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In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...
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In this research note we investigate whether short-horizon, statistical arbitrage style alpha factors perform differently in different environments. In particular it is often said that stat arb strategies are “long vol” in the sense that they profit when market level volatility measures are...
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This paper presents a study of successful and creative projects in the pharmaceutical industry. Creativity is here … pharmaceutical researchers at former AB Hassle and ICI Pharmaceutical Division, suggests that if creativity is to be managed as an … thing as creativity management but also claims that creativity is complicated to manage as an organizational resource, since …
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