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Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios

Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164

Persistent link: https://www.econbiz.de/10010422318

Time-series momentum in nearly 100 years of stock returns

Lim, Bryan Y.; Wang, Jiaguo; Yao, Yaqiong - In: Journal of banking & finance 97 (2018), pp. 283-296

Persistent link: https://www.econbiz.de/10011968748

Structure and sources of autocorrelations in portfolio returns : empirical investigation of the Warsaw Stock Exchange

Ge̜bka, Bartosz - 2002

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Is factor momentum greater than stock momentum?

Falck, Antoine; Rej, Adam; Thesmar, David - In: The journal of investment strategies 10 (2021) 4, pp. 43-68

Persistent link: https://www.econbiz.de/10014335802

Betas V characteristics : do stock characteristics enhance the investment opportunity set in U.K. stock returns?

Fletcher, Jonathan - In: The North American journal of economics and finance : a … 46 (2018), pp. 114-129

Persistent link: https://www.econbiz.de/10012036611

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …

Persistent link: https://www.econbiz.de/10011780610