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Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91

Persistent link: https://www.econbiz.de/10011489219

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

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

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

Time series momentum : is it there?

Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu - In: Journal of financial economics 135 (2020) 3, pp. 774-794

Persistent link: https://www.econbiz.de/10012543228

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

Economic activity and momentum profits : further evidence

Maio, Paulo; Philip, Dennis - In: Journal of banking & finance 88 (2018), pp. 466-482

Persistent link: https://www.econbiz.de/10011962964

The cross-section of expected stock returns and components of idiosyncratic volatility

Poudeh, Seyed Reza Tabatabaei; Fu, Chengbo - In: The journal of risk finance : JRF 23 (2022) 4, pp. 403-417

Persistent link: https://www.econbiz.de/10013370591

The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market

Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63

Persistent link: https://www.econbiz.de/10011834005

Systematic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - In: Journal of financial economics 149 (2023) 3, pp. 349-377

Persistent link: https://www.econbiz.de/10014419606

A risk-return explanation of the momentum-reversal "anomaly"

Booth, G. Geoffrey; Fung, Hung-gay; Leung, Wai K. - In: Journal of empirical finance 35 (2016), pp. 68-77

Persistent link: https://www.econbiz.de/10011662718

Are idiosyncratic volatility and MAX priced in the Canadian market?

Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36

Persistent link: https://www.econbiz.de/10011662897