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Investor Sentiment and Momentum and Contrarian Trading Strategies : Mutual Fund Evidence
Cullen, Grant - 2011
opportunities for momentum (contrarian) traders. We form hypothetical zero investment portfolios of high (low) sentiment betas … stocks, and show that momentum profits decompose to reveal positive (negative) serial correlation of idiosyncratic returns …, that contribute to momentum (contrarian) profits. Furthermore, actual mutual funds identified as momentum (contrarian …
Persistent link: https://www.econbiz.de/10013121460
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LGBT policy, investor trading behavior, and return comovement
Do, Hung Xuan; Nguyen Huong Giang; Nguyen, Nhut; … - In: Journal of economic behavior & organization : JEBO 196 (2022), pp. 457-483
Persistent link: https://www.econbiz.de/10013382341
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Comparative study of momentum and contrarian behavior of different investors : evidence from the Indian market
Chhimwal, Bhaskar; Bapat, Varadraj - In: Asia Pacific financial markets 28 (2021) 1, pp. 19-53
Persistent link: https://www.econbiz.de/10012486273
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Trend-following trading strategies in US stocks : a revisit
Szakmary, Andrew Charles; Lancaster, M. Carol - In: The financial review : the official publication of the … 50 (2015) 2, pp. 221-255
Persistent link: https://www.econbiz.de/10011282742
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How do momentum strategies 'score' against individual investors in Taiwan, Hong Kong and Korea?
Hung, Chi-Hsiou D.; Banerjee, Anurag Narayan - In: Emerging markets review 21 (2014), pp. 67-81
Persistent link: https://www.econbiz.de/10011304337
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Avoiding momentum crashes : dynamic momentum and contrarian trading
Dobrynskaja, V. V. - In: Journal of international financial markets, … 63 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012263335
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247
Persistent link: https://www.econbiz.de/10011590901
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Trading strategies based on past returns : evidence from Germany
Schmidt, Martin H. - In: Financial markets and portfolio management 31 (2017) 2, pp. 201-256
Persistent link: https://www.econbiz.de/10011944618
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Down but not out : plenty of returns available for shorted down stocks
Galariotis, Emilios; Li, Bob; Chai, Daniel - In: International review of financial analysis 63 (2019), pp. 296-306
Persistent link: https://www.econbiz.de/10012207470
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Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
bigger than after "normal" days. A trading robot approach is then used to establish whether these statistical anomalies can …
Persistent link: https://www.econbiz.de/10011789179