The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market : a Kalman filter approach
Year of publication: |
2006
|
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Authors: | Antoniou, Antonios ; Galariotis, Emilios C. ; Spyrou, Spyros I. |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 16.2006, 18 (1.12.), p. 1317-1329
|
Subject: | Wertpapierhandel | Securities trading | Gewinn | Profit | Risiko | Risk | Effizienzmarkthypothese | Efficient market hypothesis | Zustandsraummodell | State space model | Australien | Australia | 1989-2004 |
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