An explanation for momentum with a rational model under symmetric information - Evidence from cross country equity markets
Year of publication: |
2021
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Authors: | Koziol, Christian ; Proelss, Juliane |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 70.2021, p. 1-20
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Subject: | Reason for momentum | Market efficiency | Rational representative investor | Lognormal distribution | Time series momentum | Risk aversion | Cross-country evidence | Anlageverhalten | Behavioural finance | Aktienmarkt | Stock market | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Momentenmethode | Method of moments | Effizienzmarkthypothese | Efficient market hypothesis | Risikoaversion |
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