Cross-sectional factor dynamics and momentum returns
Year of publication: |
January 2017
|
---|---|
Authors: | Avramov, Doron ; Hore, Satadru |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 32.2017, p. 69-96
|
Subject: | Momentum | Cross-Sectional dynamics | Long-run risk | Bayesian filtering | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Schätzung | Estimation | Momentenmethode | Method of moments | Bayes-Statistik | Bayesian inference | CAPM | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Kapitalmarktrendite | Capital market returns | Querschnittsanalyse | Cross-section analysis | Prognoseverfahren | Forecasting model |
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