Minyou Fan

Queen's University Belfast, Queen's Management School

PhD student

Riddle Hall

185 Stranmillis Road

Belfast, BT9 5EE

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

715

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (2)

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 622 (45,273)

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 93 (296,894)

Abstract:

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