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Do trading rules based upon winners and losers work across markets? : Evidence from the Pacific Basin and US markets

Fung, Hung-gay; Leung, Wai K.; Patterson, Gary A. - In: Multinational finance journal : MF ; quarterly … 3 (1999) 1, pp. 41-70

Persistent link: https://www.econbiz.de/10001510067

A risk-return explanation of the momentum-reversal "anomaly"

Booth, G. Geoffrey; Fung, Hung-gay; Leung, Wai K. - In: Journal of empirical finance 35 (2016), pp. 68-77

Persistent link: https://www.econbiz.de/10011662718

Do Trading Rules Based Upon Winners and Losers Work Across Markets? Evidence from the Pacific Basin and U.S. Markets

Fung, Hung-gay - 2016

Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) and a short position in stocks that have positive returns (winners)...

Persistent link: https://www.econbiz.de/10013004228

Size and value effects in high-tech industries : the role of R&D investment

Yu, Lin; Liu, Xiaoquan; Fung, Hung-gay; Leung, Wai K. - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012658819

Momentum or contrarian trading strategy : which one works better in the Chinese stock market

Yu, Lin; Fung, Hung-gay; Leung, Wai K. - In: International review of economics & finance : IREF 62 (2019), pp. 87-105

Persistent link: https://www.econbiz.de/10012205477

Constraints and innovations for pension investment : the cases of risk parity and risk premia investing

Lee, Wai - In: The journal of portfolio management : a publication of … 40 (2014) 3, pp. 12-20

Persistent link: https://www.econbiz.de/10010365521

Risk-based asset allocation : a new answer to an old question?

Lee, Wai - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 11-28

Persistent link: https://www.econbiz.de/10009273897

Factors timing factors

Lee, Wai - In: The journal of portfolio management : a publication of … 43 (2017) 5, pp. 66-71

Persistent link: https://www.econbiz.de/10011686326

Generalized conditional moments and international asset pricing

Lee, Wai - 1994

Persistent link: https://www.econbiz.de/10000916148

Implementable tail risk management : an empirical analysis of CVaR-optimized carry trade portfolios

Kaya, Hakan; Lee, Wai; Pornrojnangkool, Bobby - In: Journal of derivatives & hedge funds 17 (2011) 4, pp. 341-356

Persistent link: https://www.econbiz.de/10010217491