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The role of demographics in precipitating crises in financial institutions
Macunovich, Diane J. - 2009
There are significant effects of changing demographics on economic indicators: growth in GDP especially, but also the current account balance and gross capital formation. The 15-24 age group appears to be one of the key age groups in these effects, with increases in that age group exerting...
Persistent link: https://www.econbiz.de/10003900319
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Fire sales in finance and macroeconomics
Shleifer, Andrei; Vishny, Robert W. - 2010
Persistent link: https://www.econbiz.de/10008808346
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Fire sales in finance and macroeconomics
Shleifer, Andrei; Vishny, Robert W. - In: The journal of economic perspectives : EP ; a journal … 25 (2011) 1, pp. 29-48
Persistent link: https://www.econbiz.de/10009158165
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The role of demographics in precipitating economic downturns
Macunovich, Diane J. - In: Journal of population economics 25 (2012) 3, pp. 783-807
Persistent link: https://www.econbiz.de/10009535908
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of … each momentum strategy's mean and variance generates an unconditional Sharpe ratio approximately double that of the static … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …
Persistent link: https://www.econbiz.de/10010257503
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2014
Persistent link: https://www.econbiz.de/10010413176
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Momentum Crashes
Daniel, Kent D. - 2011
Momentum strategies have produced high returns and Sharpe ratios, and strong positive alphas relative to market models and other standard factors models. However, the returns to momentum strategies are highly skewed; they experience infrequent but strong and persistent strings of negative returns....
Persistent link: https://www.econbiz.de/10013121260
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Momentum Crashes
Daniel, Kent D. - 2015
option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and … variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors …
Persistent link: https://www.econbiz.de/10013019213
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Momentum Crash Management
Heidari, Mahdi - 2015
Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...
Persistent link: https://www.econbiz.de/10013026403