Performance of technical analysis in growth and small cap segments of the US equity market
A Shynkevich - Journal of Banking & Finance, 2012 - Elsevier
A large universe of technical trading rules applied to a set of technology industry and small
cap sector portfolios over the 1995–2010 period yields superior predictability after adjusting …
cap sector portfolios over the 1995–2010 period yields superior predictability after adjusting …
REIT momentum and characteristic-related REIT returns
PR Goebel, DM Harrison, JM Mercer… - The Journal of Real Estate …, 2013 - Springer
Recent evidence confirms that in factor-model examinations of the cross-section of REIT
returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of …
returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of …
Momentum strategies and investor sentiment in the REIT market
Comparing across three momentum measures, we empirically find that the 52‐week high
strategy plays a dominant role in generating momentum profits in the R eal E state I …
strategy plays a dominant role in generating momentum profits in the R eal E state I …
Gains from active bond portfolio management strategies
NE Boyd, JM Mercer - The Journal of Fixed Income, 2010 - pm-research.com
The belief that excess returns can be achieved by correctly timing changes in yields and/or
yield spreads motivates active bond portfolio management strategies. Given the rich …
yield spreads motivates active bond portfolio management strategies. Given the rich …
Rethinking macroeconomic policy within a simple dynamic model
We propose a simple macro‐dynamic model to rethink standard policy prescriptions. Our
model includes exogenous growth, endogenous capital accumulation and debt, demand …
model includes exogenous growth, endogenous capital accumulation and debt, demand …
[CITATION][C] Short-Term Time-Series Predictability in Bond Returns: A Comprehensive Analysis across Bond Market Segments, Maturity Ranges, Credit Ratings …
A Shynkevich