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Mean reversion and momentum in Central and Eastern European countries : a case study on Poland and Romania

Klein, Alina F.; Klein, Rudolf F. - In: International journal of economics and finance 11 (2019) 1, pp. 129-139

Persistent link: https://www.econbiz.de/10011962542

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

Leveraged investments and agency conflicts when cash flows are mean reverting

Glover, Kristoffer J.; Hambusch, Gerhard - In: Journal of economic dynamics & control 67 (2016), pp. 1-21

Persistent link: https://www.econbiz.de/10011708382

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

Momentum and mean reversion in regional housing markets : evidence from variance ratio tests

Oikarinen, Elias; Schindler, Felix - In: International journal of strategic property management 19 (2015) 3, pp. 220-234

Persistent link: https://www.econbiz.de/10011544976

Nonrandom price movements

Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109

Persistent link: https://www.econbiz.de/10011596246

Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets

Serban, Alina - Department of Economics, College of Business and Economics - 2009

The literature on equity markets documents the existence of mean reversion and momentum phenomena. Researchers in … foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion. This … paper implements a trading strategy combining mean reversion and momentum in foreign exchange markets. The strategy was …

Persistent link: https://www.econbiz.de/10008509473

How can defined contribution pension plans benefit from momentum and mean reversion ?

Chetouane, Mabrouk - Université Paris-Dauphine (Paris IX) - 2011

a continuous portfolio choice model, in which stock returns exhibit both momentum and mean reversion, DC plan members … candidate and we show how a DC plan investor can benefit from market opportunities by taking advantage of the momentum and mean …

Persistent link: https://www.econbiz.de/10010707175

Is there a scientific basis for accounting? : implications for practice, research, and education

Basu, Sudipta - In: Journal of international accounting research 14 (2015) 2, pp. 235-265

Persistent link: https://www.econbiz.de/10011429489

Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - In: The European journal of finance 21 (2015) 4/6, pp. 292-315

Persistent link: https://www.econbiz.de/10010528197

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