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Momentum investing : evidence from the US tourism and hospitality
Shaker Ahmed, Mohamed - In: European journal of management and business economics : … 31 (2022) 3, pp. 269-284
Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality … that none of these momentum investing strategies was profitable. Most of the results, however, show positive, but … insignificant momentum returns. This finding can be interpreted as price reversal over a horizon of three to twelve months in the US …
Persistent link: https://www.econbiz.de/10013330980
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063
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Structural dynamic conditional correlation
Weber, Enzo - 2008
In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...
Persistent link: https://www.econbiz.de/10003796131
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Structural constant conditional correlation
Weber, Enzo (contributor) - 2008
A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...
Persistent link: https://www.econbiz.de/10003636117
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....
Persistent link: https://www.econbiz.de/10011490485
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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US
Bohl, Martin T.; Siklos, Pierre L. - 2001
Persistent link: https://www.econbiz.de/10001617689
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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US
Bohl, Martin T.; Siklos, Pierre L. - 2001
speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …
Persistent link: https://www.econbiz.de/10010503717
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International Stock Return Predictability : The Role of U.S. Volatility Risk
Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022
predictability is particularly strong when the U.S. volatility spillover intensity is high or international equity markets are more …
Persistent link: https://www.econbiz.de/10014236052
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High-dimensionality in statistics and portfolio optimization
Glombek, Konstantin - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013360879
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Price Discovery in the Dual-Platform US Treasury Market
Dunne, Peter G. - 2011
Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. This provides a natural experiment within which to test the propositions of Bloomfield & O'Hara (1999 and 2000) about price discovery in fragmented markets. We examine the...
Persistent link: https://www.econbiz.de/10013130655