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Momentum and reversal : information from prior returns

Kolari, James W.; Shin, Sang-Ook - In: Applied economics 56 (2024) 3, pp. 318-336

Persistent link: https://www.econbiz.de/10014439916

Market volatility, momentum, and reversal : a switching strategy

Butt, Hilal Anwar; Kolari, James W.; Sadaqat, Mohsin - In: The journal of asset management : a major new, … 25 (2024) 5, pp. 460-478

Persistent link: https://www.econbiz.de/10015192322

Return dispersion risk in FX and global equity markets : does it explain currency momentum?

Grobys, Klaus; Heinonen, Jari-Pekka; Kolari, James W. - In: International review of financial analysis 56 (2018), pp. 264-280

Persistent link: https://www.econbiz.de/10012006275

Man versus machine : on artificial intelligence and hedge funds performance

Grobys, Klaus; Kolari, James W.; Niang, Joachim - In: Applied economics 54 (2022) 40, pp. 4632-4646

Persistent link: https://www.econbiz.de/10013411004

Multifactor Market Indexes

Liu, Wei - 2020

A growing list of proposed factors is causing factor and model selection problems in asset pricing research and practice. This paper mitigates these problems by combining the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of multifactor...

Persistent link: https://www.econbiz.de/10012853268

Choosing factors : the international evidence

Grobys, Klaus; Kolari, James W. - In: Applied economics 54 (2022) 6, pp. 633-647

Persistent link: https://www.econbiz.de/10012874235

Revisiting momentum profits in emerging markets

Butt, Hilal Anwar; Kolari, James W.; Sadaqat, Mohsin - In: Pacific-Basin finance journal 65 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013209669

Factor momentum, option-implied volatility scaling, and investor sentiment

Grobys, Klaus; Kolari, James W.; Rutanen, Jere - In: The journal of asset management : a major new, … 23 (2022) 2, pp. 138-155

Persistent link: https://www.econbiz.de/10013171033

Multifactor market indexes

Liu, Wei; Kolari, James W. - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-26

This paper combines the CRSP market index with multiple factors to create a single multifactor market index. Empirical tests of different multifactor market indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added to...

Persistent link: https://www.econbiz.de/10013168866

Investment Valuation and Asset Pricing : Models and Methods

Kolari, James W.; Pynnönen, Seppo - 2023

Chapter 1: Portfolio Theory and Practice -- Chapter 2: Capital Market Conditions -- Chapter 3: Capital Asset Pricing Model (CAPM) -- Chapter 4: The Market Model -- Chapter 5: The Zero-Beta CAPM -- Chapter 6: Alternative CAPM Specifications -- Chapter 7: Arbitrage Pricing Theory -- Chapter 8:...

Persistent link: https://www.econbiz.de/10013504695