We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

investment community towards low volatility stocks. This pursuit of low risk investments has drawn attention of the investor … term, low risk investment in portfolio construction without loss in returns. The study also contributes to the increasing … identifying low volatility investment sectors in Indian market. Using data from the S&P CNX Nifty Index and the CNX Infrastructure …

Tobin's q and the investment-capital ratio to be countercyclical. We also nd that the heterogeneity in risk aversion and …We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rates …. When the less risk-averse agent is more impatient, the two types of agents can coexist for a long time. The heterogeneity …

We examine how different investment horizons, and consequently the number of hands through which a security passes …-horizon investors; (ii) for a given maturity of security, price deviations increase as investment horizons shrink (and frequency of … transfers increases); and (iii) short investment horizons create upward pressure on prices when liquidity is high and downward …

This study investigates the impact of flows between bond and equity funds on investment factors over the period 1984 … the investment factor. The statistical reversal relationship between previous flows and the investment factor is … economically significant. A one-standard-deviation shock to flows causes a 0.29% decrease in investment factor returns, which are …

's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions … of message-receiving investors. The model's key prediction is that short investment horizons can facilitate credible …

capitalization, exploration investment and discoveries. To explain and quantify these four effects, we use an analytical model of … investment in exploration capital with intertemporal adjustment costs, depletion of reserves and market capitalization, and … for as long as possible. We also pay attention to how the legislative "risk" of tipping into policy action affects the …