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Investor overreaction and global financial crisis : a case of Pakistan stock exchange
Said, Bahrawar; Shafiq ur Rehman; Ullah, Rizwan; Khan, Javed - In: Cogent economics & finance 9 (2021) 1, pp. 1-18
Recently, the investor overreaction catches the attention of the academicians and practitioners. The topic comes under … the limelight of academicians and policymakers. This study, therefore, addresses investor overreaction and its … significant overreaction (distinct reversal) in the stock market in the global-financial crisis period, which may attribute to the …
Persistent link: https://www.econbiz.de/10013184390
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Impact of short selling restrictions on informed momentum trading : Australian evidence
Gao, Yang; Leung, Henry - In: Pacific-Basin finance journal 45 (2017), pp. 103-115
Persistent link: https://www.econbiz.de/10011800846
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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The idiosyncratic momentum anomaly
Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957
Persistent link: https://www.econbiz.de/10012487461
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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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Do Fama-French common risk-factor portfolio investors herd on a daily basis? : implications for common risk-factor regressions
Senarathne, Chamil W. - In: Journal of capital markets studies 3 (2019) 2, pp. 137-156
Purpose - The purpose of this paper is to examine whether Fama-French common risk-factor portfolio investors herd on a daily basis for five developed markets, namely, Europe, Japan, Asia Pacific ex Japan, North America and Globe. Design/methodology/approach - To examine the herd behavior of...
Persistent link: https://www.econbiz.de/10012131684
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The effect of global crises on momentum profitability : evidence from the Indian stock market
Maheswari, Supriya; Dhankar, Raj S. - In: Vision : the journal of business perspective 21 (2017) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10011707923
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Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81
Persistent link: https://www.econbiz.de/10011973844
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Risk-managed industry momentum and momentum crashes
Grobys, Klaus; Ruotsalainen, Joni; Äijö, Janne - In: Quantitative finance 18 (2018) 10, pp. 1715-1733
Persistent link: https://www.econbiz.de/10012261906
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Momentum Without Crashes
Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022
We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...
Persistent link: https://www.econbiz.de/10014236192