Jiadong Liu

Queen's University Belfast - Queen's Management School

Riddel Hall

185 Stranmillis Road

Belfast, BT9 5EE

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 22,037

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Top 22,037

in Total Papers Downloads

2,657

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

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
Quantf Research, Queen's University Belfast - Queen's Management School and University of Athens, Department of Business Administration
Downloads 1,175 (20,920)

Abstract:

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

2.

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

Research in International Business and Finance, Forthcoming
Number of pages: 22 Posted: 28 Nov 2017 Last Revised: 14 Apr 2020
Minyou Fan, Youwei Li and Jiadong Liu
Queen's University Belfast, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 726 (41,441)
Citation 2

Abstract:

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

3.

Time Series Reversal in Trend Following Strategies

Number of pages: 46 Posted: 22 May 2017 Last Revised: 29 Aug 2017
Jiadong Liu and Fotis Papailias
Queen's University Belfast - Queen's Management School and Quantf Research
Downloads 561 (57,992)

Abstract:

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

4.

Momentum and the Cross-Section of Stock Volatility

QMS Research Paper 2020/01
Number of pages: 47 Posted: 21 Feb 2020
Queen's University Belfast, Queen's Management School, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 195 (184,547)
Citation 2

Abstract:

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