momentum prediction has been proved, the predictors can be applied to momentum risk management. I introduce two new momentum … been used before. I then introduce a new method of momentum risk management that has a lower transaction cost than existing …

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which … are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of … and a risk-free asset. We provide a way to extend the concept of minimum-variance strategies in the context of short …

-interested. Future research may examine the seasonal pattern in countries with more stringent regulation of financial professionals or …

constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

The literature of financial economics documents a causal relationship between the level of information asymmetry in the … policy has been a challenge for financial economists. To overcome this econometric issue, we employ the enactment of the … study contributes to the literature of financial economics by showing that policy makers can mitigate agency conflicts and …

This paper investigates irregularities in financial statements by applying the Beneish and Roxas models to Polish firms … companies that had received an adverse or disclaimer opinion by the auditors, but had not been fined by the Polish Financial … classification code and on the financial year, with minimizing the difference in the size of total assets. The results indicate that …