Author(s): Ana-Maria Fuertes, Cass Business School, Joelle Miffre, EDHEC Business School, France, Georgios Rallis, Private investor
This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 108
Author(s): Ana-Maria Fuertes, Cass Business School, Joëlle Miffre, EDHEC Business School, France, Wooi-Hou Tan, Cyberring Ltd., London
This paper investigates the extent to which the profitability of momentum strategies is a compensation for exposure to systematic departures from normality. We document that winner returns are more negatively skewed than loser returns, and that the winners exhibit higher positive kurtosis than the losers.
Updated: 01/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 16
Author(s): Ana-Maria Fuertes, Elena Kalotychou, Cass Business School, Marwan Izzeldin, Lancaster University
This paper presents a comprehensive study of whether augmenting generalized autoregressive conditional heteroskedasticity (GARCH) models by lagged realized volatilitities or by trading volume produces incremental forecast accuracy.
Updated: 01/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 17
Author(s): Vladimir Kaishev, Cass Business School
We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).
Updated: 06/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 22
Author(s): Bruce Hearn, Kate Phylaktis and Jenifer Piesse, Cass Business School
Emerging Markets Research Group, Cass Business School This study contrasts the ability of three liquidity constructs, the price-impact measure of Amihud (2002), the volume based turnover ratio, and the recently developed trading speed measure of Liu (2006) in explaining total trading costs for four large African emerging markets, Egypt, Morocco, Kenya and South Africa, as well as London and Paris.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 301
