6/20/2023 0 Comments Return on maximum drawdown![]() ![]() Management Review Quarterly, Springer, vol. " Momentum investing: a systematic literature review and bibliometric analysis," International Review of Financial Analysis, Elsevier, vol. " Momentum universe shrinkage effect in price momentum," Jaehyung Choi & Sungsoo Choi & Wonseok Kang, 2012." Maximum drawdown, recovery, and momentum," These are the items that most often cite the same works as this one and are cited by the same works as this one. 25(4), pages 477-478, December.įull references (including those not matched with items on IDEAS) Fabozzi: Financial models with Lévy processes and volatility clustering,"įinancial Markets and Portfolio Management, Springer Swiss Society for Financial Market Research, vol. ![]() Journal of Financial Markets, Elsevier, vol. " Liquidity and stock returns: An alternative test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. Journal of Financial Economics, Elsevier, vol. " Common risk factors in the returns on stocks and bonds," Journal of Banking & Finance, Elsevier, vol. " Momentum strategies based on reward-risk stock selection criteria,"
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