[HTML][HTML] A comprehensive investigation into style momentum strategies in China
C Su - Financial Markets and Portfolio Management, 2021 - Springer
This study conducts a comprehensive investigation into style momentum strategies—the
combination of price momentum strategies based on previous medium-term returns and …
combination of price momentum strategies based on previous medium-term returns and …
Herding and market volatility
T Fei, X Liu - International Review of Financial Analysis, 2021 - Elsevier
In this paper, we explore the impact of investor herding behavior on stock market volatility.
We adopt a direct herding measure based on the variation of cross-sectional stock betas …
We adopt a direct herding measure based on the variation of cross-sectional stock betas …
Do Chinese mutual funds time the market?
L Yi, Z Liu, L He, Z Qin, S Gan - Pacific-Basin Finance Journal, 2018 - Elsevier
This paper explores market timing abilities of Chinese mutual fund managers from the three
dimensions: market return, volatility, and liquidity. Using a sample of equity funds from July …
dimensions: market return, volatility, and liquidity. Using a sample of equity funds from July …
Forecasting Chinese stock market volatility with economic variables
W Cai, J Chen, J Hong, F Jiang - Emerging Markets Finance and …, 2017 - Taylor & Francis
This article investigates the forecasting power of economic variables for the Chinese stock
market volatility. We find that several economic variables strongly forecast the future monthly …
market volatility. We find that several economic variables strongly forecast the future monthly …
Cross-sectional return dispersion and volatility prediction
We use intraday and daily data to examine the impact of cross-sectional return dispersion on
volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and …
volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and …
Downside Risk-Parity Portfolio.
R Luo, H Wang, W Liu - Journal of Portfolio Management, 2022 - search.ebscohost.com
The authors propose in this article a downside risk-parity strategy for optimal asset
allocation. In contrast to the classical risk-parity strategy, this new strategy requires that each …
allocation. In contrast to the classical risk-parity strategy, this new strategy requires that each …
[BOOK][B] Improving Out-of-Sample Forecasts of Stock Price Indexes with Forecast Reconciliation and Clustering
This paper discusses the use of forecast reconciliation with stock price time series and the
corresponding stock index. The individual stock price series may be grouped using known …
corresponding stock index. The individual stock price series may be grouped using known …
Chinese stock market return predictability: adaptive complete subset regressions
K Chen, R Chen, X Zhang, M Zhu - Asia‐Pacific Journal of …, 2016 - Wiley Online Library
This paper proposes a new combination framework to explore the Chinese stock market
return predictability. While most well‐known predictor variables and simple combinations fail …
return predictability. While most well‐known predictor variables and simple combinations fail …
Forecasting stock return volatility: Realized volatility‐type or duration‐based estimators
In this paper, we study the predictive performance of two kinds of volatility estimators: the
realized volatility (RV) type and duration‐based ones. This is motivated by the theoretical …
realized volatility (RV) type and duration‐based ones. This is motivated by the theoretical …
How Much Can Machines Learn Finance from Chinese Text Data?
How much can we learn finance directly from text data? This paper presents a new
framework for learning textual data based on the factor augmentation model and sparsity …
framework for learning textual data based on the factor augmentation model and sparsity …