Risk-managed industry momentum and momentum crashes
Year of publication: |
2018
|
---|---|
Authors: | Grobys, Klaus ; Ruotsalainen, Joni ; Äijö, Janne |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 10, p. 1715-1733
|
Subject: | Asset pricing momentum crash | Industry momentum | Optionality effect | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Aktienmarkt | Stock market | CAPM | Wertpapierhandel | Securities trading | Finanzkrise | Financial crisis | Schätzung | Estimation |
-
Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
Grobys, Klaus, (2018)
-
Dierkes, Maik, (2022)
-
Industry momentum with correlation consolidation : evidence from China
Boubaker, Sabri, (2022)
- More ...
-
Risk-Managed Industry Momentum and Momentum Crashes
Grobys, Klaus, (2017)
-
Is smart beta investing profitable? : evidence from the Nordic stock market
Silvasti, Veikkopekka, (2021)
-
Äijö, Janne, (2008)
- More ...