Zobrazeno 1 - 10
of 4 821
pro vyhledávání: '"Momentum (finance)"'
Publikováno v:
Journal of Financial Economics, 147(2), 406-431. Elsevier Science
We classify asset pricing anomalies into those exacerbating mispricing (build-up anomalies) and those resolving it (resolution anomalies). To this end, we estimate the dynamics of price wedges for well-known anomaly portfolios in the factor zoo and m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::277b74e451cb68ce549c00a5e990bb0f
https://doi.org/10.2139/ssrn.3785040
https://doi.org/10.2139/ssrn.3785040
Autor:
Idan Hodor, Andrea M. Buffa
Publikováno v:
Journal of Financial Economics. 147:352-381
We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d72f84d46d4771623ae1d4b489fd65f3
https://doi.org/10.1016/j.jfineco.2022.11.002
https://doi.org/10.1016/j.jfineco.2022.11.002
Publikováno v:
International Journal of Forecasting. 39:1-17
This paper uses data sampled at hourly and daily frequencies to predict Bitcoin returns. We consider various advanced non-linear models based on a multitude of popular technical indicators that represent market trend, momentum, volume, and sentiment.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4a8496b35f492d8b70ee108cf7eb8adb
https://doi.org/10.1016/j.ijforecast.2021.08.001
https://doi.org/10.1016/j.ijforecast.2021.08.001
Autor:
Simon Smith, Allan Timmermann
Publikováno v:
Journal of Financial Economics. 145:553-576
We apply a new methodology for identifying pervasive and discrete changes (“breaks”) in cross-sectional risk premia. Size, value, and investment risk premia have fallen off to the point where they are insignificantly different from zero at the en
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4c295a633a38271cf4ca038170530e28
https://doi.org/10.1016/j.jfineco.2021.08.019
https://doi.org/10.1016/j.jfineco.2021.08.019
Publikováno v:
International Journal of Forecasting. 38:895-909
The continuous growth of available football data presents unprecedented research opportunities for a better understanding of football dynamics. While many research works focus on predicting which team will win a match, other interesting questions, su
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3c6b5c13bec391660d9862fab68e7250
https://doi.org/10.1016/j.ijforecast.2021.06.008
https://doi.org/10.1016/j.ijforecast.2021.06.008
Autor:
Cuntong Wang, Zhenxi Chen
Publikováno v:
Journal of Management Science and Engineering. 7:233-242
The real estate market in China is often subject to government intervention while it is widely believed that speculation is one of the driving force for the dramatic increase in house price. By controlling macroeconomic factors, we detect two types o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::40aca417253bab997afd168d187c69b9
https://doi.org/10.1016/j.jmse.2021.08.002
https://doi.org/10.1016/j.jmse.2021.08.002
Autor:
Shaojun Zhang
Publikováno v:
Journal of Financial Economics. 144:154-173
This paper shows the cross-sectional and time series momentum in currencies, which cannot be explained by carry and dollar factors, summarize the autocorrelation of these factors. These momentum strategies long currency factors following positive fac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::04fac2a33541b7d782358661825c28e6
https://doi.org/10.1016/j.jfineco.2021.05.035
https://doi.org/10.1016/j.jfineco.2021.05.035
Publikováno v:
Borsa Istanbul Review. 22:226-239
Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio ba
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::02847728a1045fd029f36b2959425667
https://doi.org/10.1016/j.bir.2021.04.003
https://doi.org/10.1016/j.bir.2021.04.003
Publikováno v:
Journal of Business Research. 139:543-563
Co-creation in branding is gaining momentum. This study contributes to the branding literature by combining a systematic search and a critical review of 148 articles focusing on co-creation in branding, published in 55 academic journals. Three themes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4e381e09efece4b625a7fb95afbf187c
https://doi.org/10.1016/j.jbusres.2021.09.051
https://doi.org/10.1016/j.jbusres.2021.09.051
Publikováno v:
Management Science. 68(1):669-689
We propose an optimal currency hedging strategy for global equity investors using currency value, carry, and momentum to proxy for expected currency returns. A benchmark risk constraint ensures the overlay closely mimics a fully hedged portfolio. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f26cdf0e63d3cc87d72719d47feef63
https://ciencia.ucp.pt/en/publications/5f88e52e-3075-4e21-a06b-4b0d4659a5ce
https://ciencia.ucp.pt/en/publications/5f88e52e-3075-4e21-a06b-4b0d4659a5ce