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Default probability anomalies in the momentum startegies
Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209
Persistent link: https://www.econbiz.de/10010465679
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Firm ratings, momentum strategies, and crises : evidence from the US and Taiwanese stock markets
Lee, Nicholas Rueilin - In: Financial markets and portfolio management 26 (2012) 4, pp. 449-468
Persistent link: https://www.econbiz.de/10009667502
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Momentum profit fluctuations in seasonal conditions due to default probability
Lee, Nicholas Rueilin; Liu, Jung Fang; Lin, Yih-Bey; … - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 715-722
Persistent link: https://www.econbiz.de/10010520042
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Time-varying threshold dynamics of US bond yield spreads and Dow index returns
Lee, Nicholas Rueilin; Lin, Yih-Bey; Chen, Ming-Jun - In: International journal of monetary economics and finance … 16 (2023) 6, pp. 505-521
Persistent link: https://www.econbiz.de/10015066090
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Firm Ratings, Momentum Investing Strategy, and Market Crisis : Evidence from US and Taiwan Markets
Lee, Nicholas Rueilin - 2009
This paper considers a link between momentum profitability and firm ratings. Credit risks for naïve momentum strategies present a U-shaped pattern across momentum portfolios. Due to firms ratings containing valuable information and predicting the cross-sectional stock returns, firm ratings...
Persistent link: https://www.econbiz.de/10013156905