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Mean reversion and momentum in Central and Eastern European countries : a case study on Poland and Romania

Klein, Alina F.; Klein, Rudolf F. - In: International journal of economics and finance 11 (2019) 1, pp. 129-139

Persistent link: https://www.econbiz.de/10011962542

Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we …

Persistent link: https://www.econbiz.de/10013555665

Leveraged investments and agency conflicts when cash flows are mean reverting

Glover, Kristoffer J.; Hambusch, Gerhard - In: Journal of economic dynamics & control 67 (2016), pp. 1-21

Persistent link: https://www.econbiz.de/10011708382

Momentum trading, mean reversal and overreaction in Chinese stock market

Wu, Yangru - In: Review of quantitative finance and accounting 37 (2011) 3, pp. 301-323

Persistent link: https://www.econbiz.de/10009301286

Momentum and mean reversion in regional housing markets : evidence from variance ratio tests

Oikarinen, Elias; Schindler, Felix - In: International journal of strategic property management 19 (2015) 3, pp. 220-234

Persistent link: https://www.econbiz.de/10011544976

Nonrandom price movements

Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109

Persistent link: https://www.econbiz.de/10011596246

A real options approach to distressed property Borrower-Lender reconciliation

Moore, David J.; Ikromov, Nuriddin - In: Journal of mathematical finance 5 (2015) 1, pp. 73-81

Persistent link: https://www.econbiz.de/10011398644

Risk assessment of generation investment

Su, J; Wu, FF - 2005

This paper proposes an improved approach to risk assessment of generation investment in the new deregulated environment using the option pricing theory. A more realistic model for electricity price in the application of real option pricing method for generation asset valuation is proposed, which...

Persistent link: https://www.econbiz.de/10009471372

Momentum and mean reversion in regional housing markets: Evidence from variance ratio tests

Oikarinen, Elias - 2010

do not follow random walk in any of the 15 Finnish cities included in the analysis. Instead, momentum in housing price … movements. The results also show that the momentum and reversion patterns may substantially vary between regional housing …

Persistent link: https://www.econbiz.de/10012503015

Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets

Serban, Alina - Department of Economics, College of Business and Economics - 2009

The literature on equity markets documents the existence of mean reversion and momentum phenomena. Researchers in … foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion. This … paper implements a trading strategy combining mean reversion and momentum in foreign exchange markets. The strategy was …

Persistent link: https://www.econbiz.de/10008509473

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