Similar Search Results

Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?

Waszczuk, Antonia - In: Applied financial economics 23 (2013) 19/21, pp. 1497-1508

Persistent link: https://www.econbiz.de/10010259376

The effects of stock characteristics on the direction and extent of herding by foreign institutional investors in the Taiwan stock exchange

Fang, Hao; Lu, Yang-cheng; Yau, Hwey-yun - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 60-74

Persistent link: https://www.econbiz.de/10010402994

The 52-week high, momentum, and predicting mutual fund returns

Sapp, Travis R. A. - In: Review of quantitative finance and accounting 37 (2011) 2, pp. 149-179

Persistent link: https://www.econbiz.de/10009271479

Momentum effect in Indian stock market : a sectoral study

Garg, Ashish Kumar; Varshney, Pankaj - In: Global business review 16 (2015) 3, pp. 494-510

Persistent link: https://www.econbiz.de/10011409303

Time-series momentum trading strategies in the global stock market

Chakrabarti, Gagari - In: Business economics : the journal of the National … 50 (2015) 2, pp. 80-90

Persistent link: https://www.econbiz.de/10011413710

Momentum trading strategy and investment horizon : an experimental study

Khoroshilov, Yuri - In: Journal of economic studies 39 (2012) 1, pp. 4-12

Persistent link: https://www.econbiz.de/10009541859

Volatility, information feedback and market microstructure noise : a tale of two regimes

Andersen, Torben; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017 - This version: February 6, 2017

We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...

Persistent link: https://www.econbiz.de/10011613905

Stock return anomalies from ending-digit effects around the world

Chen, Tao - In: Global economic review 46 (2017) 4, pp. 464-494

Persistent link: https://www.econbiz.de/10011889146

Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies

Fičura, Milan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 385-401

Persistent link: https://www.econbiz.de/10012130976

Do fund managers time momentum? : evidence from mutual fund and hedge fund returns

Wang, Feifei; Zheng, Lingling - In: European financial management : the journal of the … 30 (2024) 1, pp. 55-91

Persistent link: https://www.econbiz.de/10014470412