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Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2024

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 …

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Prospect theory, the disposition effect, and asset prices

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Firm market performance and volatility in a national real estate sector

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Combining momentum with reversal in commodity futures

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Momentum is really short-term momentum

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The impact of daily return limit and segmented clientele on stock returns in China

Kedar-Levy, Haim; Yu, Xiaoyan; Kamesaka, Akiko; … - In: International review of financial analysis 19 (2010) 4, pp. 223-236

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Is there momentum or reversal in weekly currency returns?

Raza, Ahmad; Marshall, Ben R.; Visaltanachoti, Nuttawat - In: Journal of international money and finance 45 (2014), pp. 38-60

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Product market competition and intermediate-term momentum

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Price discovery in the small and in the large : momentum and reversal, bubbles, and crashes

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Market efficiency in foreign exchange market

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