Jiadong Liu

Queen's University Belfast - Queen's Management School

Riddel Hall

185 Stranmillis Road

Belfast, BT9 5EE

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 14,791

SSRN RANKINGS

Top 14,791

in Total Papers Downloads

6,387

SSRN CITATIONS

13

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Time series reversal in trend-following strategies

Liu, J., Papailias, F. (2021). Time series reversal in trend-following strategies. European Financial Management, 1– 33.
Number of pages: 42 Posted: 22 May 2017 Last Revised: 03 Jan 2022
Jiadong Liu and Fotis Papailias
Queen's University Belfast - Queen's Management School and King’s College London - King's Business School
Downloads 1,733 (19,532)

Abstract:

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Market Timing, Returns Signal Momentum, Reversal, Time Series Momentum, Trend-Following Strategies

2.

Return Signal Momentum

Journal of Banking and Finance, Forthcoming, QMS Research Paper 2019/04
Number of pages: 62 Posted: 22 May 2017 Last Revised: 16 Feb 2021
King’s College London - King's Business School, Queen's University Belfast - Queen's Management School and University of Athens, Department of Business Administration
Downloads 1,701 (20,121)

Abstract:

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Return Sign, Trading Strategies, Market Timing, Time Series Momentum

3.

A Reexamination of Factor Momentum:How Strong is It?

The Financial Review, (2022). DOI: https://doi.org/10.1111/fire.12300
Number of pages: 52 Posted: 13 May 2021 Last Revised: 10 Jun 2022
Minyou Fan, Youwei Li, Ming Liao and Jiadong Liu
Queen's University Belfast, Queen's Business School, Hull University Business School, Nankai University, The School of Finance and Queen's University Belfast - Queen's Management School
Downloads 1,153 (35,790)
Citation 2

Abstract:

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Time series momentum; Factor momentum; Return continuation; Factor investing.

4.

Risk Adjusted Momentum Strategies: A Comparison between Constant and Dynamic Volatility Scaling Approaches

Research in International Business and Finance, Volume 46, December 2018, Pages 131-140
Number of pages: 22 Posted: 28 Nov 2017 Last Revised: 17 Mar 2023
Minyou Fan, Youwei Li and Jiadong Liu
Queen's University Belfast, Queen's Business School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 1,029 (42,192)
Citation 2

Abstract:

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Cross-sectional momentum, Time series momentum, Momentum crashes, Volatility scaling

5.
Downloads 771 (62,732)
Citation 2

Momentum and the Cross-Section of Stock Volatility

Number of pages: 54 Posted: 07 Dec 2021
Queen's University Belfast, Queen's Business School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 387 (144,953)

Abstract:

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Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing

Momentum and the Cross-Section of Stock Volatility

QMS Research Paper 2020/01
Number of pages: 58 Posted: 21 Feb 2020 Last Revised: 21 Sep 2021
Queen's University Belfast, Queen's Business School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 384 (146,225)
Citation 2

Abstract:

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Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing