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Risk Adjustment and Trading Strategies

Citations

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Cited by:

  1. Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
  2. Shi Yafeng & Tao Xiangxing & Shi Yanlong & Zhu Nenghui & Ying Tingting & Peng Xun, 2020. "Can Technical Indicators Provide Information for Future Volatility: International Evidence," Journal of Systems Science and Information, De Gruyter, vol. 8(1), pages 53-66, February.
  3. Chris Stivers & Licheng Sun, 2013. "Market Cycles and the Performance of Relative Strength Strategies," Financial Management, Financial Management Association International, vol. 42(2), pages 263-290, June.
  4. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
  5. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, March.
  6. Laura X.L. Liu & Jerold B. Warner & Lu Zhang, 2005. "Momentum Profits and Macroeconomic Risk," NBER Working Papers 11480, National Bureau of Economic Research, Inc.
  7. Vitali Alexeev & Katja Ignatieva, 2021. "Biases in variance of decomposed portfolio returns," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1152-1178, December.
  8. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, March.
  9. Ming†Chang Wang & Lon†Ping Zu, 2013. "Trade Timing, Price Volatility and Serial Correlation," European Financial Management, European Financial Management Association, vol. 19(5), pages 911-934, November.
  10. L.J. Basson & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 84-95, March.
  11. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  12. Min, Byoung-Kyu & Kim, Tong Suk, 2012. "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1528-1535.
  13. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  14. Bettman, Jenni L. & Maher, Thomas R.B. & Sault, Stephen J., 2009. "Momentum profits in the Australian equity market: A matched firm approach," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 565-579, November.
  15. Raymond Kan & Guofu Zhou, 2012. "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
  16. Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
  17. Paweł Radwański, 2019. "Polityka fiskalna i premia za ryzyko akcji na warszawskiej giełdzie," Bank i Kredyt, Narodowy Bank Polski, vol. 50(3), pages 265-294.
  18. Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
  19. Vasiliki A. Basdekidou, 2017. "Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(12), pages 1-12, December.
  20. Jonathan Fletcher & Andrew Marshall, 2005. "The Performance of UK International Unit Trusts," European Financial Management, European Financial Management Association, vol. 11(3), pages 365-386, June.
  21. Zhenlong Jiang & Ran Ji & Kuo-Chu Chang, 2020. "A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment," JRFM, MDPI, vol. 13(7), pages 1-20, July.
  22. KiHoon Hong, 2017. "Bitcoin as an alternative investment vehicle," Information Technology and Management, Springer, vol. 18(4), pages 265-275, December.
  23. Ashish Kumar Garg & Pankaj Varshney, 2015. "Momentum Effect in Indian Stock Market: A Sectoral Study," Global Business Review, International Management Institute, vol. 16(3), pages 494-510, June.
  24. Yao Zheng & Peihwang Wei & Eric Osmer, 2022. "The relation between earnings and price momentum: Does it vary across regimes?," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1145-1213, April.
  25. Tatiana PÎŞCHINA & Romeo Fortuna, 2017. "Moldova’s Phenomenon: Can Foreign Investments Help Out of the Poverty Circle?," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, ejes_v3_i.
  26. Hong-Yi Chen & Cheng Few Lee & Wei-Kang Shih, 2020. "Technical, Fundamental, and Combined Information for Separating Winners from Losers," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 95, pages 3319-3365, World Scientific Publishing Co. Pte. Ltd..
  27. Hong Zhang, 2004. "Dynamic Beta, Time-Varying Risk Premium, and Momentum," Yale School of Management Working Papers amz2637, Yale School of Management, revised 01 Mar 2005.
  28. Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2021. "Return signal momentum," Journal of Banking & Finance, Elsevier, vol. 124(C).
  29. Keun-Sik Park & Young-Joon Seo & A-Rom Kim & Min-Ho Ha, 2018. "Ship Acquisition of Shipping Companies by Sale & Purchase Activities for Sustainable Growth: Exploratory Fuzzy-AHP Application," Sustainability, MDPI, vol. 10(6), pages 1-13, May.
  30. Heng-Chih Chou & Dar-Hsin Chen, 2019. "The use of technical analysis in sale-and-purchase transactions of secondhand ships," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 21(2), pages 223-240, June.
  31. Kim, Soonho & Na, Haejung, 2018. "Higher-moment liquidity risks and the cross-section of stock returns," Journal of Financial Markets, Elsevier, vol. 38(C), pages 39-59.
  32. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
  33. Vasiliki A. Basdekidou, 2017. "The Momentum & Trend-Reversal as Temporal Market Anomalies," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(5), pages 1-19, May.
  34. Yang, Yunlin & Gebka, Bartosz & Hudson, Robert, 2019. "Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies," Research in International Business and Finance, Elsevier, vol. 47(C), pages 78-101.
  35. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2014. "Information ratio analysis of momentum strategies," Papers 1402.3030, arXiv.org, revised Jul 2014.
  36. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Sharma, Susan Sunila, 2019. "Does Islamic stock sensitivity to oil prices have economic significance?," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 497-512.
  37. Huang, Alex YiHou, 2024. "Mechanisms of overpricing: An investigation on momentum crashes," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 118-142.
  38. Hong-Yi Chen & Sheng-Syan Chen & Chin-Wen Hsin & Cheng Few Lee, 2020. "Does Revenue Momentum Drive or Ride Earnings or Price Momentum?," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 94, pages 3263-3318, World Scientific Publishing Co. Pte. Ltd..
  39. Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020. "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  40. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "International stock return predictability: Evidence from new statistical tests," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 97-113.
  41. Chordia, Tarun & Shivakumar, Lakshmanan, 2006. "Earnings and price momentum," Journal of Financial Economics, Elsevier, vol. 80(3), pages 627-656, June.
  42. Hong Zhang, 2004. "Dynamic Beta, Time-Varying Risk Premium, and Momentum," Yale School of Management Working Papers amz2637, Yale School of Management, revised 01 Mar 2005.
  43. Fletcher, Jonathan & Kihanda, Joseph, 2005. "An examination of alternative CAPM-based models in UK stock returns," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2995-3014, December.
  44. Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
  45. Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere, 2013. "Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 53-78.
  46. KiHoon Hong, 0. "Bitcoin as an alternative investment vehicle," Information Technology and Management, Springer, vol. 0, pages 1-11.
  47. Sandrine Jacob Leal, 2013. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Economics Bulletin, AccessEcon, vol. 33(4), pages 3102-3116.
  48. Enoch Cheng & Clemens C. Struck, 2019. "Time-Series Momentum: A Monte-Carlo Approach," Working Papers 201906, School of Economics, University College Dublin.
  49. Vasiliki A. Basdekidou & Artemis A. Styliadou, 2017. "Corporate Social Responsibility Performance & ETF Historical Market Volatility," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(10), pages 30-39, October.
  50. Monika Mościbrodzka, 2021. "Alternative investment funds – the evaluation of managers’ abilities in the light of the amendments to the Act on Investment Fund," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 517-544.
  51. Wang, Jun & Wu, Yangru, 2011. "Risk adjustment and momentum sources," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1427-1435, June.
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