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 …

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 …

The four risk factors controlling for the market, size, value and momentum effect have become a state …

The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it … examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre … and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy …

This thesis identifies and examines evidence of e-commerce in three large businesses (Woolworths, Momentum and Santam …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets … we consider. Overall, the model is generically able to reproduce the empirical evidence of momentum profits that …

with a long-short momentum portfolio. Within the same time period, a trading strategy using the sentiment scores from the … contemporaneous returns. The findings suggest that (i) the market underreacts to information contained in news articles, (ii) momentum …