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The impacts of financial deregulation upon trading efficiency and the levels of risk and return of Japanese banks

Pettway, Richard H. - In: The financial review : the official publication of the … 23 (1988) 3, pp. 243-268

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The effect of bank relations on investment decisions : an investigation of Japanese takeover bids

Kang, Jun-koo; Shivdasani, Anil; Yamada, Takeshi - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 2197-2218

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The performance of Japanese mutual funds

Cai, Jun - In: The review of financial studies 10 (1997) 2, pp. 237-273

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How do foreigners profit from local investors? : Evidence from trades in the Japanese stock market

Yamada, Takeshi; Bae, Kee-hong; Ito, Keiichi - 2002

Persistent link: https://www.econbiz.de/10001658977

How do individual, institutional, and foreign investors win and lose in equity trades? : evidence from Japan

Bae, Kee-hong; Yamada, Takeshi; Ito, Keiichi - In: International review of finance 6 (2006) 3/4, pp. 129-155

Persistent link: https://www.econbiz.de/10003626653

Coskewness and reversal of momentum returns : the US and international evidence

Dong, Liang; Dai, Yiqing; Haque, Tariq; Kot, Hung Wan; … - In: Journal of empirical finance 69 (2022), pp. 241-264

Persistent link: https://www.econbiz.de/10013478531

Coskewness and Reversal of Momentum Returns : The US and International Evidence

Dong, Liang; Dai, Yiqing; Haque, Tariq H.; Kot, Hung Wan; … - 2022

The winner-minus-loser (WML) momentum strategy carries an inherent downside as its returns have negative coskewness. We propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61% and that of the volatility-managed momentum...

Persistent link: https://www.econbiz.de/10014244862