Sohan Sarwar

University of Greenwich - Business School

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
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3,176

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (7)

US Sector Rotation with Five-Factor Fama-French Alphas

Number of pages: 27 Posted: 19 Jun 2017
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 1,661 (15,236)
Citation 1

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Fama-French Five Factor Model, US sectors, Performance, Sector Rotation

US Sector Rotation with Five-Factor Fama-French Alphas

Journal of Asset Management, Forthcoming
Number of pages: 31 Posted: 29 Nov 2017
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 405 (103,614)

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Fama-French Five Factor Model, US Sectors, Performance, Sector Rotation

2.

Macroeconomic Determinants of Cyclical Variations in Value, Size and Momentum Premiums in the UK

Number of pages: 37 Posted: 22 Mar 2015
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 349 (123,586)
Citation 1

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Size, Value and Momentum premiums, Markov Switching, Macroeconomic determinants, Trading strategy

3.

Macroeconomic Determinants of Cyclical Variations in Value, Size and Momentum Premium in the UK

Number of pages: 28 Posted: 06 Jul 2014
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 281 (155,114)
Citation 1

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Size, Value and Momentum premium, Markov Switching, Macroeconomic determinants

4.

A Tale of Two States: Asymmetries in the UK Small, Value and Momentum Premiums

Applied Economics, Forthcoming
Number of pages: 40 Posted: 29 Jun 2016
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 235 (185,010)

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5.

A Guide to Survival of Momentum in UK Style Portfolios

Number of pages: 43 Posted: 22 Jun 2017
Sohan Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, Aalborg University Business School and City University London - The Business School
Downloads 150 (274,551)

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Momentum survival, Style portfolios, Kaplan-Meier estimator, Trading strategies

6.

Does Equity Mutual Fund Factor-Risk-Shifting Pay Off? Evidence from the US

Number of pages: 36 Posted: 04 Aug 2021
Cesario Mateus, Natasa Todorovic and Sohan Sarwar
Aalborg University Business School, City University London - The Business School and University of Greenwich - Business School
Downloads 74 (441,384)

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Structural breaks; style risk; risk shifting; performance; mutual funds

7.

Momentum Survival and Its Economic Significance: Evidence From an Emerging Market

Number of pages: 26 Posted: 31 Jan 2019
Sohan Sarwar and Kanis Fatama Ferdushi
University of Greenwich - Business School and Department of Statistics, Shahjalal University of Science and Technology
Downloads 21 (707,563)

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Momentum Survival; Kaplan–Meier Estimator; Accelerated Failure Time (AFT) Model; Sector Rotation Strategies; Dhaka Stock Exchange (DSE)