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Contrarians, extrapolators, and stock market momentum and reversal

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Persistent link: https://www.econbiz.de/10015137979

Dynamic autocorrelation and international portfolio allocation

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The small firm effect and the random walk hypothesis : evidence from the London Stock Exchange using Markov chains

Mills, Terence C.; Jordanov, Jordan - 1999

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The size effect and the random walk hypothesis : evidence from the London stock exchange using Markov chains

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The disposition effect : explanations, experimental evidence, and implications for asset pricing

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Risk Measures for Autocorrelated Hedge Fund Returns

Di Cesare, Antonio - 2012

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky et al. (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10013114817

Risk Measures for Autocorrelated Hedge Fund Returns

Di Cesare, Antonio - 2014

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky, Lo, and Makarov (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, we derive adjusted...

Persistent link: https://www.econbiz.de/10013066639

A regime-switching model of stock returns with momentum and mean reversion

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Cyclicality and term structure of value‐at‐risk within a threshold autoregression setup

Bec, Frédérique; Gollier, Christian - 2014

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Portfolio size, non-trading frequency and portfolio return autocorrelation

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Persistent link: https://www.econbiz.de/10011299869