![]() ![]() ![]() A "peripheral peer momentum" strategy that uses only peripheral stocks’ influence for weighting in the signal construction achieves an annualized Sharpe ratio of 0.65, survives a battery of robustness tests, and helps explain industry momentum. Using our network and composite centrality estimates, we develop "peer momentum" trading strategies, which sort stocks on their industry peers’ past month average returns weighted by the peers’ influence in the industry. Office: (704) 358-2148 E-mail: Mailing Address: Federal Reserve Bank of Richmond 530 E. Join Facebook to connect with Daniela Scida and others you may know. We develop a stock-level composite centrality measure that captures multiple dimensions of a stock’s interdependence with its industry peers. View the profiles of people named Daniela Scida. Fagioli di spagna in insalata, Dr jeremy stern, Kada susiformavo baltu gentys. Our volatility connections are related to the vertical upstream/downstream potential of peer firms in the supply chain and to their technological closeness. Smote summertime lyrics, Danielle psaros, Eini mini song lyrics. Jeremy Stevenson, Guns cause more harm than good, The Eastern Progress. Using recent advances in network theory, we estimate the intra-industry volatility connectedness for US publicly traded companies going back to the 1920s. Tony G.Scida, Is campus prepared for fire, The Sun, Shenandoah University. SC Cleared Installation Design Authority (SCIDA) Location: Bristol or Cheltenham. ![]()
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