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Value versus growth : time-varying expected stock returns
Gulen, Huseyin (contributor); Xing, Yuhang (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003783889
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Value versus growth : time-varying expected stock returns
Gulen, Huseyin; Xing, Yuhang; Zhang, Lu - 2010
Persistent link: https://www.econbiz.de/10003969016
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A sectoral stock investment strategy model in Indonesia Stock Exchange
Defrizal, Defrizal; Romli, Khomsahrial; Purnomo, Agus; … - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 1, pp. 15-22
Persistent link: https://www.econbiz.de/10012692265
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Value versus growth : time-varying expected stock returns
Gulen, Huseyin; Xing, Yuhang; Zhang, Lu - In: Financial management 40 (2011) 2, pp. 381-407
Persistent link: https://www.econbiz.de/10009316482
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Value versus Growth : Time-Varying Expected Stock Returns
Gulen, Huseyin - 2010
Is the value premium predictable? We study time-variations of the expected value premium using a two-state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the...
Persistent link: https://www.econbiz.de/10012462660
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Pairs trading : the performance of a stochastic spread model with regime switching-evidence from the S&P 500
Yang, Jen-Wei; Tsai, Shu-Yu; Shyu, So-De; Chang, Chia-Chien - In: International review of economics & finance : IREF 43 (2016), pp. 139-150
Persistent link: https://www.econbiz.de/10011625559
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A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
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Multivariate regime switching model estimation and asset allocation
Zheng, Kai; Xu, Weidong; Zhang, Xili - In: Computational economics 61 (2023) 1, pp. 165-196
Persistent link: https://www.econbiz.de/10014228420
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Value Versus Growth : Time-Varying Expected Stock Returns
Gulen, Huseyin - 2010
Is the value premium predictable? We study time-variations of the expected value premium using a two-state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the...
Persistent link: https://www.econbiz.de/10013143457
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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
Pınar, Mustafa C.̧ - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 295-309
Persistent link: https://www.econbiz.de/10003464177