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Pedro Barroso, Jr.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Pedro Barroso & Konark Saxena, 2022. "Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1222-1278.

    Cited by:

    1. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020. "Momentum and the Cross-Section of Stock Volatility," QBS Working Paper Series 2020/01, Queen's University Belfast, Queen's Business School.
    2. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).

  2. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.

    Cited by:

    1. Zhu, Haibin & Bai, Lu & He, Lidan & Liu, Zhi, 2023. "Forecasting realized volatility with machine learning: Panel data perspective," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 251-271.
    2. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
    3. Fabian Hollstein & Marcel Prokopczuk, 2023. "Managing the Market Portfolio," Management Science, INFORMS, vol. 69(6), pages 3675-3696, June.

  3. Barroso, Pedro & Detzel, Andrew, 2021. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 744-767.

    Cited by:

    1. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
    2. Cong Chen & Changsheng Hu & Hongxing Yao, 2022. "Noise Trader Risk and Wealth Effect: A Theoretical Framework," Mathematics, MDPI, vol. 10(20), pages 1-18, October.
    3. Wu, Yanran & Zhang, Chao, 2022. "Hard to arbitrage, hard for analysts to forecast," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
    5. Wang, Feifei & Yan, Xuemin Sterling, 2021. "Downside risk and the performance of volatility-managed portfolios," Journal of Banking & Finance, Elsevier, vol. 131(C).
    6. Abhishek Subramanian & Parthajit Kayal, 2023. "Application of Volatility-Managed Portfolios in the Context of a Volatility Index," Working Papers 2023-242, Madras School of Economics,Chennai,India.
    7. Andrew Detzel & Robert Novy‐Marx & Mihail Velikov, 2023. "Model Comparison with Transaction Costs," Journal of Finance, American Finance Association, vol. 78(3), pages 1743-1775, June.
    8. Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    9. Federico Nucera & Björn Uhl, 2022. "The impact of volatility scaling on factor portfolio performance and factor timing," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 522-533, October.
    10. Bianchi, Robert J. & Fan, John Hua & Miffre, Joëlle & Zhang, Tingxi, 2023. "Exploiting the dynamics of commodity futures curves," Journal of Banking & Finance, Elsevier, vol. 154(C).
    11. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
    12. Nick Taylor, 2023. "The Determinants of Volatility Timing Performance," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1228-1257.
    13. Hanauer, Matthias X. & Windmüller, Steffen, 2023. "Enhanced momentum strategies," Journal of Banking & Finance, Elsevier, vol. 148(C).

  4. Barroso, Pedro & Santa-Clara, Pedro, 2015. "Beyond the Carry Trade: Optimal Currency Portfolios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(5), pages 1037-1056, October.

    Cited by:

