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Risk and uncertainty in style rotation
Krause, Timothy A. - In: Financial services review : the journal of individual … 27 (2018) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10011992584
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ETF risk models
Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10013407268
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Understanding intraday momentum strategies
Rosa, Carlo - In: The journal of futures markets 42 (2022) 12, pp. 2218-2234
Persistent link: https://www.econbiz.de/10013465878
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …
Persistent link: https://www.econbiz.de/10011293745
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Risk bearing ability of investors in Indian stock market
Valliappan, M. - In: International journal of economic research 12 (2015) 2, pp. 287-293
Persistent link: https://www.econbiz.de/10011419781
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Return-enhancing strategies with international ETFs : exploiting the turn-of-the-month effect
Chen, Haiwei; Shin, Sang Heon; Sun, Xu - In: Financial services review : the journal of individual … 24 (2015) 3, pp. 271-288
Persistent link: https://www.econbiz.de/10011392057
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Beyond the random walk : a guide to stock market anomalies and low risk investing
Singal, Vijay - 2006 - 1. issued as an Oxford pbk.
Persistent link: https://www.econbiz.de/10003982793
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Assessing tracking risk of ETFs in India : an empirical study on selected index ETFs
Sarkar, Swapan - In: Research bulletin / The Institute of Cost Accountants … 42 (2016/2017) 4, pp. 23-37
Persistent link: https://www.econbiz.de/10011722276
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Diversification and idiosyncratic volatility puzzle : evidence from ETFs
Duanmu, Jun; Hur, Jungshik; Li, Yongjia - In: Research in international business and finance 71 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015062053
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The cumulant risk premium
Kyle, Albert S.; Todorov, Karamfil - 2023
Persistent link: https://www.econbiz.de/10014414346