Dissecting investment strategies in the cross section and time series

Jamil Baz, Nicolas Granger, Campbell R. Harvey, Nicolas Le Roux, Sandy Rattray

We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions that favor the application of a particular setting

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Year of publication:	2015
Authors:	Baz, Jamil ; Granger, Nicolas ; Harvey, Campbell R. ; Le Roux, Nicolas ; Rattray, Sandy
Publisher:	Rochester, N.Y. : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (31 Seiten)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.2695101 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012822381