Adjusted alphas

Mateus, Irina B., Mateus, Cesario and Todorovic, Natasa (2016) UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44. pp. 98-110. ISSN 1057-5219 (doi:10.1016/j.irfa.2016.01.004)

Carhart

Mateus, Irina B., Mateus, Cesario and Todorovic, Natasa (2016) UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44. pp. 98-110. ISSN 1057-5219 (doi:10.1016/j.irfa.2016.01.004)

country debt

Georgievska, Angelina, Georgievska, Ljubica, Stojanovic, Aleksandar and Todorovic, Natasa (2011) Country debt default probabilities in emerging markets: were credit rating agencies wrong? In: Kolb, Robert W., (ed.) Sovereign Debt: From Safety to Default. Kolb Series in Finance: Essential Perspectives . John Wiley & Sons, Inc., Hoboken, NJ, USA, pp. 353-360. ISBN 9780470922392 (doi:10.1002/9781118267073.ch39)

credit rating agency

Georgievska, Angelina, Georgievska, Ljubica, Stojanovic, Aleksandar and Todorovic, Natasa (2011) Country debt default probabilities in emerging markets: were credit rating agencies wrong? In: Kolb, Robert W., (ed.) Sovereign Debt: From Safety to Default. Kolb Series in Finance: Essential Perspectives . John Wiley & Sons, Inc., Hoboken, NJ, USA, pp. 353-360. ISBN 9780470922392 (doi:10.1002/9781118267073.ch39)

Cyclicality

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2016) A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49 (5). pp. 456-476. ISSN 0003-6846 (Print), 1466-4291 (Online) (doi:10.1080/00036846.2016.1200184)

default probability

Georgievska, Angelina, Georgievska, Ljubica, Stojanovic, Aleksandar and Todorovic, Natasa (2011) Country debt default probabilities in emerging markets: were credit rating agencies wrong? In: Kolb, Robert W., (ed.) Sovereign Debt: From Safety to Default. Kolb Series in Finance: Essential Perspectives . John Wiley & Sons, Inc., Hoboken, NJ, USA, pp. 353-360. ISBN 9780470922392 (doi:10.1002/9781118267073.ch39)

emerging markets

Georgievska, Angelina, Georgievska, Ljubica, Stojanovic, Aleksandar and Todorovic, Natasa (2011) Country debt default probabilities in emerging markets: were credit rating agencies wrong? In: Kolb, Robert W., (ed.) Sovereign Debt: From Safety to Default. Kolb Series in Finance: Essential Perspectives . John Wiley & Sons, Inc., Hoboken, NJ, USA, pp. 353-360. ISBN 9780470922392 (doi:10.1002/9781118267073.ch39)

Fama-French

Mateus, Irina B., Mateus, Cesario and Todorovic, Natasa (2016) UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44. pp. 98-110. ISSN 1057-5219 (doi:10.1016/j.irfa.2016.01.004)

Fama-French (Carhart) factor adjustment

Chinthalapati, Venkata, Mateus, Cesario and Todorovic, Natasa (2017) Alphas in disguise: A new approach to uncovering them. International Journal of Finance and Economics, 22 (3). pp. 234-243. ISSN 1076-9307 (Print), 1099-1158 (Online) (doi:10.1002/ijfe.1581)

Fama–French five-factor model

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2017) US sector rotation with five-factor Fama–French alphas. Journal of Asset Management, 19 (2). pp. 116-132. ISSN 1470-8272 (Print), 1479-179X (Online) (doi:10.1057/s41260-017-0067-2)

Kaplan-Meier estimator

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2018) A guide to survival of momentum in UK style portfolios. International Journal of Banking, Accounting and Finance, 9 (2). pp. 192-224. ISSN 1755-3830 (Print), 1755-3849 (Online) (doi:10.1504/IJBAAF.2018.092134)

Macroeconomic determinants

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2016) A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49 (5). pp. 456-476. ISSN 0003-6846 (Print), 1466-4291 (Online) (doi:10.1080/00036846.2016.1200184)

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2015) Macroeconomic determinants of cyclical variations in value, size and momentum premiums in the UK. In: FMA European Conference, 11-12 June 2015, Ca' Foscari University, Venice.

Markov Switching

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2015) Macroeconomic determinants of cyclical variations in value, size and momentum premiums in the UK. In: FMA European Conference, 11-12 June 2015, Ca' Foscari University, Venice.

Momentum survival

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2018) A guide to survival of momentum in UK style portfolios. International Journal of Banking, Accounting and Finance, 9 (2). pp. 192-224. ISSN 1755-3830 (Print), 1755-3849 (Online) (doi:10.1504/IJBAAF.2018.092134)

mutual funds

Mateus, Cesario, Sarwar, G (Sohan) ORCID: https://orcid.org/0000-0003-3060-887X and Todorovic, Natasa (2022) Does equity mutual fund factor-risk-shifting pay off? Evidence from the US. European Journal of Finance, 29 (4). ISSN 1351-847X (Print), 1466-4364 (Online) (doi:10.1080/1351847X.2022.2071629)

