Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios
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- repec:eee:beexfi:v:9:y:2016:i:c:p:63-80 is not listed on IDEAS
- Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2016.
"The trend is our friend: Risk parity, momentum and trend following in global asset allocation,"
Journal of Behavioral and Experimental Finance,
Elsevier, vol. 9(C), pages 63-80.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2012. "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," Discussion Papers 12/25, Department of Economics, University of York.
- Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas, 2013. "The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation," CAMA Working Papers 2013-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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More about this item
KeywordsInternational equity markets; firm size; momentum; trend following; tail risk;
- G0 - Financial Economics - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-05-16 (All new papers)
- NEP-FMK-2015-05-16 (Financial Markets)
- NEP-RMG-2015-05-16 (Risk Management)
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