Search Results - subject:"Stock momentum"

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

-priced stock momentum. Interestingly, none of the momentum factors can explain factor momentum. Moreover, combining the high …-priced stock momentum with the Chinese three-factor model outperforms other models in explaining 38 of 43 anomalies. Our study … suggests that individual stock momentum relates to factor momentum but may differ from it. …

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

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

Industry- and liquidity-based momentum in Australian equities

Tan, Yeng-May; Cheng, Fan Fah - In: Financial Innovation 5 (2019) 1, pp. 1-18

This study examined momentum profitability in Australia, providing further evidence for intermediate-term momentum profitability. Using data spanning different market states, we found that momentum was stronger after the global financial crisis. We also examined industry-level momentum...

Persistent link: https://www.econbiz.de/10012602836

Industry- and liquidity-based momentum in Australian equities

Tan, Yeng-May; Cheng, Fan Fah - In: Financial innovation : FIN 5 (2019) 43, pp. 1-18

Persistent link: https://www.econbiz.de/10012268501

Is factor momentum greater than stock momentum?

Falck, Antoine; Rej, Adam; Thesmar, David - In: The journal of investment strategies 10 (2021) 4, pp. 43-68

Persistent link: https://www.econbiz.de/10014335802

Business cycle, expected return and momentum payoffs

Chen, Jiun-Lin (Alex); Hwang, Hyoseok (David) - In: Finance research letters 29 (2019), pp. 83-89

Persistent link: https://www.econbiz.de/10012417954

Time-series momentum in nearly 100 years of stock returns

Lim, Bryan Y.; Wang, Jiaguo; Yao, Yaqiong - In: Journal of banking & finance 97 (2018), pp. 283-296

Persistent link: https://www.econbiz.de/10011968748

Industry Momentum at the End of the 20th Century

Giannikos, Christos I.; Ji, Xiuqing - In: International Journal of Business and Economics 6 (2007) 1, pp. 29-46

Previous studies are conflicting as to whether industry momentum can explain stock momentum. We revisit this issue … generated from two-way sort provides evidence that industry and individual stock momentum are independent of each other. …

Persistent link: https://www.econbiz.de/10010598936