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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Market sentiment and paradigm shifts
Chu, Liya; He, Xue-zhong; Li, Kai; Tu, Jun - 2015
Persistent link: https://www.econbiz.de/10011344305
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Optimal time series momentum
He, Xue-zhong; Li, Kai; Li, Youwei - 2015
Persistent link: https://www.econbiz.de/10011344325
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Investor overconfidence and the security market line : new evidence from China
Han, Xing; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 117 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012503334
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Reversing momentum : the optimal dynamic momentum strategy
Li, Kai; Liu, Jun - 2016
Persistent link: https://www.econbiz.de/10011777992
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Time to build and bond risk premia
Guo, Bin; Huang, Fuzhe; Li, Kai - In: Journal of economic dynamics & control 121 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012504154
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Asset allocation with time series momentum and reversal
He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
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Nonlinear effect of sentiment on momentum
Li, Kai - In: Journal of economic dynamics & control 133 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10014535145
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Optimal dynamic momentum strategies
Li, Kai; Liu, Jun - In: Operations research 70 (2022) 4, pp. 2054-2068
Persistent link: https://www.econbiz.de/10013366412
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Investor sentiment and paradigm shifts in equity return forecasting
Chu, Liya; He, Xue-zhong; Li, Kai; Tu, Jun - In: Management science : journal of the Institute for … 68 (2022) 6, pp. 4301-4325
Persistent link: https://www.econbiz.de/10013369059