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Coskewness and reversal of momentum returns: The US and international evidence Journal article
Journal of Empirical Finance, 2022
Authors:  Dong, L.;  Dai, Y.;  Haque, T.;  Kot, H.W.;  Yamada, T.
Adobe PDF | Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2022/10/18
Reversal Risk  Coskewness  Momentum  
Are Higher Co-Moments Priced? A Tale of Two Countries Journal article
Journal of Financial Studies, 2020
Authors:  Keith Lam;  Liang Dong;  Hung Wan Kot
Favorite |  | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/11/14
Uk Stock Market  Higher Co-moments  Coskewness  Cokurtosis  China Stock Market  
Extreme downside risk and expected stock returns Journal article
Journal of Banking and Finance, 2012,Volume: 36,Issue: 5,Page: 1492
Authors:  Huang W.;  Liu Q.;  Ghon Rhee S.;  Wu F.
Favorite |  | TC[WOS]:63 TC[Scopus]:71 | Submit date:2018/10/30
Bankruptcy Risk  Extreme Downside Risk  Generalized Extreme Value Distribution  Idiosyncratic Risk