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The predictive ability of consumer sentiment's volatility to the Malaysian stock market's volatility

Nathrah Yacob; Mahdzan, Nurul Shahnaz - In: Afro-Asian Journal of Finance and Accounting : AAJFA 4 (2014) 4, pp. 460-476

Persistent link: https://www.econbiz.de/10011457470

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Factor momentum, option-implied volatility scaling, and investor sentiment

Grobys, Klaus; Kolari, James W.; Rutanen, Jere - In: The journal of asset management : a major new, … 23 (2022) 2, pp. 138-155

Persistent link: https://www.econbiz.de/10013171033

Overnight stock returns, intraday returns, and firm-specific investor sentiment

Kim, Byungoh; Suh, Sangwon - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012667359

Information demand and stock return predictability

Chronopoulos, Dimitris K.; Papadimitriou, Fotios I.; … - In: Journal of international money and finance 80 (2018), pp. 59-74

Persistent link: https://www.econbiz.de/10012000004

Risk appetite, idiosyncratic volatility and expected returns

Qadan, Mahmoud - In: International review of financial analysis 65 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012208542

Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? : a multi-scale perspective

Ftiti, Zied; Hadhri, Sinda - In: Pacific-Basin finance journal 53 (2019), pp. 40-55

Persistent link: https://www.econbiz.de/10012133290

Nonlinear effect of sentiment on momentum

Li, Kai - In: Journal of economic dynamics & control 133 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10014535145

Intraday momentum and reversal in Chinese stock market

Chu, Xiaojun; Gu, Zherong; Zhou, Haigang - In: Finance research letters 30 (2019), pp. 83-88

Persistent link: https://www.econbiz.de/10012420230

Aggregate profit instability and time variations in momentum returns : evidence from China

Yin, Libo; Wei, Ya - In: Pacific-Basin finance journal 60 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012232699

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