Alpha momentum and alpha reversal in country and industry equity indexes
Year of publication: |
2019
|
---|---|
Authors: | Zaremba, Adam ; Umutlu, Mehmet ; Karathanasopoulos, Andreas |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 53.2019, p. 144-161
|
Subject: | Alpha momentum | Alpha reversal | Asset pricing | Country momentum | Country reversal | Equity anomalies | Industry momentum | Industry reversal | International investment | The cross-section of returns return predictability | Kapitaleinkommen | Capital income | CAPM | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | Welt | World | Momentenmethode | Method of moments | Anlageverhalten | Behavioural finance | Prognoseverfahren | Forecasting model |
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