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Breaking bad trends
Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10014576152
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Is factor momentum greater than stock momentum?
Falck, Antoine; Rej, Adam; Thesmar, David - In: The journal of investment strategies 10 (2021) 4, pp. 43-68
Persistent link: https://www.econbiz.de/10014335802
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Modeling momentum and reversals
Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10
Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...
Persistent link: https://www.econbiz.de/10013555665
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An empirical study of momentum and reversal in United States equity market
Jun, Wang - 2005
Persistent link: https://www.econbiz.de/10003384691
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Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments
Berényi, Zsolt Endre - 2003
Persistent link: https://www.econbiz.de/10001754325
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Pairs trading : the performance of a stochastic spread model with regime switching-evidence from the S&P 500
Yang, Jen-Wei; Tsai, Shu-Yu; Shyu, So-De; Chang, Chia-Chien - In: International review of economics & finance : IREF 43 (2016), pp. 139-150
Persistent link: https://www.econbiz.de/10011625559
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Maximal predictability under long-term mean reversion
Hjalmarsson, Erik - In: Journal of empirical finance 45 (2018), pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
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Mean reversals and stock market overreactions : further evidence from India
Saji, T. G. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 4, pp. 467-477
Persistent link: https://www.econbiz.de/10014331571
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Investigating mean reversion in financial markets using Hurst model
Enow, Samuel Tabot - 2023
Persistent link: https://www.econbiz.de/10014413995
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Intermediary-based equity term structure
Li, Kai; Xu, Chenjie - In: Journal of financial economics 157 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10015072447