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Idiosyncratic volatility and the pricing of poorly-diversified portfolios
Miffre, Joëlle; Brooks, Chris; Li, Xiafei - In: International review of financial analysis 30 (2013), pp. 78-85
Persistent link: https://www.econbiz.de/10010459997
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Low-cost momentum strategies
Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: The journal of asset management 9 (2008/09) 6, pp. 366-379
Persistent link: https://www.econbiz.de/10003812497
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Transaction costs, trading volume and momentum strategies
Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: The journal of trading 5 (2010) 1, pp. 66-81
Persistent link: https://www.econbiz.de/10003931735
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The value premium and time-varying volatility
Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: Journal of business finance & accounting : JBFA 36 (2009) 9/10, pp. 1252-1272
Persistent link: https://www.econbiz.de/10003909854
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Momentum profits and time-varying unsystematic risk
Li, Xiafei; Miffre, Joëlle; Brooks, Chris; O'Sullivan, … - In: Journal of banking & finance 32 (2008) 4, pp. 541-558
Persistent link: https://www.econbiz.de/10003707678