    1. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    2. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
    3. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    4. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    5. Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022. "The Term Structure of Currency Futures' Risk Premia," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
    6. Pedro Barroso & Jurij-Andrei Reichenecker & Marco J. Menichetti, 2022. "Hedging with an Edge: Parametric Currency Overlay," Management Science, INFORMS, vol. 68(1), pages 669-689, January.
    7. Vanja Piljak & Laurens Swinkels, 2017. "Fundamental indexation for developed, emerging, and frontier government bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 405-420, September.
    8. Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    9. Fabian Ackermann & Walt Pohl & Karl Schmedders, 2012. "Optimal and Naive Diversification in Currency Markets," Swiss Finance Institute Research Paper Series 12-36, Swiss Finance Institute.
    10. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    11. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
    12. Crespo Cuaresma, Jesus & Fortin, Ines & Hlouskova, Jaroslava, 2017. "Exchange rate forecasting and the performance of currency portfolios," Economics Series 326, Institute for Advanced Studies.
    13. Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner, 2021. "Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1825-1853, November.
    14. Fullwood, Jonathan & James, Jessica & Marsh, Ian W., 2021. "Volatility and the cross-section of returns on FX options," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1262-1284.
    15. Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O'Brien, John & O'Reilly, Philip & Sharma, Tripti, 2022. "Are carry, momentum and value still there in currencies?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    16. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    17. Rubaszek, Michał & Beckmann, Joscha & Ca' Zorzi, Michele & Kwas, Marek, 2022. "Boosting carry with equilibrium exchange rate estimates," Working Paper Series 2731, European Central Bank.
    18. Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
    19. Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021. "Exchange Rates and Sovereign Risk," CEPR Discussion Papers 16058, C.E.P.R. Discussion Papers.
    20. Mulder, Arjen & Tims, Ben, 2018. "Conditioning carry trades: Less risk, more return," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 1-19.
    21. Choi, Jae Hoon & Song, Seongho, 2022. "Revisiting the PPP puzzle: Nominal exchange rate rigidity and region of inaction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    22. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017. "Currency Value," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
    23. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
    24. Chandrinos, Spyros K. & Lagaros, Nikos D., 2018. "Construction of currency portfolios by means of an optimized investment strategy," Operations Research Perspectives, Elsevier, vol. 5(C), pages 32-44.
    25. Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
    26. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    27. Haas Ornelas, José Renato, 2019. "Expected currency returns and volatility risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
    28. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    29. Joenväärä, Juha & Kauppila, Mikko & Kahra, Hannu, 2021. "Hedge fund portfolio selection with fund characteristics," Journal of Banking & Finance, Elsevier, vol. 132(C).
    30. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
    31. Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016. "Currency Premia and Global Imbalances," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2161-2193.
    32. Riccardo Colacito & Steven J. Riddiough & Lucio Sarno, 2019. "Business Cycles and Currency Returns," NBER Working Papers 26299, National Bureau of Economic Research, Inc.
    33. Laborda, Ricardo, 2018. "Optimal combination of currency strategies," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 129-140.
    34. Bazán-Palomino, Walter & Winkelried, Diego, 2021. "FX markets’ reactions to COVID-19: Are they different?," International Economics, Elsevier, vol. 167(C), pages 50-58.
    35. Suh, Sangwon, 2019. "Unexploited currency carry trade profit opportunity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 236-254.
    36. Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021. "The Risk Premia of Energy Futures," Post-Print hal-03312959, HAL.
