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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Aggregate profit instability and time variations in momentum returns : evidence from China
Yin, Libo; Wei, Ya - In: Pacific-Basin finance journal 60 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012232699
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The MAX effect : European evidence
Walkshäusl, Christian - In: Journal of banking & finance 42 (2014), pp. 1-10
Persistent link: https://www.econbiz.de/10010408454
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Profitability anomaly and aggregate volatility risk
Barinov, Alexander - In: Journal of financial markets 64 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014466100
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Stock return predictability and determinants of predictability and profits
Bannigidadmath, Deepa; Narayan, Paresh Kumar - In: Emerging markets review 26 (2016), pp. 153-173
Persistent link: https://www.econbiz.de/10011670906
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The 52-week high, q-theory, and the cross section of stock returns
George, Thomas J.; Hwang, Chuan-yang; Li, Yuan - In: Journal of financial economics 128 (2018) 1, pp. 148-163
Persistent link: https://www.econbiz.de/10011970872
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Forecasting stock returns volatility of the G7 over centuries : the role of climate risks
Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024
Persistent link: https://www.econbiz.de/10014553267
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The effect of the movement in 52-week high on momentum profit : the evidence from Taiwan
Liao, Li-Chuan; Chang, Tzu-pu; Wang, Ping-Huang - In: International journal of business and economic sciences … 16 (2023) 1, pp. 71-86
influences the profitability of the original 52-week high momentum strategy. Design/methodology/approach: This paper decomposes … employ a portfolio approach and Fama-MacBeth regression analysis to investigate the profitability of each proposed momentum … original 52-week high measure can increases (decreases) the momentum profit, implying that the updating component dominates the …
Persistent link: https://www.econbiz.de/10014419592
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Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Economic research 33 (2020) 1,1, pp. 160-181
Persistent link: https://www.econbiz.de/10013173486
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Risk appetite, idiosyncratic volatility and expected returns
Qadan, Mahmoud - In: International review of financial analysis 65 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012208542