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Institutional investor networks and crash risk : evidence from China
Li, Fangzhou; Jiang, Yuxiang - In: Finance research letters 47 (2022) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10013459124
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Flight-to-liquidity, market uncertainty, and the actions of mutual fund investors
Ben-Rephael, Azi - In: Journal of financial intermediation 31 (2017), pp. 30-44
Persistent link: https://www.econbiz.de/10011822426
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Avoiding momentum crashes : dynamic momentum and contrarian trading
Dobrynskaja, V. V. - In: Journal of international financial markets, … 63 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012263335
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
risk. These results are robust across eight different markets and asset classes and multiple time periods …
Persistent link: https://www.econbiz.de/10010257503
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Cross-border sentiment : an empirical analysis on EU stock markets
Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290
Persistent link: https://www.econbiz.de/10010399454
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2014
Persistent link: https://www.econbiz.de/10010413176
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Essays in macroeconomics and finance
Sydow, Matthias - 2009
Persistent link: https://www.econbiz.de/10003840762
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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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Do Financial Planners Take Financial Crashes into their Advice : Dynamic Asset Allocation Under Thick Tails and Fast Volatility Updating
Telfah, Ahmad Ali - 2012
portfolio and a hedging portfolio, with weights related to the investor's risk tolerance. The investor increases (decreases) the … speculative portfolio depends on the degree of risk aversion and the investment horizon. The hedging portfolio consists of … returns and volatility processes, beside their dependence on the risk tolerance and investment horizon. The non …
Persistent link: https://www.econbiz.de/10013106259