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Overlapping momentum portfolios
Blanco, Ivan; Jesus, Miguel de; Remesal, Alvaro - In: Journal of empirical finance 72 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014476787
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Has momentum lost its momentum?
Bhattacharya, Debarati; Li, Wei-Hsien; Sonaer, Gokhan - In: Review of quantitative finance and accounting 48 (2017) 1, pp. 191-218
Persistent link: https://www.econbiz.de/10011796612
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Momentum effect in US stocks : an exponential effect
Alhenawi, Yasser - In: The empirical economics letters : a monthly … 12 (2013) 7, pp. 697-704
Persistent link: https://www.econbiz.de/10010363139
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Momentum: what do we know 30 years after Jegadeesh and Titman's seminal paper?
Wiest, Tobias - In: Financial markets and portfolio management 37 (2023) 1, pp. 95-114
Persistent link: https://www.econbiz.de/10014252609
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Retrieving almost stochastic Dominance momentum in Taiwan stock market
Chiang, Mi-Hsiu; Chiu, Hsin-Yu; Hsu, Yu-Chin - In: Pacific-Basin finance journal 83 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014491182
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Co-existence of short-term reversals and momentum in the Australian equity market
Chai, Daniel; Do, Binh - In: Australian journal of management 41 (2016) 1, pp. 55-76
Persistent link: https://www.econbiz.de/10011479122
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Anomalies, risk adjustment and seasonality : Australian evidence
Zhong, Angel; Limkriangkrai, Manapon; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218
Persistent link: https://www.econbiz.de/10010530242
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Re-examining differences between momentum and time series momentum among individual stocks
Mu, Yuandong; He, Chaohua - In: Applied economics letters 26 (2019) 18, pp. 1537-1543
Persistent link: https://www.econbiz.de/10012204837
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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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Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017
This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum … the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1 ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …
Persistent link: https://www.econbiz.de/10011906204