Showing 1 - 10 of 22
Persistent link: https://www.econbiz.de/10003048314
Time-series momentum (TSMOM) and moving average (MA) trading rules are closely related; however there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical...
Persistent link: https://www.econbiz.de/10013035908
Persistent link: https://www.econbiz.de/10012887207
Persistent link: https://www.econbiz.de/10015195229
Persistent link: https://www.econbiz.de/10015210660
Persistent link: https://www.econbiz.de/10012820419
Persistent link: https://www.econbiz.de/10009675559
Persistent link: https://www.econbiz.de/10010411756
Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...
Persistent link: https://www.econbiz.de/10003886161
Persistent link: https://www.econbiz.de/10011477227