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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
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Modeling momentum and reversals
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
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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
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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
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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
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Nonrandom price movements
Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109
Persistent link: https://www.econbiz.de/10011596246
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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
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To phase or not to phase : quantifying the effect of phasing construction projects
Collan, Mikael; Savolainen, Jyrki - In: Nordic journal of business : NJB 69 (2020) 1, pp. 68-90
Persistent link: https://www.econbiz.de/10012305148
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Multifractal analysis of market efficiency across structural breaks : implications for the adaptive market hypothesis
Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 13 (2020) 10/248, pp. 1-18
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are...
Persistent link: https://www.econbiz.de/10012387122
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Time-varying price-volume relationship and adaptive market efficiency : a survey of the empirical literature
Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 12 (2019) 2/105, pp. 1-18
This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies....
Persistent link: https://www.econbiz.de/10012021910