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Momentum trading, mean reversal and overreaction in Chinese stock market

Wu, Yangru - In: Review of quantitative finance and accounting 37 (2011) 3, pp. 301-323

Persistent link: https://www.econbiz.de/10009301286

Mean reversion across national stock markets and parametric contrarian investment strategies

Balvers, Ronald J.; Wu, Yangru; Gilliland, Erik - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 745-772

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Risk adjustment and momentum sources

Jun, Wang; Wu, Yangru - In: Journal of banking & finance 35 (2011) 6, pp. 1427-1435

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Optimal portfolio choice for investors with industry-specific labor income risks

Tsai, Hui-Ju; Wu, Yangru - In: Finance research letters 11 (2014) 4, pp. 429-436

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Heterogeneous background risks and portfolio choice : evidence from micro-level data

Palia, Darius; Qi, Yaxuan; Wu, Yangru - In: Journal of money, credit and banking : JMCB 46 (2014) 8, pp. 1687-1720

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Optimal portfolio choice with asset return predictability and nontradable labor income

Tsai, Hui-Ju; Wu, Yangru - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 215-249

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The information content of the term structure of risk-neutral skewness

Borochin, Paul; Chang, Hao; Wu, Yangru - In: Journal of empirical finance 58 (2020), pp. 247-274

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Optimal Consumption and Portfolio Choice For Long-Horizon Investors with Nontradable Labor Income When Asset Returns are Predictable

Tsai, Hui-Ju - 2012

We study the optimal consumption and investment choice for long-horizon investors with nontradable labor income and time-varying investment opportunities. Our results suggest that the popular investment recommendation that more conservative investors should hold a higher bond/stock ratio may...

Persistent link: https://www.econbiz.de/10013114137