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Momentum and reversal : information from prior returns

Kolari, James W.; Shin, Sang-Ook - In: Applied economics 56 (2024) 3, pp. 318-336

Persistent link: https://www.econbiz.de/10014439916

The real-life performance of market timing with moving average and time-series momentum rules

Zakamulin, Valeriy - In: The journal of asset management 15 (2014) 4, pp. 261-278

Persistent link: https://www.econbiz.de/10010476240

Ensembling ARIMAX model in algorithmic investment strategies on commodities market

Jakubowski, Paweł; Ślepaczuk, Robert; Windorbski, … - 2023

Persistent link: https://www.econbiz.de/10014448210

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

Persistent link: https://www.econbiz.de/10011977460

Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

Persistent link: https://www.econbiz.de/10012905055