Aggregate profit instability and time variations in momentum returns : evidence from China
Year of publication: |
2020
|
---|---|
Authors: | Yin, Libo ; Wei, Ya |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 60.2020, p. 1-18
|
Subject: | Momentum | Aggregate profit instability | Market state | Risk price | Time series predictability of momentum | Kapitaleinkommen | Capital income | China | Gewinn | Profit | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Volatilität | Volatility | Momentenmethode | Method of moments | Börsenkurs | Share price | Aktienmarkt | Stock market | Rentabilität | Profitability | Anlageverhalten | Behavioural finance | Aggregation |
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