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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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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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Breaking bad trends
Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10014576152
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Momentum and mean reversion in strategic asset allocation
Koijen, Ralph S. J.; Rodríguez, Juan Carlos; Sbuelz, … - In: Management science : journal of the Institute for … 55 (2009) 7, pp. 1199-1213
Persistent link: https://www.econbiz.de/10003864233
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Short-horizon asymmetric mean-reversion and overreactions : evidence from the Nordic stock markets
Kulp-Tåg, Sofie (contributor) - 2007
Persistent link: https://www.econbiz.de/10003437447
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Implication of the Kelly criterion for multi-dimensional processes
Lv, Yingdong; Meister, Bernhard K. - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 93-112
Persistent link: https://www.econbiz.de/10008860421
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Does the Tunisian stock market overreact?
Hammami, Fatma; Abaoub, Ezzeddine - In: Risk management and value : valuation and asset price, (pp. 437-462). 2008
Persistent link: https://www.econbiz.de/10003686200
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Evidence for time-dependent structures in financial data series over long timescales : opportunities for dynamic market risk allocation
Coutts, Julian - In: The journal of asset management 8 (2007/08) 3, pp. 152-160
Persistent link: https://www.econbiz.de/10003543568
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Erklärung von "Mean Reversion" auf internationalen Aktienmärkten
Tolksdorf, Norbert - 2002
Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...
Persistent link: https://www.econbiz.de/10011402080
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An extrapolative model of house price dynamics
Glaeser, Edward L.; Nathanson, Charles G. - 2015
Persistent link: https://www.econbiz.de/10010510698