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...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/e8batx |