Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies
Wenjie Ding, Khelifa Mazouz, Qingwei Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Ding, Wenjie ; Mazouz, Khelifa ; Wang, Qingwei |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 63.2021, p. 42-56
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| Subject: | Cross-sectional return | Delayed arbitrage | Implied volatility | Investor sentiment | Trading strategies | Volatilität | Volatility | Anlageverhalten | Behavioural finance | Kapitaleinkommen | Capital income | Arbitrage | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2021.05.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013258724