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Portfolio Returns, Market Volatility, and Seasonality

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  • Chen, Chao
  • Zhou, Zhong-Guo

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  • Chen, Chao & Zhou, Zhong-Guo, 2001. "Portfolio Returns, Market Volatility, and Seasonality," Review of Quantitative Finance and Accounting, Springer, vol. 17(1), pages 27-43, July.
    • Handle: RePEc:kap:rqfnac:v:17:y:2001:i:1:p:27-43
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    Cited by:

    1. Wan-Ni Lai & Yi-Ting Chen & Edward W. Sun, 2021. "Comonotonicity and low volatility effect," Annals of Operations Research, Springer, vol. 299(1), pages 1057-1099, April.
    2. Tienyu Hwang & Simon Gao & Heather Owen, 2014. "Markowitz efficiency and size effect: evidence from the UK stock market," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 721-750, November.
    3. Paulo Vitor Jordão da Gama Silva & Augusto F.C. Neto & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo pinto & Leonardo Lima Gomes, 2019. "Does the cryptocurrency market exhibits feedback trading?," Economics Bulletin, AccessEcon, vol. 39(4), pages 2830-2838.

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