We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …

The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as … its use in asset valuation. However, there are fewer references with respect to the appropriate time horizon that … investors should utilize when evaluating the risk-return relationship of a stock. We examine the appropriate time horizon for …

zeitvariablen Überrenditen ("Time Varying Excess Returns", TVER), die im Verdacht stehen, Mean Reversion (MR) - als einen …