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Are Islamic stock returns predictable? : a global perspective
Narayan, Paresh Kumar; Dinh Hoang Bach Phan; Sharma, … - In: Pacific-Basin finance journal 40 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011712064
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Commodity momentum : a tale of countries and sectors
Fan, John Hua; Qiao, Xiao - In: Journal of commodity markets 29 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014277613
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Economic importance of correlations for energy and other commodities
Bannigidadmath, Deepa; Narayan, Paresh Kumar - In: Energy economics 107 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013202421
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Sectoral and industrial performance during a stock market crisis
Ranjeeni, Kumari - In: Economic systems 38 (2014) 2, pp. 178-193
Persistent link: https://www.econbiz.de/10010459732
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Size matters : tail risk, momentum and trend following in international equity portfolios
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531062
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Black Monday, globalization and trading behavior of stock investors
Kurz-Kim, Jeong-Ryeol - 2016
investors behaved more as in the momentum strategy; and after Black Monday more as in the contrarian strategy. We argue that …
Persistent link: https://www.econbiz.de/10011486252
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Momentum, sovereign credit ratings and global equity markets
Grobys, Klaus - In: Applied economics letters 21 (2014) 16/18, pp. 1288-1292
Persistent link: https://www.econbiz.de/10010467472
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Momentum in global equity markets in times of troubles : does the economic state matter?
Grobys, Klaus - In: Economics letters 123 (2014) 1, pp. 100-103
Persistent link: https://www.econbiz.de/10010399032
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Size and momentum profitability in international stock markets
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015
We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big … stocks. Momentum premia are considerably diminished by trading costs, when taking into account the actual portfolio turnover …
Persistent link: https://www.econbiz.de/10011412159
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Has the pricing of stocks become more global?
Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015
We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...
Persistent link: https://www.econbiz.de/10011412487