A conditional multifactor analysis of return momentum

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Overview

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Keyphrases

Multiple Factor Ana... Keyphrases

Return Momentum Keyphrases

Regression Model Keyphrases

Linearity Assumptio... Keyphrases

Pricing Model Keyphrases

Small-minus-big Keyphrases

Risk Characteristic... Keyphrases

Short-term Momentum Keyphrases

Long-term Reversal Keyphrases

Misspecified Keyphrases

Time-varying Risk Keyphrases

Low Risk Keyphrases

Conditioning Inform... Keyphrases

Conditional Regress... Keyphrases

Fama-French Keyphrases

Fama-French Five-fa... Keyphrases

Return Patterns Keyphrases

Asset Pricing Model Keyphrases

CAPM Anomaly Keyphrases

INIS

information INIS

Engineering

Model Engineering

Pricing Engineering

Characteristics Engineering

Linearity Engineering

Economics, Econometrics and Finance

Return Economics, Econometrics a...

Information Economics, Econometrics a...

Financial Economics Economics, Econometrics a...

Pricing Economics, Econometrics a...

CAPM Economics, Econometrics a...

Factor Model Economics, Econometrics a...

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