Next Article in Journal
Exploring Compliance of AAOIFI Shariah Standard on Ijarah Financing: Analysis on the Practices of Islamic Banks in Malaysia
Next Article in Special Issue
A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification
Previous Article in Journal
Banking Finance Experts Consensus on Compliance in US Bank Holding Companies: An e-Delphi Study
Previous Article in Special Issue
The Equity Curve and Its Relation to Future Stock Returns
Article

The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed

1
Discipline of Finance, Codrington Building (H69), The University of Sydney, Sydney NSW 2006, Australia
2
Trinity College, University of Cambridge, Cambridge CB2 1TQ, UK
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2020, 13(2), 27; https://doi.org/10.3390/jrfm13020027
Received: 13 January 2020 / Revised: 27 January 2020 / Accepted: 31 January 2020 / Published: 5 February 2020
(This article belongs to the Special Issue Modern Portfolio Theory)
In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the framework is extended to derive the corresponding results when the asset returns are multivariate Student’s t. In particular, we derive the probability density function and the moments of the cross-sectional momentum returns and examine in detail the special case of two underlying assets to demonstrate that many of the salient features reported in the empirical literature are consistent with the theoretical implications. View Full-Text
Keywords: cross sectional momentum; student’s t distribution; investment strategy cross sectional momentum; student’s t distribution; investment strategy
Show Figures

Figure 1

MDPI and ACS Style

Kwon, O.K.; Satchell, S. The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed. J. Risk Financial Manag. 2020, 13, 27. https://doi.org/10.3390/jrfm13020027

AMA Style

Kwon OK, Satchell S. The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed. Journal of Risk and Financial Management. 2020; 13(2):27. https://doi.org/10.3390/jrfm13020027

Chicago/Turabian Style

Kwon, Oh K.; Satchell, Stephen. 2020. "The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed" J. Risk Financial Manag. 13, no. 2: 27. https://doi.org/10.3390/jrfm13020027

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop