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Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio

Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320

Persistent link: https://www.econbiz.de/10010259395

An Information Factor : What Are Skilled Investors Buying and Selling?

Ma, Matthew - 2019

We construct an information factor (INFO) using the informed stock buying of corporate insiders and the informed selling of short sellers and option traders. INFO strongly predicts future stock returns -- a long-short portfolio formed on INFO earns monthly alphas of 1.24%, substantially...

Persistent link: https://www.econbiz.de/10012898919

Are institutions informed about news?

Hendershott, Terrence; Livdan, Dmitry; Schürhoff, Norman - In: Journal of financial economics 117 (2015) 2, pp. 249-287

Persistent link: https://www.econbiz.de/10011479892

Manager sentiment and stock returns

Jiang, Fuwei; Lee, Joshua; Martin, Xiumin; Zhou, Guofu - In: Journal of financial economics 132 (2019) 1, pp. 126-149

Persistent link: https://www.econbiz.de/10012134791

Market intraday momentum

Gao, Lei; Han, Yufeng; Li, Sophia Zhengzi; Zhou, Guofu - In: Journal of financial economics 129 (2018) 2, pp. 394-414

Persistent link: https://www.econbiz.de/10011982249

Short interest and aggregate stock returns

Rapach, David E.; Ringgenberg, Matthew C.; Zhou, Guofu - In: Journal of financial economics 121 (2016) 1, pp. 46-65

Persistent link: https://www.econbiz.de/10011590566

Equilibrium stock return dynamics under alternative rules of learning about hidden states

Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954

Persistent link: https://www.econbiz.de/10002099538

Expected returns, yield spreads, and asset pricing tests

Campbello, Murillo; Chen, Long; Zhang, Lu - 2005

Persistent link: https://www.econbiz.de/10002823463

Forecasting the equity risk premium : the role of technical indicators

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791

Persistent link: https://www.econbiz.de/10010399441

Financially constrained stock returns

Livdan, Dmitry; Sapriza, Horacio; Zhang, Lu - In: The journal of finance : the journal of the American … 64 (2009) 4, pp. 1827-1862

Persistent link: https://www.econbiz.de/10003874459