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Higher moments and beta asymmetry : evidence from Australia
Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807
Persistent link: https://www.econbiz.de/10011348087
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The impact of highter order moments added to the multiscale Carhart model for different investment periods
Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276
Persistent link: https://www.econbiz.de/10011347007
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Partial moment momentum
Gao, Yang; Leung, Henry; Satchell, Stephen - In: Journal of banking & finance 135 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013401726
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Long run risk model and equity premium puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021
Persistent link: https://www.econbiz.de/10012582703
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Long Run Risk Model and Equity Premium Puzzle in Thailand
Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - In: Southeast Asian journal of economics 10 (2022) 1, pp. 133-167
Persistent link: https://www.econbiz.de/10013193514
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Asset pricing and downside risk in the Australian share market
Alles, Lakshman; Murray, Louis - In: Applied economics 49 (2017) 43, pp. 4336-4350
Persistent link: https://www.econbiz.de/10011843179
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … liquid futures contracts and show that RAMOM strategies outperform the time series momentum (TSMOM) strategies of Ooi …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …
Persistent link: https://www.econbiz.de/10011293745
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Avoiding momentum crashes : dynamic momentum and contrarian trading
Dobrynskaja, V. V. - In: Journal of international financial markets, … 63 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012263335
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Risk neutral skewness predicts price rebounds and so can improve momentum performance
Borochin, Paul; Zhao, Yanhui - In: Critical finance review 11 (2022) 2, pp. 383-429
Persistent link: https://www.econbiz.de/10013457296
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Changes in risk and asset prices
Schlesinger, Harris; Gollier, Christian - 2001
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10011398103