Momentum has its moments. Journal of Financial Economics, forthcoming.Barroso, Pedro and Pedro Santa-Clara, "Momentum has its Moments," Journal of Financial Economics, Forthcoming.Barosso, P., and P. Santa-Clara (2015). Momentum has its moments. Journal of Financial Economics 116, 111-120....
但Pedro Barroso与Pedro Santa-Clara (2013)在《Momentum Has Its Moments》一文中提出,动量策略的风险是可以被管理和预测的,通过风险管理后的动量策略可以显著缓释... 申晓瑾 被引量: 1发表: 2016年 Measurement of the Deuteron Structure Function F2 in the Resonance Region and Evaluation of Its Moments Incl...
momentummomentscrashesmomentumstrategysharperisk Momentum has its moments $ Pedro Barroso a,n , Pedro Santa-Clara b,c,d a University of New South Wales, Australia b Nova School of Business and Economics, Portugal c NBER, United States d CEPR, United Kingdom a r t i c l e i n f o Ar...
Momentum has its moments. Journal of Financial Economics 116(1), 111 – 120. Blitz, D., J. Huij, and M. Martens (2011). Residual momentum. Journal of Empirical Finance 18(3), 506 – 521. Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance 52(1...
The paper ‘Momentum has its moments’ by Barroso and Santa-Clara (2015) discusses the volatility of momentum risk over time. In order to control for systematic risks, they introduce the constant volatility scaling approach to momentum strategy, scaling different instruments in the portfolio based ...
Barroso, Pedro, and Pedro Santa-Clara. "Momentum has its moments."Journal of Financial Economics116.1 (2015): 111-120. Blitz, David, Matthias X. Hanauer, and Milan Vidojevic. "The idiosyncratic momentumanomaly."International Review of Economics & Finance69 (2020): 932-957. ...
Barroso, Pedro, and Pedro Santa-Clara. "Momentum has its moments." Journal of Financial Economics 116.1 (2015): 111-120. Blitz, David, Matthias X. Hanauer, and Milan Vidojevic. "The idiosyncratic momentum anomaly." International Review of Economics & Finance 69 (2020): 932-957. ...
2Barroso P., and Santa-Clara P., April 2015, “Momentum has its moments”, Journal of Financial Economics. 3Daniel, K., Hirshleifer, D., and Subrahmanyam, A., December 1998, “Investor psychology and security market under- and overreactions“, Journal of Finance. ...
Momentum Has Its Moments Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and k... A Baltas - 《Journal of Finan...
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