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Momentum and contrarian effects in the Ukrainian stock market : case of daily overreactions
Plastun, Alex; Strochenko, Nataliya; Zhmaylova, Olga; … - In: Investment management and financial innovations 17 (2020) 1, pp. 24-34
Persistent link: https://www.econbiz.de/10012299781
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Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : evidence from the Chinese stock market
Shi, Huai-Long; Zhou, Wei-Xing - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013186512
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Industry momentum with correlation consolidation : evidence from China
Boubaker, Sabri; Du, Lechuan; Liu, Zhenya - In: The journal of asset management : a major new, … 23 (2022) 1, pp. 73-82
Persistent link: https://www.econbiz.de/10013170893
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Evolution of price effects after one-day abnormal returns in the US stock market
Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012822169
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An information diffusion model for momentum effect based on investor wealth
Yang, Haijun; Ge, Hengshun; Gao, Xinpeng - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013413450
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The asymmetric momentum effect in the Chinese Class A share market amid market swings
Wu, Yuan - In: Asia-Pacific financial markets 23 (2016) 1, pp. 107-136
Persistent link: https://www.econbiz.de/10011619885
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Artificial momentum, native contrarian, and transparency in China
Lin, Hung-Wen; Hung, Mao-Wei; Huang, Jing-Bo - In: Computational economics 51 (2018) 2, pp. 263-294
Persistent link: https://www.econbiz.de/10011963668
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A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis
Cao, Ruanmin; Horváth, Lajos; Liu, Zhenya; Zhao, Yuqian - In: Review of quantitative finance and accounting 54 (2020) 1, pp. 335-358
Persistent link: https://www.econbiz.de/10012232846
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Market anomalies and investor behaviour
Sharma, Aditya; Kumar, Arya; Vaish, Arun Kumar - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 1, pp. 62-81
Persistent link: https://www.econbiz.de/10013177293
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - 2013
Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive alphas relative to standard asset pricing models. However, the returns to momentum strategies are negatively skewed: they experience infrequent but strong and persistent strings...
Persistent link: https://www.econbiz.de/10010257503