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 …

Bu çalışmanın amacı Fama ve French üç faktör modeline momentum faktörünün eklenmesiyle oluşturulan dört faktör … firma büyüklüğü, D/P oranı ve momentum faktörlerinin beklenen hisse senedi getirilerini etkileyen anlamlı risk faktörleri …

Purpose –The purpose of this paper is to critically review the literature on contrarian and momentum trading strategies …

We investigate the predictive power of market volatility for momentum. We find that (1) market volatility has … significant power to forecast momentum payoffs, which is robust after controlling for market state and business cycle variables … momentum. These findings jointly present a significant challenge to existing theories on momentum. …

Purpose – The purpose of this paper is to extend research related to a firm’s behavioural momentum and its financial …-level, and country-level factors can interact with the power of momentum to affect a firm’s performance. Design … also in electronics-related industries across a 22-year time span (1991-2012). Findings – The results show that momentum …

The Constant Leverage covering strategy for the equity momentum portfolio (CLvg) developed in this project cannot mask … better than the momentum portfolio. This approach is different from other covering strategies available in the literature … that focus on increasing the right tail of the momentum returns distribution at a faster rate than they increase the left …

between internal fit and external fit, and the momentum of internal fit was found as well. Moreover, the impact of the … such as trade-off, momentum and synergy between the two types of strategic fit, which may be helpful for making decision on …

contrarian and momentum strategies. Design/methodology/approach – Using monthly returns, the weighted relative strength strategy …' profitability. Findings – Results show that the momentum strategy seems to be no more profitable in the recent years. In fact, while … momentum strategies earn large positive and significant returns before the 2000 crash, these returns are negative after the …