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Is momentum due to data-snooping?

Parmler, Johan; González, Andrés - In: The European journal of finance 13 (2007) 3/4, pp. 301-318

Persistent link: https://www.econbiz.de/10003550383

Is momentum due to data-snooping?

Ericsson, Johan (contributor); … - 2003 - [Elektronische Ressource]

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...

Persistent link: https://www.econbiz.de/10001883186

Portfolio selection in stochastic environments

Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10003403670

Strategic informed trades, diversification, and expected returns

Caskey, Judson; Hughes, John S.; Liu, Jun - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 1811-1837

Persistent link: https://www.econbiz.de/10011375825

Optimal convergence trade strategies

Liu, Jun; Timmermann, Allan - In: The review of financial studies 26 (2013) 4, pp. 1048-1086

Persistent link: https://www.econbiz.de/10009752207

Risky arbitrage strategies : optimal portfolio choice and economic implications

Liu, Jun; Van Reenen, John; Timmermann, Allan - 2009

Persistent link: https://www.econbiz.de/10003830654

Losing money on arbitrage : optimal dynamic portfolio choice in markets with arbitrage opportunities

Liu, Jun; Longstaff, Francis A. - In: The review of financial studies 17 (2004) 3, pp. 611-642

Persistent link: https://www.econbiz.de/10002148881

Why stocks may disappoint

Ang, Andrew; Bekaert, Geert; Liu, Jun - In: Journal of financial economics 76 (2005) 3, pp. 471-508

Persistent link: https://www.econbiz.de/10002878239

Dynamic derivative strategies

Liu, Jun; Pan, Jun - In: Journal of financial economics 69 (2003) 3, pp. 401-430

Persistent link: https://www.econbiz.de/10001787696

Why stocks may disappoint

Ang, Andrew; Bekaert, Geert; Liu, Jun - 2000

Persistent link: https://www.econbiz.de/10001493702

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