Christchurch , 8140
University of Canterbury
in Total Papers Downloads
momentum returns, cross-sectional, time-series, market states
momentum returns, cross-sectional, time-series, market state
momentum; idiosyncratic volatility; market dynamics; arbitrage cost; overconfidence
Momentum returns; Information uncertainty; Cultural differences; Behavioral biases; China
Idiosyncratic volatility, regime-switching, emerging markets, China
asset pricing, Fama-French three-factor model, size effect, book to market effect, Hong Kong
Momentum Returns, Time-Series, Cross-Sectional, Market States, Idiosyncratic Volatility
Extreme returns, Asset pricing, Idiosyncratic volatility, South Korea
idiosyncratic volatility, total volatility, asset pricing, Hong Kong stock market
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Cross-section of stock returns; Extreme returns; Predictability; China
total volatility, idiosyncratic volatility, asset pricing, weekly data, Hong Kong stock market
File name: ajar.
File name: j-629X.
Cross‐sectional returns, Idiosyncratic volatility, Southeast Asian markets
sentiment dynamics, cross-section, arbitrage, asset pricing, maximum returns
Rational Speculative Bubbles, Duration Dependence, Emerging Markets, Malaysia
Idiosyncratic volatility, regime switch model, asset pricing, France
Islamic stocks; Cross-sectional; Time-series; Momentum returns; Market dynamics
Duration, Dependence, Rational, Speculative Bubbles, Singapore, Indonesia
Sentiment dynamics, Hard to value stocks, Max effect
Momentum returns; market states; market dynamics; China
Asset pricing, Fama-French Three-factor model, CAPM, Size effect, Book to market effect, Hong Kong
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