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On the performance of volatility-managed portfolios

Cederburg, Scott; O'Doherty, Michael; Wang, Feifei; … - In: Journal of financial economics 138 (2020) 1, pp. 95-117

Persistent link: https://www.econbiz.de/10012631928

On the Performance of Volatility-Managed Portfolios

Cederburg, Scott - 2019

Using a comprehensive set of 103 equity strategies, we analyze the value of volatility-managed portfolios for real-time investors. Volatility-managed portfolios do not systematically outperform their corresponding unmanaged portfolios in direct comparisons. Consistent with Moreira and Muir...

Persistent link: https://www.econbiz.de/10012890204

On the economic significance of stock return predictability

Cederburg, Scott; Johnson, Travis L.; O'Doherty, Michael - In: Review of finance : journal of the European Finance … 27 (2023) 2, pp. 619-657

Persistent link: https://www.econbiz.de/10014317955

Testing for autocorrelation using a modified box-pierce Q test

Lobato, Ignacio N.; Nankervis, John C.; Savin, N. Eugene - In: International economic review 42 (2001) 1, pp. 187-205

Persistent link: https://www.econbiz.de/10001562214

Binomial option pricing biases and inconsistent implied volatilities

Lekvin, Brent J.; Tiwari, Ashish - In: European financial management : the journal of the … 7 (2001) 4, pp. 543-562

Persistent link: https://www.econbiz.de/10001627621

Fund flow diversification : implications for asset stability, fee-setting and performance

Casavecchia, Lorenzo; Tiwari, Ashish - In: International review of financial analysis 95 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10015147909