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Downside risk, portfolio diversification and the financial crisis in the euro-zone

Sarafrazi, Soodabeh; Hammoudeh, Shawkat; Santos, Paulo … - In: Journal of international financial markets, … 32 (2014), pp. 368-396

Persistent link: https://www.econbiz.de/10011299784

Another Look at Momentum Crashes : Momentum in the European Monetary Union

Grobys, Klaus - 2015

This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional...

Persistent link: https://www.econbiz.de/10013028257

Correlation surprise

Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399

Persistent link: https://www.econbiz.de/10010258478

The dynamics of volatility and correlation during periods of crisis : implications for active asset management

Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140

Persistent link: https://www.econbiz.de/10011485140

Evidence from business strategy of mutual fund managers after the financial crisis : panel smooth transition regression model

Lee, Joe-ming - 2013

between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be … different business strategy under the volatility threshold value and the control variables of asset of funds, management fee and … Turnover indicator. After the financial crisis, the threshold of volatility will be an important index to different business …

Persistent link: https://www.econbiz.de/10009776209