Time-varying expected momentum profits
Year of publication: |
2014
|
---|---|
Authors: | Kim, Dongcheol ; Roh, Tai-Yong ; Min, Byoung-Kyu ; Byun, Suk Joon |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 49.2014, p. 191-215
|
Subject: | Momentum | Time-varying expected returns | Markov switching regression model | Business cycle | Procyclicality | Growth options | Kapitaleinkommen | Capital income | Konjunktur | Markov-Kette | Markov chain | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Erwartungsbildung | Expectation formation | Börsenkurs | Share price | Momentenmethode | Method of moments |
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