Similar Search Results

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

Momentum and the cross-section of stock volatility

Fan, Minyou; Kearney, Fearghal; Li, Youwei; Liu, Jiadong - In: Journal of economic dynamics & control 144 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013543109

Long-term return reversals : value and growth or tax? ; UK evidence

Wu, Yuliang; Li, Youwei - In: Journal of international financial markets, … 21 (2011) 3, pp. 347-368

Persistent link: https://www.econbiz.de/10009266914

Testing of a market fraction model and power-law behaviour in the DAX 30

He, Xue-zhong; Li, Youwei - In: Journal of empirical finance 31 (2015), pp. 1-17

Persistent link: https://www.econbiz.de/10011489318

Testing of a market fraction model and power-law behaviour in the Dax 30

He, Xue-zhong; Li, Youwei - 2015

Persistent link: https://www.econbiz.de/10011344322

The adaptiveness in stock markets : testing the stylized facts in the DAX 30

He, Xue-zhong; Li, Youwei - In: Journal of evolutionary economics : JEE 27 (2017) 5, pp. 1071-1094

Persistent link: https://www.econbiz.de/10011895210

Identifying the relative importance of stock characteristics

French, Declan; Wu, Yuliang; Li, Youwei - In: Journal of multinational financial management 34 (2016), pp. 80-91

Persistent link: https://www.econbiz.de/10011719943

The adaptiveness in stock markets : testing the stylized facts in the Dax 30

He, Xue-zhong; Li, Youwei - 2015 - Latest version: September 1, 2015

Persistent link: https://www.econbiz.de/10011777493

Can investor sentiment be a momentum time-series predictor? : evidence from China

Han, Xing; Li, Youwei - In: Journal of empirical finance 42 (2017), pp. 212-239

Persistent link: https://www.econbiz.de/10011808570

Testing of a Market Fraction Model and Power-Law Behaviour in the DAX 30

He, Xue-zhong - 2015

This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model...

Persistent link: https://www.econbiz.de/10013030697