Rethinking currency factors: The case for mean-variance optimisation
Fan, M., Kearney, F., Li, Y. & Liu, J., Aug 2026, In: Journal of International Money and Finance. 167, 29 p., 103636.Â
Optimizing currency factors
Fan, M., Kearney, F., Li, Y. & Liu, J., Nov 2025, In: The Financial Review. 60, 4, p. 1389-1414 26 p.
Understanding the performance of currency basis-momentum
Fan, M., Han, X., Li, A. & Liu, J., Nov 2025, In: European Financial Management. 31, 5, p. 1652-1678 27 p.
A reexamination of factor momentum: how strong is it?
Fan, M., Li, Y., Liao, M. & Liu, J., Aug 2022, In: The Financial Review. 57, 3, p. 585-615 31 p.
Momentum and the cross-section of stock volatility
Fan, M., Kearney, F., Li, Y. & Liu, J., Dec 2022, In: Journal of Economic Dynamics and Control. 144, 30 p., 104524.
Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches
Fan, M., Li, Y. & Liu, J., Dec 2018, In: Research in International Business and Finance. 46, p. 131-140