Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?
Year of publication: |
February 2017
|
---|---|
Authors: | Mitra, Subrata Kumar ; Bawa, Jaslene Kaur ; Kannadhasan, M. ; Goyal, Vinay ; Chattopadhyay, Manojit |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 20.2017, p. 269-273
|
Subject: | Anomaly | Range to standard deviation ratio | Momentum trading strategy | Returns persistence | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Wertpapierhandel | Securities trading | Momentenmethode | Method of moments | Theorie | Theory |
-
Chao, Hsiao-ying, (2012)
-
Komarov, Oleg, (2017)
-
Industry momentum with correlation consolidation : evidence from China
Boubaker, Sabri, (2022)
- More ...
-
An analysis of NPAs of Indian banks : using a comprehensive framework of 31 financial ratios
Bawa, Jaslene Kaur, (2019)
-
Identifying periods of market inefficiency for return predictability
Mitra, Subrata Kumar, (2017)
-
Determinants of corporate credit spread : evidence from India
Thakur, Bhanu Pratap Singh, (2018)
- More ...