Less pain, more gain: Volatility-adjusted residual momentum in international equity markets

dc.contributor.author	Zaremba, A.
dc.contributor.author	Umutlu, M.
dc.contributor.author	Maydybura, A.
dc.date.accessioned	2021-01-25T19:33:14Z
dc.date.available	2021-01-25T19:33:14Z
dc.date.issued	2018
dc.identifier	10.1080/10293523.2018.1469290
dc.identifier.issn	1029-3523
dc.identifier.uri	https://dspace.yasar.edu.tr/xmlui/handle/20.500.12742/7616
dc.description.abstract	We offer a new type of momentum strategy - the volatility-adjusted residual momentum (VARMOM) - which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country inde
dc.description.sponsorship	National Science Centre of PolandNational Science Center, PolandNational Science Centre, Poland [2014/15/D/HS4/01235]
dc.language.iso	English
dc.publisher	INVESTMENT ANALYSTS SOC SOUTHERN AFRICA
dc.title	Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
dc.type	Article
dc.relation.firstpage	165
dc.relation.lastpage	191
dc.relation.volume	47
dc.relation.issue	2
dc.description.woscategory	Business, Finance
dc.description.wosresearcharea	Business & Economics
dc.identifier.wosid	WOS:000437346300006

Bu öğenin dosyaları:

Dosyalar	Boyut	Biçim	Göster
Bu öğe ile ilişkili dosya yok.