Concepedia

Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies

Wenjie Ding, Khelifa Mazouz, Qingwei Wang

Journal of Empirical Finance · 2021 · 35 citations · 67 references

DOIFull text

Open access

Concepts

References

67

On Persistence in Mutual Fund Performance

Mark M. Carhart · The Journal of Finance · 1997 · 17K citations · Full text

, , +17

A five-factor asset pricing model

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 2014 · 7.8K citations

, , +12

Noise Trader Risk in Financial Markets

J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers et al. · Journal of Political Economy · 1990 · 6.4K citations · Full text

, , +17

Investor Sentiment and the Cross‐Section of Stock Returns

Malcolm Baker, Jeffrey Wurgler · The Journal of Finance · 2006 · 6.1K citations · Full text

, , +14

The Cross‐Section of Volatility and Expected Returns

Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · The Journal of Finance · 2006 · 4.8K citations

, , +17