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Bootstrap rolling-window Granger causality dynamics between momentum and sentiment : implications for investors
Nakhli, Mohamed Sahbi; Dhaoui, Abderrazak; Chevallier, … - In: Annals of finance 18 (2022) 2, pp. 267-283
Persistent link: https://www.econbiz.de/10013278987
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Sources of momentum profits: bootstrap methods
Nakhli, Mohamed Sahbi; Belkacem, Lotfi - In: Managerial Finance 39 (2013), pp. 607-619
Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the...
Persistent link: https://www.econbiz.de/10010691528
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Sources of momentum profits: bootstrap methods
Nakhli, Mohamed Sahbi; Belkacem, Lotfi - In: Managerial Finance 39 (2013), pp. 607-619
Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the...
Persistent link: https://www.econbiz.de/10010709744
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Sources of momentum profits: bootstrap methods
Sahbi Nakhli, Mohamed; Belkacem, Lotfi - In: Managerial Finance 39 (2013) 6, pp. 607-619
Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the...
Persistent link: https://www.econbiz.de/10014940303