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Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98

Persistent link: https://www.econbiz.de/10014576152

Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...

Persistent link: https://www.econbiz.de/10013555665

Momentum and mean reversion in strategic asset allocation

Koijen, Ralph S. J.; Rodríguez, Juan Carlos; Sbuelz, … - In: Management science : journal of the Institute for … 55 (2009) 7, pp. 1199-1213

Persistent link: https://www.econbiz.de/10003864233

Short-horizon asymmetric mean-reversion and overreactions : evidence from the Nordic stock markets

Kulp-Tåg, Sofie (contributor) - 2007

Persistent link: https://www.econbiz.de/10003437447

Implication of the Kelly criterion for multi-dimensional processes

Lv, Yingdong; Meister, Bernhard K. - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 93-112

Persistent link: https://www.econbiz.de/10008860421

Does the Tunisian stock market overreact?

Hammami, Fatma; Abaoub, Ezzeddine - In: Risk management and value : valuation and asset price, (pp. 437-462). 2008

Persistent link: https://www.econbiz.de/10003686200

Evidence for time-dependent structures in financial data series over long timescales : opportunities for dynamic market risk allocation

Coutts, Julian - In: The journal of asset management 8 (2007/08) 3, pp. 152-160

Persistent link: https://www.econbiz.de/10003543568

Momentum trading, mean reversal and overreaction in Chinese stock market

Wu, Yangru - In: Review of quantitative finance and accounting 37 (2011) 3, pp. 301-323

Persistent link: https://www.econbiz.de/10009301286

Erklärung von "Mean Reversion" auf internationalen Aktienmärkten

Tolksdorf, Norbert - 2002

Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...

Persistent link: https://www.econbiz.de/10011402080

An extrapolative model of house price dynamics

Glaeser, Edward L.; Nathanson, Charles G. - 2015

Persistent link: https://www.econbiz.de/10010510698