Upside and Downside Risks in Momentum Returns
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References listed on IDEAS
- Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015.
"Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns,"
Staff Working Papers
15-12, Bank of Canada.
- Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2016. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," CIRANO Working Papers 2016s-21, CIRANO.
- Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
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- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
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More about this item
Keywordsmomentum; downside risk; downside beta; upside risk; upside beta; Downside-Risk CAPM;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-12-01 (All new papers)
- NEP-FMK-2015-12-01 (Financial Markets)
- NEP-RMG-2015-12-01 (Risk Management)
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