average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …

We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment … volume, stock return volatility, credit ratings, and book-to-market. However, the model fails to reproduce procyclical …

interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …