Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas

Journal of Financial Economics

Volumn 102, Issue 2, 2011, Pages 363-389

  Boguth, Oliver ^a   Carlson, Murray ^b   Fisher, Adlai ^b   Simutin, Mikhail ^c  

^a ARIZONA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c UNIVERSITY OF TORONTO   (Canada)

Author keywords

Conditional CAPM; Momentum; Performance evaluation; Volatility timing

Indexed keywords

EID: 80052759926     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2011.06.002     Document Type: Article

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