Similar Search Results - EconBiz

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

Momentum Profits and Time-Varying Unsystematic Risk

Li, Xiafei - 2013

This study assesses whether the widely documented momentum profits can be attributed to time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum profits are a compensation for time-varying unsystematic risks, which are common to the winner and loser stocks but affect...

Persistent link: https://www.econbiz.de/10013079998

The impact of news on measures of undiversifiable risk : evidence from the UK stock market

Brooks, Chris; Henry, Ólan Thomas John - 2000

Persistent link: https://www.econbiz.de/10001456109

Cross-correlations and cross-bicorrelations in Sterling exchange rates

Brooks, Chris; Hinich, Melvin J. - In: Journal of empirical finance 6 (1999) 4, pp. 385-404

Persistent link: https://www.econbiz.de/10001426372

Testing for nonlinearity in daily sterling exchange rates

Brooks, Chris - 1995

Persistent link: https://www.econbiz.de/10000911564

Threshold autoregressive and Markov switching models : an application to commercial real estate

Maitland-Smith, James - 1996

Persistent link: https://www.econbiz.de/10000944098

Does orthogonalisation really purge equity-based property valuations of their general stock market influences?

Brooks, Chris - 1998

Persistent link: https://www.econbiz.de/10000985420

Property returns and the macroeconomy

Brooks, Chris - 1998

Persistent link: https://www.econbiz.de/10000985422

Linkages between property asset returns and interest rates : evidence for the UK

Brooks, Chris; Tsolacos, Sotiris - In: Applied economics 33 (2001) 6, pp. 711-719

Persistent link: https://www.econbiz.de/10001575682

The trading profitability of forecasts of the gilt-equity yield ratio

Brooks, Chris; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 11-29

Persistent link: https://www.econbiz.de/10001549772

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