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Cross-border sentiment : an empirical analysis on EU stock markets

Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290

Persistent link: https://www.econbiz.de/10010399454

Profitability of technical stock trading : has it moved from daily to intraday data?

Schulmeister, Stephan - 2008

Persistent link: https://www.econbiz.de/10003852165

Profitability of technical stock trading: has it moved from daily to intraday data?

Schulmeister, Stephan - In: Review of financial economics : RFE 18 (2009) 4, pp. 190-201

Persistent link: https://www.econbiz.de/10003921414

The calendar impact and trading behavior : an empirical evidence from around the globe

Alrashidi, Faleh; Ahmed, Manzoor; Beneid, Fahad - In: International business and economics research journal 13 (2014) 5, pp. 1025-1031

Persistent link: https://www.econbiz.de/10011281012

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

Modeling the effects of investor sentiment and conditional volatility in international stock markets

Uygur, Utku; Taş, Oktay - In: Journal of applied finance & banking 2 (2012) 5, pp. 239-260

objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …

Persistent link: https://www.econbiz.de/10009673686

The new finance : overreaction, complexity, and uniqueness

Haugen, Robert A. - 2004 - 3. ed.

Persistent link: https://www.econbiz.de/10001786555

The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data

Schulmeister, Stephan - 2010

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...

Persistent link: https://www.econbiz.de/10013135708

Crowded Trades, Short Covering, and Momentum Crashes

Yan, Philip - 2014

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...

Persistent link: https://www.econbiz.de/10013057742

The idiosyncratic momentum anomaly

Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957

Persistent link: https://www.econbiz.de/10012487461

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