momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in …

significant excess returns of selection strategies based on value, momentum and earnings revisions indicators. The findings for … value and momentum strategies are consistent with the evidence from developed markets supporting behavioral explanations. In … portfolio formation, setting this strategy apart from momentum strategies. …

momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and … consumption variables drive dollar carry trade payoffs and momentum returns are driven by global commodity and U.S. inflation …

In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct …

added, local PER and momentum effects on domestic markets. However, it falls with the rising local inflation, trade openness …

Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging …

The literature on equity markets documents the existence of mean reversion and momentum phenomena. Researchers in … foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion. This … paper implements a trading strategy combining mean reversion and momentum in foreign exchange markets. The strategy was …

Recent empirical evidence suggests that value and momentum strategies generate significant excess returns in emerging …

Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging …

a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style …