    37. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    38. Laborda, Ricardo & Laborda, Juan, 2017. "Can tree-structured classifiers add value to the investor?," Finance Research Letters, Elsevier, vol. 22(C), pages 211-226.
    39. Mitchener, Kris James & Pina, Gonçalo, 2020. "Pegxit pressure," Journal of International Money and Finance, Elsevier, vol. 107(C).
    40. Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2015. "Carry and Trend Following Returns in the Foreign Exchange Market," Discussion Papers 15/07, Department of Economics, University of York.
    41. Sakemoto, Ryuta, 2018. "Do precious and industrial metals act as hedges and safe havens for currency portfolios?," Finance Research Letters, Elsevier, vol. 24(C), pages 256-262.
    42. Ricardo Laborda & Ramiro Losada, 2017. "Why is investors'mutual fund market allocation far from the optimum?," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    43. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
    44. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    45. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
    46. Geert Bekaert & George Panayotov, 2019. "Good Carry, Bad Carry," NBER Working Papers 25420, National Bureau of Economic Research, Inc.
    47. Anna Boldizsár & Zalán Kocsis & Zsuzsa Nagy-Kékesi & Gábor Sztanó, 2020. "FX Forward Market in Hungary: General Characteristics and Impact of the COVID Crisis," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 19(3), pages 5-51.
    48. Fuertes, Ana-Maria & Zhao, Nan, 2022. "A Bayesian Perspective on Commodity Style Integration," MPRA Paper 117831, University Library of Munich, Germany, revised 2023.
    49. Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O’Brien, John & O’Reilly, Philip & Sharma, Tripti, 2022. "Technical trading rule profitability in currencies: It’s all about momentum," Research in International Business and Finance, Elsevier, vol. 63(C).
    50. Zaremba, Adam & Kizys, Renatas & Raza, Muhammad Wajid, 2020. "The long-run reversal in the long run: Insights from two centuries of international equity returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 177-199.
    51. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
    52. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    53. Harris, Richard D.F. & Shen, Jian & Yilmaz, Fatih, 2022. "Maximally predictable currency portfolios," Journal of International Money and Finance, Elsevier, vol. 128(C).
    54. Cenedese, Gino, 2015. "Safe haven currencies: a portfolio perspective," Bank of England working papers 533, Bank of England.
    55. Chen, Chih-Nan & Lin, Chien-Hsiu, 2020. "The sources of pricing factors underlying the cross-section of currency returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 250-265.
    56. Dupuy, Philippe, 2021. "Risk-adjusted return managed carry trade," Journal of Banking & Finance, Elsevier, vol. 129(C).
    57. Li, Danyang & Shi, Yukun & Xu, Liao & Xu, Yahua & Zhao, Yang, 2022. "Dynamic asymmetric dependence and portfolio management in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 48(C).
    58. Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
    59. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
    60. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
    61. Raúl Álvarez del Castillo Penna & José Antonio Núñez Mora & Leovardo Mata Mata, 2018. "Foreign Exchange Strategies Performance," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 195-245, Abril-Jun.
    62. Li, Danyang & Zhang, Zhekai & Cerrato, Mario, 2023. "Factor investing and currency portfolio management," International Review of Financial Analysis, Elsevier, vol. 87(C).
    63. A. Mikhailov Yu. & А. Михайлов Ю., 2018. "Доходность Стратегии Carry Trade // The Yield Of The Carry Trade Strategy," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(3), pages 52-63.
    64. Suk Joon Byun & Bart Frijns & Tai‐Yong Roh, 2018. "A comprehensive look at the return predictability of variance risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 425-445, April.
    65. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    66. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    67. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
    68. Baltussen, Guido & Swinkels, Laurens & Van Vliet, Pim, 2021. "Global factor premiums," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1128-1154.
    69. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017. "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers 12417, C.E.P.R. Discussion Papers.
    70. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020. "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin 1866, DIW Berlin, German Institute for Economic Research.

