Momentum and the cross-section of stock volatility

DOI10.1016/J.JEDC.2022.104524OpenAlexW4297180987MaRDI QIDQ2102873

Youwei Li, Fearghal Kearney, Minyou Fan, Jiadong Liu

Publication date: 12 December 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104524

zbMATH Keywords

volatility timingexcess volatilitycross-sectional momentumgeneralised risk-adjusted momentummomentum crashes

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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