Momentum and the cross-section of stock volatility
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Publication:2102873
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Cites work
- scientific article; zbMATH DE number 3153601 (Why is no real title available?)
- scientific article; zbMATH DE number 2135362 (Why is no real title available?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Adaptive expectations and commodity risk premiums
- Asset allocation with time series momentum and reversal
- Common risk factors in the returns on stocks and bonds
- Nonlinear effect of sentiment on momentum
- Optimal dynamic momentum strategies
- Predicting stock price movements from past returns: the role of consistency and tax-loss selling
- Sources of momentum profits: evidence on the irrelevance of characteristics
- The Present-Value Relation: Tests Based on Implied Variance Bounds
Cited in
(13)- Broad-market return persistence and momentum profits
- Asymmetric extreme tails and prospective utility of momentum returns
- Sources of momentum profits: evidence on the irrelevance of characteristics
- How the weak variance of momentum can turn out to be negative
- Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
- The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market
- The distribution of cross sectional momentum returns
- Risk-managed industry momentum and momentum crashes
- Enhancing the momentum strategy through deep regression
- Quantile momentum
- Dynamical analysis of S\& P500 momentum
- Decomposing the momentum in the Japanese stock market
- Physical approach to price momentum and its application to momentum strategy
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