Tactical allocation in falling stocks: Combining momentum and solvency ratio signals
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More about this item
Keywords
falling stocks; contrarian investing; financial strength ratios; GARCH in mean model; Augmented Dickey-Fuller test;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2012-02-08 (Financial Markets)
- NEP-RMG-2012-02-08 (Risk Management)
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