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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...

Persistent link: https://www.econbiz.de/10010442899

Investor sentiment, extrapolation and asset pricing

Wu, Huihui; Yang, Chunpeng - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 182-205

Persistent link: https://www.econbiz.de/10013532000

Risk and return of a trend-chasing application in financial markets: an empirical test

Ilomäki, Jukka - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 258-272

Persistent link: https://www.econbiz.de/10011885978

Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices

Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646

Persistent link: https://www.econbiz.de/10014444704

Robust optimization of time series momentum portfolios

Fague, Jeremy; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 19 (2021) 1, pp. 52-69

Persistent link: https://www.econbiz.de/10012616154

Risk adjusted momentum strategies : a comparison between constant and dynamic volatility scaling approaches

Fan, Minyou; Li, Youwei; Liu, Jiadong - In: Research in international business and finance 46 (2018), pp. 131-140

Persistent link: https://www.econbiz.de/10011983588

Bottom-up versus top-down factor investing : an alpha forecasting perspective

Zurek, Martin; Heinrich, Lars - In: The journal of asset management : a major new, … 22 (2021) 1, pp. 11-29

Persistent link: https://www.econbiz.de/10012487578

Understanding momentum and reversal

Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743

Persistent link: https://www.econbiz.de/10013259592

Restoring value to minimum variance

Goldberg, Lisa; Leshem, Ran; Geddes, Patrick - In: Journal of investment management : JOIM 12 (2014) 2, pp. 32-39

Persistent link: https://www.econbiz.de/10010388909