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Financialization, idiosyncratic information and commodity co-movements
Ma, Yan-Ran; Ji, Qiang; Wu, Fei; Pan, Jiaofeng - In: Energy economics 94 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012649527
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On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
Schmidt, Peter S.; von Arx, Urs; Schrimpf, Andreas; … - 2011
momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build … novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns …
Persistent link: https://www.econbiz.de/10011753205
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Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
Bretschger, Lucas; Lechthaler, Filippo - 2012
momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …
Persistent link: https://www.econbiz.de/10011753224
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Common risk factors and the macroeconomy : new evidence from the Japanese stock market
Bretschger, Lucas; Lechthaler, Filippo - 2012
momentum strategy. The Japanese case illustrates the necessity of considering structural instability related to the …
Persistent link: https://www.econbiz.de/10009552906
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Hedging the time-varying risk exposures of momentum returns
Martens, Martin; Oord, Arco van - In: Journal of empirical finance 28 (2014), pp. 78-89
Persistent link: https://www.econbiz.de/10011284506
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Size matters : tail risk, momentum and trend following in international equity portfolios
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531062
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Size, value, and momentum in international stock returns
Fama, Eugene F.; French, Kenneth Ronald - In: Journal of financial economics 105 (2012) 3, pp. 457-472
Persistent link: https://www.econbiz.de/10009666815
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Firm market performance and volatility in a national real estate sector
Bianconi, Marcelo; Yoshino, Joe Akira - In: International review of economics & finance : IREF 22 (2012) 1, pp. 230-253
Persistent link: https://www.econbiz.de/10009618670
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Institutional trading, momentum and idiosynratic volatility
Sonmez, Fatma - In: Investment management and financial innovations 10 (2013) 2, pp. 55-63
Persistent link: https://www.econbiz.de/10010201105
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Understanding momentum in commodity markets
Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400