"Factor momentum" - Selaus asiasanan mukaanArtikkelit

    • Factor momentum, option-implied volatility scaling, and investor sentiment 

      Grobys, Klaus; Kolari, James W.; Rutanen, Jere (Palgrave Macmillan, 03.07.2021)
      article
      Factor momentum produces robust average returns that exhibit a similar economic magnitude as stock price momentum. To the extent that the post-earnings announcement drift (PEAD) factor captures mispricing, winner factors ...