The timing of low-volatility strategy
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DOI: 10.1016/j.frl.2017.05.014
Abstract: This study explores the role of investor attention impact on low-volatility strategy. Our evidence suggests that a low-volatility strategy for high investor attention stocks is more profitable than low investor attention stocks. Conditioned on high… read more here.
Keywords: volatility; investor attention; volatility strategy; low volatility ... See more keywords