Search Results - subject:"Factor momentum"

Cross-country factor momentum

Fieberg, Christian; Metko, Daniel; Zaremba, Adam - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071373

Momentum: what do we know 30 years after Jegadeesh and Titman's seminal paper?

Wiest, Tobias - In: Financial markets and portfolio management 37 (2023) 1, pp. 95-114

Persistent link: https://www.econbiz.de/10014252609

Factor momentum, option-implied volatility scaling, and investor sentiment

Grobys, Klaus; Kolari, James W.; Rutanen, Jere - In: The journal of asset management : a major new, … 23 (2022) 2, pp. 138-155

Persistent link: https://www.econbiz.de/10013171033

A reexamination of factor momentum : how strong is it?

Fan, Minyou; Li, Youwei; Liao, Ming; Liu, Jiadong - In: The financial review : the official publication of the … 57 (2022) 3, pp. 585-615

Persistent link: https://www.econbiz.de/10013348717

Factor momentum in the Chinese stock market

Ma, Tian; Liao, Cunfei; Jiang, Fuwei - In: Journal of empirical finance 75 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014491862

Can factor momentum beat momentum factor? : evidence from China

Ouyang, Ruolan; Zhang, Kun; Zhang, Xuan; Zhu, Dongming - In: Finance research letters 62 (2024) 1, pp. 1-12

factor momentum in the A-share market. Factor momentum accounts for all modified momentum factors except for high …-priced stock momentum. Interestingly, none of the momentum factors can explain factor momentum. Moreover, combining the high … suggests that individual stock momentum relates to factor momentum but may differ from it. …

Persistent link: https://www.econbiz.de/10014530711

Improving factor momentum : statistical significance matters

Liu, Yangyi; Luo, Ronghua; Zhao, Senyang - In: Economics letters 233 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014507002

Factor momentum

Arnott, Robert D.; Kalesnik, Vitali; Linnainmaa, Juhani - In: The review of financial studies 36 (2023) 8, pp. 3034-3070

Persistent link: https://www.econbiz.de/10014320784

Cryptocurrency factor momentum

Fieberg, Christian; Liedtke, Gerrit; Metko, Daniel; … - In: Quantitative finance 23 (2023) 12, pp. 1853-1869

Persistent link: https://www.econbiz.de/10014452477

Cross-stock momentum and factor momentum

Yan, Jingda; Yu, Jialin - In: Journal of financial economics 150 (2023) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10014462602