Momentum of Rated Corporate Bonds with Quantile Risk Adjustment
博士 === 國立臺灣大學 === 財務金融學研究所 === 105 === This dissertation proposes an overreaction detection method to capture the price reversals in the momentum cycle. Motivated by the absence of the momentum effect in invest-ment-grade (IG) bonds, which is uncommon for most financial assets, we verify the method...
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| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/t9ry6c |