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Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

Persistent link: https://www.econbiz.de/10011293745

Time-series momentum in individual stocks : is it there and where to look?

Fang, Jiali; Wei, Hao; Wongchoti, Udomsak - In: Applied economics 54 (2022) 18, pp. 2048-2066

Persistent link: https://www.econbiz.de/10012875717

Risk-managed time-series momentum : an emerging economy experience

Simarjeet Singh; Walia, Nidhi; Bekiros, Stelios; Gupta, … - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 328-343

Purpose - This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach....

Persistent link: https://www.econbiz.de/10014339133

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

Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah - 2021

To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...

Persistent link: https://www.econbiz.de/10013247805

Optimal time series momentum

He, Xue-zhong; Li, Kai; Li, Youwei - 2015

Persistent link: https://www.econbiz.de/10011344325

Asset allocation with time series momentum and reversal

He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457

Persistent link: https://www.econbiz.de/10011974221

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

Persistent link: https://www.econbiz.de/10011977460

Do carry trade returns show signs of long memory?

Auer, Benjamin R.; Hoffmann, Andreas - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 201-208

Persistent link: https://www.econbiz.de/10011627532

BM(book-to-market ratio) factor : medium-term momentum and long-term reversal

Wei-qi, Liu; Jingxing, Zhang - In: Financial innovation : FIN 4 (2018) 1, pp. 1-29

To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative...

Persistent link: https://www.econbiz.de/10011825744