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Forecasting stock returns : an examination of stock market trading in the presence of transaction costs

Pesaran, M. Hashem - In: Journal of forecasting 13 (1994) 4, pp. 335-367

Persistent link: https://www.econbiz.de/10001166232

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

Persistent link: https://www.econbiz.de/10012888297

Another look at value and momentum : volatility spillovers

Grobys, Klaus; Vähämaa, Sami - In: Review of quantitative finance and accounting 55 (2020) 4, pp. 1459-1479

Persistent link: https://www.econbiz.de/10012304196

Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk

Grobys, Klaus - In: Quantitative finance 18 (2018) 7, pp. 1233-1247

Persistent link: https://www.econbiz.de/10011911534

Cryptocurrencies and momentum

Grobys, Klaus; Sapkota, Niranjan - In: Economics letters 180 (2019), pp. 6-10

Persistent link: https://www.econbiz.de/10012121731

Combining value and momentum : evidence from the Nordic equity market

Grobys, Klaus; Huhta-Halkola, Topi - In: Applied economics 51 (2019) 26, pp. 2872-2884

Persistent link: https://www.econbiz.de/10012196759

Risk-managed industry momentum and momentum crashes

Grobys, Klaus; Ruotsalainen, Joni; Äijö, Janne - In: Quantitative finance 18 (2018) 10, pp. 1715-1733

Persistent link: https://www.econbiz.de/10012261906

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