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

popular candidate invests more in the campaign and thereby increases her lead in expectation: polls create momentum. When …

basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …

The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the …

contrarian approaches to rebalancing. A recent article proposed a rebalancing approach that incorporates a momentum approach to … rebalancing. The momentum approach had a better risk adjusted return than either the traditional approach or a Buy …-and-Hold approach. This article identifies an improvement to the momentum approach and then examines the impact of transactions costs …

The four risk factors controlling for the market, size, value and momentum effect have become a state …

The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it … examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre … and Rallis (2007). This study identifies one statistically significant short term (1 to 12 months) momentum strategy …

This thesis identifies and examines evidence of e-commerce in three large businesses (Woolworths, Momentum and Santam …