Similar Search Results

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

Avoiding momentum crashes : dynamic momentum and contrarian trading

Dobrynskaja, V. V. - In: Journal of international financial markets, … 63 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012263335

Separating momentum from reversal in international stock markets

Walkshäusl, Christian; Weißofner, Florian; Wessels, Ulrich - In: The journal of asset management 20 (2019) 2, pp. 111-123

Persistent link: https://www.econbiz.de/10012059768

The trend is your friend : time-series momentum strategies across equity and commodity markets

Georgopoulou, Athina; Wang, Jiaguo - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1557-1592

Persistent link: https://www.econbiz.de/10011804328

Momentum trading in the NFL gambling market

Nofsinger, John R.; Shank, Corey A. - In: Finance research letters 55 (2023) 2, pp. 1-5

Persistent link: https://www.econbiz.de/10014473551

Escaping financial crises? : macro evidence from sovereign wealth funds' investment behaviour

Ciarlone, Alessio; Miceli, Valeria - In: Emerging markets review 27 (2016), pp. 169-196

Persistent link: https://www.econbiz.de/10011670965

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

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

Momentum in Imperial Russia

Goetzmann, William N.; Huang, Simon - In: Journal of financial economics 130 (2018) 3, pp. 579-591

Persistent link: https://www.econbiz.de/10012051352

Cryptocurrencies and momentum

Grobys, Klaus; Sapkota, Niranjan - In: Economics letters 180 (2019), pp. 6-10

Persistent link: https://www.econbiz.de/10012121731

1
2
3
4
5
6
7
8
9
10
Next
Last