Momentum, asymmetric volatility and idiosyncratic risk-momentum relation : does technology-sector matter?
Year of publication: |
2020
|
---|---|
Authors: | Ahmed, Mohamed S. ; Alhadab, Mohammad |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 78.2020, p. 355-371
|
Subject: | Asymmetric volatility | High-tech firms | Idiosyncratic risk | Low-tech firms | Momentum | US | Volatilität | Volatility | Hochtechnologie | High technology | Kapitaleinkommen | Capital income | Schätzung | Estimation | Aktienmarkt | Stock market | USA | United States | Momentenmethode | Method of moments | ARCH-Modell | ARCH model | Risiko | Risk |
-
Coskewness and reversal of momentum returns : the US and international evidence
Dong, Liang, (2022)
-
Chkili, Walid, (2014)
-
Momentum profits and conditional time-varying systematic risk
Morelli, David, (2014)
- More ...
-
Revisiting disposition effect and momentum : a quantile regression perspective
Ahmed, Mohamed S., (2021)
-
Ahmed, Mohamed S., (2020)
-
Irrigation rate and plant density effects on yield and water use efficiency of drip-irrigated corn
El-Hendawy, Salah E., (2008)
- More ...