Coskewness and reversal of momentum returns : the US and international evidence
Year of publication: |
2022
|
---|---|
Authors: | Dong, Liang ; Dai, Yiqing ; Haque, Tariq ; Kot, Hung Wan ; Yamada, Takeshi |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 69.2022, p. 241-264
|
Subject: | Coskewness | Momentum | Reversal risk | USA | United States | Kapitaleinkommen | Capital income | CAPM | Momentenmethode | Method of moments | Welt | World | Portfolio-Management | Portfolio selection | Großbritannien | United Kingdom | Volatilität | Volatility | Aktienmarkt | Stock market | Risiko | Risk |
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