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Volatility by Stephane Mysona is a document available to read on EtoBox.
What is Volatility about?
This document investigates how stock market volatility predicts returns from trend-following investment strategies. It finds that trend factors perform significantly better following periods of high market volatility, averaging a risk-adjusted monthly return of 2.47% after high volatility periods versus lower returns after low volatility periods. The authors hypothesize that fundamental signals are less precise when markets are volatile, causing investors to rely more on trend signals. Regression analysis c
- Author
- Stephane Mysona
- Language
- EN