Search Results - subject:"Momentum"

Constant leverage covering strategy for equity momentum portfolio with transaction costs

Negrete, Mario Enrique - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-25

The Constant Leverage covering strategy for the equity momentum portfolio (CLvg) developed in this project cannot mask … better than the momentum portfolio. This approach is different from other covering strategies available in the literature … that focus on increasing the right tail of the momentum returns distribution at a faster rate than they increase the left …

Persistent link: https://www.econbiz.de/10014636284

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

Quarterly seasonality and momentum strategy implementation

Folkinshteyn, Daniel; Moore, Jordan - In: Review of behavioral finance : RBF 15 (2023) 1, pp. 38-54

Persistent link: https://www.econbiz.de/10013536534

Temporal dynamics in acquisition behavior : the effects of activity load on strategic momentum

Keil, Thomas; Deutsch, Yuval; Laamanen, Tomi; Maula, Markku - In: Journal of management studies : JMS 60 (2023) 1, pp. 38-81

Persistent link: https://www.econbiz.de/10013478886

Free cash flows and price momentum

Fu, Jiajia; Xu, Fangming; Zeng, Cheng; Zheng, Liyi - In: Journal of accounting, auditing & finance : JAAF 39 (2024) 3, pp. 726-753

Persistent link: https://www.econbiz.de/10014584638

Impact of size and volume on cryptocurrency momentum and reversal

Fičura, Milan; Panoš, Jiří - 2023

Persistent link: https://www.econbiz.de/10014281589

Ride the trend : is there spread momentum profit in the US commodity markets?

Shang, Quanbiao; Serra, Teresa; García, Philip - In: Journal of agricultural economics : JAE 74 (2023) 1, pp. 24-47

Persistent link: https://www.econbiz.de/10014342507

A comprehensive investigation into style momentum strategies in China

Su, Chen - In: Financial markets and portfolio management 35 (2021) 1, pp. 101-144

Persistent link: https://www.econbiz.de/10012495904

Risk-managed time-series momentum: An emerging economy experience

Walia, Nidhi; Bekiros, Stelios; Gupta, Arushi; Kumar, … - In: Journal of Economics, Finance and Administrative Science 27 (2022) 54, pp. 328-343

Purpose - This research study aims to design a novel risk-managed time-series momentum approach. The present study also … examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk …-managed time-series momentum approach. Design/methodology/approach - The study considers the adjusted monthly closing prices of the …

Persistent link: https://www.econbiz.de/10014516450

Investment momentum : a two-dimensional behavioural strategy

Xu, Fangming; Zhao, Huainan; Zheng, Liyi - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1191-1207

Persistent link: https://www.econbiz.de/10012815007

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