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Higher moments, extreme returns, and cross-section of cryptocurrency returns

Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6

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Beyond the random walk : a guide to stock market anomalies and low risk investing

Singal, Vijay - 2006 - 1. issued as an Oxford pbk.

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Spillovers of US market volatility and monetary policy uncertainty to global stock markets

Chiang, Thomas C. - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18

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Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

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Liquidity, style investing and excess comovement of exchange-traded fund returns

Broman, Markus S. - In: Journal of financial markets 30 (2016), pp. 27-53

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Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders

Charles-Cadogan, G. - 2018

positively only when the trader executes a successful trade or stays flat otherwise. We apply the ESR formula to a sample of risk … and return data on HFT strategy, and find that the ESR for aggressive HFT is 1.15, medium HFT is 2.88, and passive HFT is …

Persistent link: https://www.econbiz.de/10012937216