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Momentum life cycle, revisited
Chen, Tsung-Yu; Chou, Pin-huang; Hsieh, Chia-Hsun; … - In: Journal of banking & finance 127 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012820592
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Arbitrage risk and the turnover anomaly
Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182
Persistent link: https://www.econbiz.de/10010245601
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Sources of contrarian profits in the Japanese stock market
Chou, Pin-huang; Wei, K. C. John; Chung, Huimin - In: Journal of empirical finance 14 (2007) 3, pp. 261-286
Persistent link: https://www.econbiz.de/10003609830
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Portfolio optimization under asset pricing anomalies
Chou, Pin-huang; Li, Wen-Shen; Zhou, Guofu - In: Japan and the world economy : international journal of … 18 (2006) 2, pp. 121-142
Persistent link: https://www.econbiz.de/10003303126
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Non-parametric momentum based on ranks and signs
Chen, Tsung-Yu; Chou, Pin-huang; Ko, Kuan-Cheng; Rhee, … - In: Journal of empirical finance 60 (2021), pp. 94-109
Persistent link: https://www.econbiz.de/10012692984
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Asset growth, style investing, and momentum
Chou, Pin-huang; Ko, Kuan-Cheng; Yang, Nien-Tzu - In: Journal of banking & finance 98 (2019), pp. 108-124
Persistent link: https://www.econbiz.de/10012162244
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Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio
Chou, Pin-Huang - 1998
This paper proposes tests of unconditional mean-variance efficiency using bootstrap method that does not depend on specific distributional assumptions. We reject the mean-variance efficiency of the CRSP value-weighted stock index for five of the seven consecutive ten-year subperiods from 1926 to...
Persistent link: https://www.econbiz.de/10014075456