Left-tail momentum : underreaction to bad news, costly arbitrage and equity returns
Year of publication: |
2020
|
---|---|
Authors: | Atilgan, Yigit ; Bali, Turan G. ; Demirtas, K. Ozgur ; Günaydin, A. Doruk |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 135.2020, 3, p. 725-753
|
Subject: | Costly arbitrage | Equity returns | Investor inattention | Left-tail risk | Momentum | Retail investors | Kapitaleinkommen | Capital income | Arbitrage | Anlageverhalten | Behavioural finance | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Kapitalanlage | Financial investment | Ankündigungseffekt | Announcement effect |
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