Maximum Drawdown, Recovery, and Momentum
We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these alternative selection criteria are superior not only in for...
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
MDPI AG
2021
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/0b95c468ba4c49ab8f861fd695b32a90 |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|