The journal of asset management : a major new, … 25 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014511571