Mean reversion of size-sorted portfolios and parametric contrarian strategies

ISSN： 0307-4358

Source： Managerial Finance, Vol.29, Iss.10, 2003-10, pp. : 5-21

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

U.S. Equity Mean-Reversion Examined

By Liew Jim Roberts Ryan

Risks, Vol. 1, Iss. 3, 2013-12 ,pp. : 162-175

MDPI

Access to resources Recommend Favorite

Trading currencies using moving averages - trend following versus contrarian strategies

By Dahlquist Julie R

Managerial Finance, Vol. 31, Iss. 5, 2005-05 ,pp. : 60-66

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Mean reversion in stock prices: evidence from emerging markets

By Chaudhuri Kausik Wu Yangru

Managerial Finance, Vol. 29, Iss. 10, 2003-10 ,pp. : 22-37

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios

By Fidan Keçeci Neslihan Kuzmenko Viktor Uryasev Stan

Journal of Risk and Financial Management, Vol. 9, Iss. 4, 2016-10 ,pp. : 11-11

MDPI

Access to resources Recommend Favorite

Mean-Reversion and Long Memory in the Stock Market Indexes of Some Latin American Countries

By Gil-Alana Luis A.

Latin American Business Review, Vol. 8, Iss. 1, 2007-06 ,pp. : 103-120

Haworth Press

Access to resources Recommend Favorite