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Cross-Asset Time-Series Momentum Strategy : A New Suggestion

Xu, Dezhong; Li, Bin; Singh, Tarlok; Park, Jung Chul - 2022

We propose a new investment strategy, the improved cross-asset time-series momentum (I-XTSM) strategy, to improve investment performance. Using data on 25 investment portfolios and common commodities for the period from January 1990 to April 2021, we find that the I-XTSM strategy increases...

Persistent link: https://www.econbiz.de/10014239453

The relationship between volatility and expected returns : some evidence for Australia

Darrat, Ali F.; Li, Bin; Benkato, Omar M. - In: International journal of business and economics 10 (2011) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10009309718

R 2 and idiosyncratic risk are not interchangeable

Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295

Persistent link: https://www.econbiz.de/10010469131

Water as an investment : liquid yet illiquid!

Jin, Yizheng; Li, Bin; Roca, Eduardo; Wong, Victor - In: Applied economics 48 (2016) 7/9, pp. 731-745

Persistent link: https://www.econbiz.de/10011414008

Return predictability in Australian managed funds

Wang, Luo; Li, Bin; Gupta, Rakesh; Su, Jen-je; Liu, Benjamin - In: International journal of business and economics 16 (2017) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011971342

Investigating linear multi-factor models in asset pricing : considerable supplemental evidence

Shi, Qi; Cheung, Adrian Wai Kong; Li, Bin - In: Asia-Pacific journal of accounting & economics : … 27 (2020) 2, pp. 242-260

Persistent link: https://www.econbiz.de/10012174395

Arbitrage risk and the cross-section of stock returns : evidence from China

Lin, Yu En; Chu, Chien Chi; Omura, Akihiro; Li, Bin; … - In: Emerging markets review 43 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012414438

Online portfolio selection : principles and algorithms

Li, Bin; Hoi, Steven C.H.; Hoi, Steven C.H. - 2016

Persistent link: https://www.econbiz.de/10011451740

On minimizing drawdown risks of lifetime investments

Chen, Xinfu; Landriault, David; Li, Bin; Li, Dongchen - In: Insurance / Mathematics & economics 65 (2015), pp. 46-54

Persistent link: https://www.econbiz.de/10011422864

Alpha-robust mean-variance reinsurance-investment strategy

Li, Bin; Li, Danping; Xiong, Dewen - In: Journal of economic dynamics & control 70 (2016), pp. 101-123

Persistent link: https://www.econbiz.de/10011708658