The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach

Author： Antoniou Antonios Galariotis Emilios C. Spyrou Spyros I.

Publisher： Routledge Ltd

ISSN： 1466-4305

Source： Applied Financial Economics, Vol.16, Iss.18, 2006-12, pp. : 1317-1329

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Do bubbles and time-varying risk premiums affect stock prices? a Kalman filter approach

By Chen Lii-Tarn Hueng C. James Lin Chien-fu Jeff

Global Business and Economics Review, Vol. 2, Iss. 2, 2005-02 ,pp. : 159-171

Inderscience Publishers

Access to resources Recommend Favorite

Stock return volatility in thinly traded markets. An empirical analysis of trading and non-trading processes for individual stocks in the Norwegian thinly traded equity market

By SOLIBAKKE P. B.

Applied Financial Economics, Vol. 10, Iss. 3, 2000-06 ,pp. : 299-310

Routledge Ltd

Access to resources Recommend Favorite

Time-varying risk components in the single-factor market model: an exact most powerful invariant test

By Shively Philip A.

Applied Financial Economics, Vol. 14, Iss. 13, 2004-09 ,pp. : 945-952

Routledge Ltd

Access to resources Recommend Favorite

Time varying term premia and risk: the case of the Spanish interbank money market

By FERNANDEZ M. DOLORES ROBLES FRUTOS RAFAEL FLOREZ DE

Applied Financial Economics, Vol. 10, Iss. 3, 2000-06 ,pp. : 243-260

Routledge Ltd

Access to resources Recommend Favorite

Testing the univariate conditional CAPM in thinly traded markets

By Solibakke Per Bjarte

Applied Financial Economics, Vol. 12, Iss. 10, 2002-10 ,pp. : 751-763

Routledge Ltd

Access to resources Recommend Favorite