non-zero benchmark alphas

Chinthalapati, Venkata, Mateus, Cesario and Todorovic, Natasa (2017) Alphas in disguise: A new approach to uncovering them. International Journal of Finance and Economics, 22 (3). pp. 234-243. ISSN 1076-9307 (Print), 1099-1158 (Online) (doi:10.1002/ijfe.1581)

optimisation algorithm

Chinthalapati, Venkata, Mateus, Cesario and Todorovic, Natasa (2017) Alphas in disguise: A new approach to uncovering them. International Journal of Finance and Economics, 22 (3). pp. 234-243. ISSN 1076-9307 (Print), 1099-1158 (Online) (doi:10.1002/ijfe.1581)

performance

Mateus, Cesario, Sarwar, G (Sohan) ORCID: https://orcid.org/0000-0003-3060-887X and Todorovic, Natasa (2022) Does equity mutual fund factor-risk-shifting pay off? Evidence from the US. European Journal of Finance, 29 (4). ISSN 1351-847X (Print), 1466-4364 (Online) (doi:10.1080/1351847X.2022.2071629)

Performance evaluation

Chinthalapati, Venkata, Mateus, Cesario and Todorovic, Natasa (2017) Alphas in disguise: A new approach to uncovering them. International Journal of Finance and Economics, 22 (3). pp. 234-243. ISSN 1076-9307 (Print), 1099-1158 (Online) (doi:10.1002/ijfe.1581)

risk shifting

Mateus, Cesario, Sarwar, G (Sohan) ORCID: https://orcid.org/0000-0003-3060-887X and Todorovic, Natasa (2022) Does equity mutual fund factor-risk-shifting pay off? Evidence from the US. European Journal of Finance, 29 (4). ISSN 1351-847X (Print), 1466-4364 (Online) (doi:10.1080/1351847X.2022.2071629)

Sector rotation

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2017) US sector rotation with five-factor Fama–French alphas. Journal of Asset Management, 19 (2). pp. 116-132. ISSN 1470-8272 (Print), 1479-179X (Online) (doi:10.1057/s41260-017-0067-2)

Size

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2016) A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49 (5). pp. 456-476. ISSN 0003-6846 (Print), 1466-4291 (Online) (doi:10.1080/00036846.2016.1200184)

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2015) Macroeconomic determinants of cyclical variations in value, size and momentum premiums in the UK. In: FMA European Conference, 11-12 June 2015, Ca' Foscari University, Venice.

structural breaks

Mateus, Cesario, Sarwar, G (Sohan) ORCID: https://orcid.org/0000-0003-3060-887X and Todorovic, Natasa (2022) Does equity mutual fund factor-risk-shifting pay off? Evidence from the US. European Journal of Finance, 29 (4). ISSN 1351-847X (Print), 1466-4364 (Online) (doi:10.1080/1351847X.2022.2071629)

Style portfolios

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2018) A guide to survival of momentum in UK style portfolios. International Journal of Banking, Accounting and Finance, 9 (2). pp. 192-224. ISSN 1755-3830 (Print), 1755-3849 (Online) (doi:10.1504/IJBAAF.2018.092134)

style risk

Mateus, Cesario, Sarwar, G (Sohan) ORCID: https://orcid.org/0000-0003-3060-887X and Todorovic, Natasa (2022) Does equity mutual fund factor-risk-shifting pay off? Evidence from the US. European Journal of Finance, 29 (4). ISSN 1351-847X (Print), 1466-4364 (Online) (doi:10.1080/1351847X.2022.2071629)

Trading strategies

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2018) A guide to survival of momentum in UK style portfolios. International Journal of Banking, Accounting and Finance, 9 (2). pp. 192-224. ISSN 1755-3830 (Print), 1755-3849 (Online) (doi:10.1504/IJBAAF.2018.092134)

Trading strategy

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2015) Macroeconomic determinants of cyclical variations in value, size and momentum premiums in the UK. In: FMA European Conference, 11-12 June 2015, Ca' Foscari University, Venice.

Two-state Markov switching model

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2016) A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49 (5). pp. 456-476. ISSN 0003-6846 (Print), 1466-4291 (Online) (doi:10.1080/00036846.2016.1200184)

UK Equity funds performance

Mateus, Irina B., Mateus, Cesario and Todorovic, Natasa (2016) UK equity mutual fund alphas make a comeback. International Review of Financial Analysis, 44. pp. 98-110. ISSN 1057-5219 (doi:10.1016/j.irfa.2016.01.004)

US sectors Performance

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2017) US sector rotation with five-factor Fama–French alphas. Journal of Asset Management, 19 (2). pp. 116-132. ISSN 1470-8272 (Print), 1479-179X (Online) (doi:10.1057/s41260-017-0067-2)

Value and momentum premiums

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2016) A tale of two states: asymmetries in the UK small, value and momentum premiums. Applied Economics, 49 (5). pp. 456-476. ISSN 0003-6846 (Print), 1466-4291 (Online) (doi:10.1080/00036846.2016.1200184)

Sarwar, Golam ORCID: https://orcid.org/0000-0003-3060-887X, Mateus, Cesario and Todorovic, Natasa (2015) Macroeconomic determinants of cyclical variations in value, size and momentum premiums in the UK. In: FMA European Conference, 11-12 June 2015, Ca' Foscari University, Venice.