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Market proxies as factors in linear asset pricing models : still living with the roll critique
Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53
Persistent link: https://www.econbiz.de/10011489332
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A trend factor : Any economic gains from using information over investment horizons?
Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375
Persistent link: https://www.econbiz.de/10011590910
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Models for expected returns with statistical factors
Cueto, José Manuel; Grané, Aurea; Cascos, Ignacio - In: Journal of risk and financial management : JRFM 13 (2020) 12/314, pp. 1-17
In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock prices - in particular, coefficient of...
Persistent link: https://www.econbiz.de/10012392578
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Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio …
Persistent link: https://www.econbiz.de/10011860248
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Forecasting the equity risk premium : the role of technical indicators
Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791
Persistent link: https://www.econbiz.de/10010399441
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Robust optimization of time series momentum portfolios
Fague, Jeremy; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 19 (2021) 1, pp. 52-69
Persistent link: https://www.econbiz.de/10012616154
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Asset allocation with time series momentum and reversal
He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
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Re-examining differences between momentum and time series momentum among individual stocks
Mu, Yuandong; He, Chaohua - In: Applied economics letters 26 (2019) 18, pp. 1537-1543
Persistent link: https://www.econbiz.de/10012204837
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Time-series efficient factors
Ehsani, Sina; Linnainmaa, Juhani - 2020
than the original factors and contain all the information found in the original factors. Momentum strategies profit from …-series efficient factors, such as an efficient Fama-French five-factor model, therefore prices momentum …
Persistent link: https://www.econbiz.de/10012244867
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Cross-asset signals and time series momentum
Pitkäjärvi, Aleksi; Suominen, Matti; Vaittinen, Lauri - In: Journal of financial economics 136 (2020) 1, pp. 63-85
Persistent link: https://www.econbiz.de/10012545360