Upside and Downside Risks in Momentum Returns
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Cited by:
- Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
- Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Dobrynskaya, Victoria, 2019.
"Avoiding momentum crashes: Dynamic momentum and contrarian trading,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Victoria Dobrynskaya, 2019. "Avoiding Momentum Crashes: Dynamic Momentum and Contrarian Trading," Proceedings of International Academic Conferences 9912063, International Institute of Social and Economic Sciences.
- Dobrynskaya, Victoria, 2018. "Pricing within and across asset classes," Finance Research Letters, Elsevier, vol. 25(C), pages 10-15.
- Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
- Grobys, Klaus & Heinonen, Jari-Pekka & Kolari, James, 2018. "Return dispersion risk in FX and global equity markets: Does it explain currency momentum?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 264-280.
- Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
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More about this item
Keywords
momentum; downside risk; downside beta; upside risk; upside beta; Downside-Risk CAPM;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2015-12-01 (Financial Markets)
- NEP-RMG-2015-12-01 (Risk Management)
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