Sources of Momentum Profits: Applications of Higher Momentum Moments

碩士 === 國立交通大學 === 財務金融研究所 === 105 === Despite their significant abnormal returns, momentum strategies also have the worst crashes. Several recent studies focus on the dynamic weighting schemes based on their prediction of the timing of momentum crashes. In this paper, we show that idiosyncratic vola...

Full description

Bibliographic Details
Main Authors: Hu, Jui-Yu, 胡瑞友
Other Authors: Huang, Yi-Hou
Format: Others
Language:zh-TW
Published: 2017
Online Access:http://ndltd.ncl.edu.tw/handle/e8batx