摘要 : This paper examines the time variations of expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of momentum p... 展开
作者 | Kim~ Dongcheol Roh~ Tai-Yong Min~ Byoung-Kyu Byun~ Suk-Joon |
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作者单位 | |
期刊名称 | 《Journal of banking & finance》 |
页码/总页数 | 191-215 / 25 |
语种 | 英语 |
关键词 | Momentum Time-varying expected returns Markov switching regression model Business cycle Procyclicality Growth options |
DOI | 10.1016/j.jbankfin.2014.09.004 |
馆藏号 | F-139 |