Risk neutral skewness predicts price rebounds and so can improve momentum performance
Year of publication: |
2022
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Authors: | Borochin, Paul ; Zhao, Yanhui |
Published in: |
Critical finance review. - Hanover, MA : now Publishers Inc., ISSN 2164-5744, ZDB-ID 3140465-0. - Vol. 11.2022, 2, p. 383-429
|
Subject: | Risk neutral skewness | Momentum | Return predictability | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Risiko | Risk | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Momentenmethode | Method of moments | Statistische Verteilung | Statistical distribution |
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