  5. Barroso, Pedro & Santa-Clara, Pedro, 2015. "Momentum has its moments," Journal of Financial Economics, Elsevier, vol. 116(1), pages 111-120.

    Cited by:

    1. Klaus Grobys & Topi Huhta-Halkola, 2019. "Combining value and momentum: evidence from the Nordic equity market," Applied Economics, Taylor & Francis Journals, vol. 51(26), pages 2872-2884, June.
    2. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    3. Lou, Dong & Polk, Christopher, 2022. "Comomentum: inferring arbitrage activity from return correlations," LSE Research Online Documents on Economics 109318, London School of Economics and Political Science, LSE Library.
    4. Michael Pinelis & David Ruppert, 2020. "Machine Learning Portfolio Allocation," Papers 2003.00656, arXiv.org, revised Nov 2021.
    5. Klaus Grobys & James W. Kolari & Jere Rutanen, 2022. "Factor momentum, option-implied volatility scaling, and investor sentiment," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 138-155, March.
    6. Fang, Yan & Yuan, Jie & Yang, J. Jimmy & Ying, Shangjun, 2022. "Crash-based quantitative trading strategies: Perspective of behavioral finance," Finance Research Letters, Elsevier, vol. 45(C).
    7. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    8. Dierkes, Maik & Krupski, Jan, 2022. "Isolating momentum crashes," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 1-22.
    9. Philip Nadler & Alessio Sancetta, 2023. "Empirical Asset Pricing with Functional Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1258-1281.
    10. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    11. Lin, Qi, 2019. "Residual momentum and the cross-section of stock returns: Chinese evidence," Finance Research Letters, Elsevier, vol. 29(C), pages 206-215.
    12. Kobana Abukari & Isaac Otchere, 2020. "Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 471-505, December.
    13. Adam Zaremba & George Kambouris, 2019. "The sources of momentum in international government bond returns," Applied Economics, Taylor & Francis Journals, vol. 51(8), pages 848-857, February.
    14. Fan, Minyou & Li, Youwei & Liu, Jiadong, 2017. "Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches," MPRA Paper 83510, University Library of Munich, Germany.
    15. Xingyue Pu & Stephen Roberts & Xiaowen Dong & Stefan Zohren, 2023. "Network Momentum across Asset Classes," Papers 2308.11294, arXiv.org.
    16. Li, Xingjian & Feng, Hongrui & Yan, Shu & Wang, Heng, 2021. "Dispersion in analysts’ target prices and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    17. Li, Lifang & Galvani, Valentina, 2018. "Market states, sentiment, and momentum in the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 249-265.
    18. Nicholas Apergis & Vasilios Plakandaras & Ioannis Pragidis, 2022. "Industry momentum and reversals in stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3093-3138, July.
    19. Chen, Tsung-Yu & Chou, Pin-Huang & Ko, Kuan-Cheng & Rhee, S. Ghon, 2021. "Non-parametric momentum based on ranks and signs," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 94-109.
    20. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    21. Zhu, Zhaobo & Sun, Licheng & Yung, Kenneth & Chen, Min, 2020. "Limited investor attention, relative fundamental strength, and the cross-section of stock returns," The British Accounting Review, Elsevier, vol. 52(4).
    22. Vasudevan, Ellapulli V., 2023. "Some gains are riskier than others: Volatility changes and the disposition effect," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 68-81.
    23. Bochuan Dai & Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Risk reduction using trailing stop‐loss rules," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1334-1352, December.
    24. Ling, Aifan & Huang, Xinrui & Ling, Boya (Vivye), 2022. "Fund immunity to the COVID-19 pandemic: Evidence from Chinese equity funds," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    25. Bradrania, Reza & Wu, Winston, 2023. "Foreign institutions, local investors and momentum trading," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 40-64.
    26. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    27. Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
    28. Nazaire, Gregory & Pacurar, Maria & Sy, Oumar, 2021. "Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?," Finance Research Letters, Elsevier, vol. 41(C).
    29. L. Lin & M. Schatz & D. Sornette, 2019. "A simple mechanism for financial bubbles: time-varying momentum horizon," Quantitative Finance, Taylor & Francis Journals, vol. 19(6), pages 937-959, June.
    30. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
    31. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
    32. Demirer, Rıza & Yuksel, Asli & Yuksel, Aydin, 2017. "Flight to quality and the predictability of reversals: The role of market states and global factors," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1445-1454.
    33. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
    34. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
    35. Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
    36. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    37. Vitor Azevedo & Georg Sebastian Kaiser & Sebastian Mueller, 2023. "Stock market anomalies and machine learning across the globe," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 419-441, September.
    38. Jangkoo Kang & Kyung Yoon Kwon, 2019. "How about selling commodity futures losers?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1489-1514, December.
    39. Weber, Martin & Jacobs, Heiko & Regele, Tobias, 2015. "Expected Skewness and Momentum," CEPR Discussion Papers 10601, C.E.P.R. Discussion Papers.
    40. Lin, Chaonan & Xia, Chuanxin & Yang, Nien-Tzu & Yang, Sheng-Yung, 2020. "Enhancing momentum profits in the Taiwan Stock Market: The role of extreme absolute strength," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    41. Igor Ferreira Batista Martins & Hedibert Freitas Lopes, 2023. "Stochastic volatility models with skewness selection," Papers 2312.00282, arXiv.org.
    42. Maurice McCourt, 2022. "Permanent private equity: Market performance and transactions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 339-383, June.
    43. Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021. "Asymmetry, tail risk and time series momentum," Post-Print hal-03511436, HAL.
    44. Francisco Peñaranda & Liuren Wu, 2022. "Targets, Predictability, and Performance," Management Science, INFORMS, vol. 68(2), pages 1537-1555, February.
    45. Alex YiHou Huang & Ming-Che Hu & Quang Thai Truong, 2021. "Asymmetrical impacts from overnight returns on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 849-889, April.
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