Similar Search Results

Combining momentum with reversal in commodity futures

Bianchi, Robert; Drew, Michael E.; Fan, John Hua - In: Journal of banking & finance 59 (2015), pp. 423-444

Persistent link: https://www.econbiz.de/10011544644

The predictive performance of asset pricing models : evidence from the Australian Securities Exchange

Bianchi, Robert; Drew, Michael E.; Whittaker, Timothy - In: Review of Pacific Basin financial markets and policies 19 (2016) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10011644612

Risk factors in Australian bond returns

Bianchi, Robert; Drew, Michael E.; Roca, Eduardo; … - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 351-372

Persistent link: https://www.econbiz.de/10011756380

COVID-19 and policy responses : early evidence in banks and FinTech stocks

Kakhkharov, Jakhongir; Bianchi, Robert - In: Pacific-Basin finance journal 74 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013389460

False discoveries in the anomaly research : new insights from the Stock Exchange of Melbourne (1927-1987)

Cakici, Nusret; Zaremba, Adam; Bianchi, Robert; Pham, Nga - In: Pacific-Basin finance journal 70 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013392350

Commodity Futures Momentum : Sources of Risk and Anomalies

Bianchi, Robert J. - 2020

This paper explores the source(s) of commodity futures momentum and an associated anomaly. We decompose the 12-month conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 to 11 months prior to portfolio formation...

Persistent link: https://www.econbiz.de/10012855221

Transaction costs, trading volume and momentum strategies

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: The journal of trading 5 (2010) 1, pp. 66-81

Persistent link: https://www.econbiz.de/10003931735

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85

Persistent link: https://www.econbiz.de/10010459997

Momentum profits, nonnormality risks and the business cycle

Fuertes, Ana María; Miffre, Joëlle; Tan, Wooi-hou - In: Applied financial economics 19 (2009) 10/12, pp. 935-953

Persistent link: https://www.econbiz.de/10003856859

Momentum profits and time-varying unsystematic risk

Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O'Sullivan, … - In: Journal of banking & finance 32 (2008) 4, pp. 541-558

Persistent link: https://www.econbiz.de/10003707678