Risk Adjustment and Trading Strategies

By D. Ahn, Jennifer S. Conrad, Robert F. Dittmar. 2003

153 citations recorded by the source corpus.

Subfields: Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/2dcda32c40630d621af09d0328837cf6e6561cb2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Lasse Heje Pedersen
2. Yao Hua Ooi
3. Tobias J. Moskowitz
4. John M. Griffin
5. P. Kelly
6. Federico Nardari
7. Licheng Sun
8. Chris Stivers

In Strategy and Management

1. Tobias J. Moskowitz
2. Lasse Heje Pedersen
3. Licheng Sun
4. Federico Nardari
5. Chris Stivers
6. Hyun Song Shin

Citations in the corpus

• Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008, unknown): “Ahn, Conrad, and Dittmar (2003) show that their nonparametric risk adjustment can account for roughly halfofmomentumprofits.PastorandStambaugh(2003)documentthataliquidity risk factor also accounts for half of momentum profits.”
• Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014, unknown): “…analyze the profitability of trading strategies based on a variety of technical indicators, including filter rules (Fama and Blume 1966), moving averages (Brock et al. 1992, Zhu and Zhou 2009), momentum (Conrad and Kaul 1998, Ahn et al. 2003), and automated pattern recognition (Lo et al. 2000).”
• Market States and Momentum (2004, unknown): “Ahn, Conrad, and Dittmar (2002) and Yao (2002) employ nonparametric methods and show that systematic factors explain momentum.”
• Sparse Signals in the Cross‐Section of Returns (2018, unknown): “, 1991), positive autocorrelation at horizons between 3 and 12 months (Jegadeesh, 1990; Jegadeesh and Titman, 1993; Asness, 1994; Chan et al., 1996; Carhart, 1997), and negative autocorrelation at horizons longer than a year (De Bondt and Thaler, 1985). Moskowitz et al. (2012) show that momentum is ”
• Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums (2010, background): “See the following alphabetical list (to name a few): Ahn, Conrad, and Dittmar (2003), Avramov and Chordia (2006), Bulkley and Nawosah (2009), Chordia and Shivakumar (2002), Conrad and Kaul (1998), Cooper, Gutierrez, and Hameed (CGH) (2004), Fama and French (1993), (1996), (1998), (2008), Gomes,…”
• Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010, background): “Those finding some evidence for risk-based explanations, such as Ahn, Conrad, and Dittmar (2003), conclude that only part of the profits can be explained by risk.”
• Time Series Momentum (2012, background): “& 2011 Elsevier B.V. Open access under CC BY-NC-ND license.”