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Discovering the drivers of stock market volatility in a data-rich world
Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014245870
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Time-series momentum in nearly 100 years of stock returns
Lim, Bryan Y.; Wang, Jiaguo; Yao, Yaqiong - In: Journal of banking & finance 97 (2018), pp. 283-296
Persistent link: https://www.econbiz.de/10011968748
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Is factor momentum greater than stock momentum?
Falck, Antoine; Rej, Adam; Thesmar, David - In: The journal of investment strategies 10 (2021) 4, pp. 43-68
Persistent link: https://www.econbiz.de/10014335802
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Predicting Momentum
Ma, Siyuan - 2022
This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...
Persistent link: https://www.econbiz.de/10013404733
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Linkage of size effect and behavioral risk in Indian equity market
George, Saji; Suresh, P. Srinivasa - In: Romanian journal of economic forecasting 22 (2019) 3, pp. 96-116
Persistent link: https://www.econbiz.de/10012420519
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Sources of risk and expected returns in global equity markets
Ferson, Wayne E.; Harvey, Campbell R. - 1994
Persistent link: https://www.econbiz.de/10000881184
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Can book-to-market, size and momentum be risk factors that predict economic growth?
Liew, Jimmy; Vassalou, Maria - 1999
Persistent link: https://www.econbiz.de/10001406203
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Equity anomalies and idiosyncratic risk around the world
Fan, Steve; Opsal, Scott; Yu, Linda - In: Multinational finance journal : MF ; quarterly … 19 (2015) 1/2, pp. 33-75
Persistent link: https://www.econbiz.de/10011434193
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The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets
Öztek, Mehmet Fatih; Öcal, Nadir - In: Empirical economics : a journal of the Institute for … 50 (2016) 2, pp. 317-360
Persistent link: https://www.econbiz.de/10011453995
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Dynamic factors and asset pricing : international and further U.S. evidence
He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Pacific-Basin finance journal 32 (2015), pp. 21-39
Persistent link: https://www.econbiz.de/10011471528