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The role of analyst forecasts in the momentum effect
Low, Rand Kwong Yew; Tan, Enoch - In: International review of financial analysis 48 (2016), pp. 67-84
Persistent link: https://www.econbiz.de/10011624403
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Correlation in daily equity and fixed-income returns : implications for a cross-asset factor model
Marsh, Terry Alan - In: Innovations in investment management : cutting edge …, (pp. 113-133). 2008
Persistent link: https://www.econbiz.de/10003748871
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Decomposing factor exposure for equity portfolios
Tien, David; Pfleiderer, Paul; Maxim, Robert; Marsh, … - In: Linear factor models in finance, (pp. 262-275). 2005
Persistent link: https://www.econbiz.de/10003304070
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Stock and bond return relations and stock market uncertainty : evidence from wavelet analysis
Lin, Fu-Lai; Yang, Sheng-Yung; Marsh, Terry Alan; Chen, … - In: International review of economics & finance : IREF 55 (2018), pp. 285-294
Persistent link: https://www.econbiz.de/10012033480
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ASX small firm/microcap listings : the IPO "pop" and two decades of subsequent returns
Gilbey, Kylie; Marsh, Terry Alan; Purchase, Sharon - In: Accounting and finance 62 (2022) 3, pp. 3285-3318
Persistent link: https://www.econbiz.de/10013468212
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The Profitability of Pairs Trading Strategies : Distance, Cointegration, and Copula Methods
Rad, Hossein - 2016
We perform an extensive and robust study of the performance of three different pairs trading strategies - the distance, cointegration, and copula methods - on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the cointegration and copula methods, we design a...
Persistent link: https://www.econbiz.de/10013004622
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The Presidential Puzzle : Democrats, Macroeconomic News and Equity and Bond Premiums on Announcement Days
Chan, Kam Fong - 2016
Recent empirical finance literature reports a sizable equity premium on two types of days. The first is under Democratic administrations. The second is on scheduled macroeconomic news announcement days. The current study unifies the two strands of literature by documenting that statistically...
Persistent link: https://www.econbiz.de/10012981309