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An investigation into sentiment-induced institutional trading behavior and asset pricing in the REIT market

Das, Prashant K.; Freybote, Julia; Marcato, Gianluca - In: The journal of real estate finance and economics 51 (2015) 2, pp. 160-189

Persistent link: https://www.econbiz.de/10011474980

Industry-based style investing

Jame, Russell; Tong, Qing - In: Journal of financial markets 19 (2014), pp. 110-130

Persistent link: https://www.econbiz.de/10010442413

What we know about the low-risk anomaly : a literature review

Traut, Joshua - In: Financial markets and portfolio management 37 (2023) 3, pp. 297-324

Persistent link: https://www.econbiz.de/10014334142

An empirical study of momentum and reversal in United States equity market

Jun, Wang - 2005

Persistent link: https://www.econbiz.de/10003384691

Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?

Mitra, Subrata Kumar; Bawa, Jaslene Kaur; Kannadhasan, M.; … - In: Finance research letters 20 (2017), pp. 269-273

Persistent link: https://www.econbiz.de/10011806945

Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate

Wu, Xu; Wang, Kun; Zhang, Linlin; Peng, Chong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 687-704

Persistent link: https://www.econbiz.de/10014506859

Time series reversal in trend-following strategies

Liu, Jiadong; Papailias, Fotis - In: European financial management : the journal of the … 29 (2023) 1, pp. 76-108

Persistent link: https://www.econbiz.de/10014253882

Time series momentum and reversal : intraday information from realized semivariance

Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77

Persistent link: https://www.econbiz.de/10014476799

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Persistent link: https://www.econbiz.de/10011398103

Rational speculators, contrarians, and excess volatility

Lof, Matthijs - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1889-1901

Persistent link: https://www.econbiz.de/10011338806

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