Minyou Fan

Queen's University Belfast, Queen's Management School

PhD student

Riddle Hall

185 Stranmillis Road

Belfast, BT9 5EE

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

959

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

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 732 (41,639)
Citation 2

Abstract:

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

2.

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 202 (180,882)
Citation 2

Abstract:

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

3.

A Reexamination of Factor Momentum:How Strong is It?

Number of pages: 44 Posted: 13 May 2021 Last Revised: 18 May 2021
Minyou Fan, Youwei Li, Ming Liao and Jiadong Liu
Queen's University Belfast, Queen's Management School, Hull University Business School, Nankai University, The School of Finance and Queen's University Belfast - Queen's Management School
Downloads 25 (582,687)

Abstract:

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Time-series momentum; Factor momentum; Return continuation; Betting against beta