Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10011879194
Persistent link: https://www.econbiz.de/10002658229
Persistent link: https://www.econbiz.de/10003961446
Persistent link: https://www.econbiz.de/10008655044
Persistent link: https://www.econbiz.de/10003849092
Recently, alpha and risk factor volatility have reached extremes. In this study we examine the risk and return relationships of value and momentum, which we believe have shifted. We find that market risk, or beta, correlations for both factors have reversed and have resulted to changes and...
Persistent link: https://www.econbiz.de/10013150898