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Momentum: what do we know 30 years after Jegadeesh and Titman's seminal paper?

Wiest, Tobias - In: Financial markets and portfolio management 37 (2023) 1, pp. 95-114

Persistent link: https://www.econbiz.de/10014252609

Re-examining differences between momentum and time series momentum among individual stocks

Mu, Yuandong; He, Chaohua - In: Applied economics letters 26 (2019) 18, pp. 1537-1543

Persistent link: https://www.econbiz.de/10012204837

Temporary price trends in the stock market with rational agents

Ichkitidze, Yuri - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 103-117

Persistent link: https://www.econbiz.de/10012034517

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against … evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper … reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …

Persistent link: https://www.econbiz.de/10012237439

Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry

Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...

Persistent link: https://www.econbiz.de/10011345060

Does a search attention index explain portfolio returns in India?

Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

Persistent link: https://www.econbiz.de/10013183936