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Price overreaction to up-limit events and revised momentum strategies in the Chinese stock market

Liu, Chenye; Wu, Ying; Zhu, Dongming - In: Economic modelling 114 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013367532

Can factor momentum beat momentum factor? : evidence from China

Ouyang, Ruolan; Zhang, Kun; Zhang, Xuan; Zhu, Dongming - In: Finance research letters 62 (2024) 1, pp. 1-12

While existing studies have not detected a significant standard momentum in the A-share market, recent literature has documented several modified momentum factors. Echoing the findings of Ehsani and Linnainmaa (2022), our study identifies strong factor momentum in the A-share market. Factor...

Persistent link: https://www.econbiz.de/10014530711

Circuit breakers and the tail index of equity returns

Galbraith, John W.; Zernov, Serguei - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 109-129

Persistent link: https://www.econbiz.de/10002214214

Testing for asymmetry in the link between the yield spread and output in the G7 countries

Galbraith, John W.; Tkacz, Greg - In: Journal of international money and finance 19 (2000) 5, pp. 657-672

Persistent link: https://www.econbiz.de/10001507009