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Industry herding and momentum strategies

Demirer, Rıza; Lien, Donald; Zhang, Huacheng - In: Pacific-Basin Finance Journal 32 (2015) C, pp. 95-110

This paper evaluates the impact of industry herding on return momentum. While the findings support that winner industries outperform loser industries in subsequent months, we find that the profitability of industry momentum strategies depends on the level of herding in an industry. Loser...

Persistent link: https://www.econbiz.de/10011263633

Industry herding and momentum strategies

Demirer, Rıza; Lien, Da-hsiang Donald; Zhang, Huacheng - In: Pacific-Basin finance journal 32 (2015), pp. 95-110

Persistent link: https://www.econbiz.de/10011471555

Downside risk for short long hedgers

Demirer, Rıza; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 12 (2003) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10001770018

Firm-level return dispersion and correlation asymmetry : challenges for portfolio diversification

Demirer, Rıza; Lien, Da-hsiang Donald - In: Applied financial economics 14 (2004) 6, pp. 447-456

Persistent link: https://www.econbiz.de/10001971231

Comparisons of short and long hedge performance : the case of Taiwan

Demirer, Rıza; Lien, Da-hsiang Donald; Shaffer, David Reed - In: Journal of multinational financial management 15 (2005) 1, pp. 51-66

Persistent link: https://www.econbiz.de/10002533658

Correlation and return dispersion dynamics in Chinese markets

Demirer, Rıza; Lien, Da-hsiang Donald - In: International review of financial analysis 14 (2005) 4, pp. 477-491

Persistent link: https://www.econbiz.de/10003117573

Herding and flash events : evidence from the 2010 Flash Crash

Demirer, Rıza; Leggio, Karyl B.; Lien, Da-hsiang Donald - In: Finance research letters 31 (2019), pp. 476-479

Persistent link: https://www.econbiz.de/10012421776

Does the stock market drive herd behavior in commodity futures markets?

Demirer, Rıza; Lee, Hsiang-Tai; Lien, Da-hsiang Donald - In: International review of financial analysis 39 (2015), pp. 32-44

Persistent link: https://www.econbiz.de/10011573052