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BM(book-to-market ratio) factor : medium-term momentum and long-term reversal
Wei-qi, Liu; Jingxing, Zhang - In: Financial innovation : FIN 4 (2018) 1, pp. 1-29
To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM … model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock …
Persistent link: https://www.econbiz.de/10011825744
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The dirty dozen of valuation ratios : is one better than another?
Pätäri, Eero; Karell, Ville; Luukka, Pasi; Yeomans, … - In: Journal of investment management : JOIM 16 (2018) 2, pp. 65-98
Persistent link: https://www.econbiz.de/10011915457
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Can the FSCORE add value to anomaly-based portfolios? : a reality check in the German stock market
Pätäri, Eero J.; Leivo, Timo H.; Ahmed, Sheraz - In: Financial markets and portfolio management 36 (2022) 3, pp. 321-367
Persistent link: https://www.econbiz.de/10013431698
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Assessing asset pricing anomalies
Groot, Wilma de - 2017
Persistent link: https://www.econbiz.de/10011862366
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Ambiguity and asset pricing : an empirical investigation for an emerging market
Sahin, Baki Cem; Danışoğlu, Seza - In: International review of financial analysis 84 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013472710
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Stock trading strategies are formulated by a stock classification model
Lin, Chin-tsai; Hwang, Shiuh-nan; Chuang, Wang-ching - In: The Indian journal of economics 88 (2007) 2, pp. 281-305
Persistent link: https://www.econbiz.de/10003711303
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Risk preferences, investor sentiment and lottery stocks : a stochastic dominance approach
Fong, Wai-mun - In: The journal of behavioral finance : a publication of … 14 (2013) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10009744996
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Why should naive investors avoid stock markets?
Donadelli, Michael; Silvestri, Federico - 2010
Persistent link: https://www.econbiz.de/10010426337
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Measuring the speed of convergence of stock prices : a nonparametric and nonlinear approach
Kim, Hyeongwoo; Ryu, Deockhyun - 2015
Persistent link: https://www.econbiz.de/10011406641
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Trading Signatures : Investor Attention Allocation in Stock Markets
Baltakys, Kęstutis - 2020
Investors in stock markets distribute their limited attention across different securities. Drawing on recent findings on social behavior, we ask whether there are persistent, characteristic patterns in how household investors distribute their attention. Our study builds on a large data set that...
Persistent link: https://www.econbiz.de/10012823779