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An empirical analysis of industry momentum in Chinese stock markets

Su, Dongwei - In: Emerging markets finance & trade : a journal of the … 47 (2011) 4, pp. 4-27

Persistent link: https://www.econbiz.de/10009316936

Momentum crashes

Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247

Persistent link: https://www.econbiz.de/10011590901

Has momentum lost its momentum?

Bhattacharya, Debarati; Li, Wei-Hsien; Sonaer, Gokhan - In: Review of quantitative finance and accounting 48 (2017) 1, pp. 191-218

Persistent link: https://www.econbiz.de/10011796612

Isolating momentum crashes

Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013370567

Behavioral preferences and beliefs in asset pricing

Gertsman, Gleb - 2023

Persistent link: https://www.econbiz.de/10014285188

Another look at sources of momentum profits

Chai, Daniel; Chiah, Mardy; Zhong, Angel; Li, Bob - In: International review of economics & finance : IREF 79 (2022), pp. 310-323

Persistent link: https://www.econbiz.de/10013343411

Constant leverage covering strategy for equity momentum portfolio with transaction costs

Negrete, Mario Enrique - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-25

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 …

Persistent link: https://www.econbiz.de/10014636284

Future portfolio returns and the VIX term structure

Aharon, David Yechiam; Dimpfl, Thomas - In: Journal of risk 24 (2022) 5, pp. 1-31

Persistent link: https://www.econbiz.de/10014546348

Synthesis of the effect of investor sentiment on stock returns : a systematic review

Yadav, Ajit; Chakraborty, Anindita - In: Global business & economics review 28 (2023) 4, pp. 425-446

Persistent link: https://www.econbiz.de/10014306682

Trade links and return predictability : the Australian evidence

Yu, Miao; Hu, Xiaolu; Zhong, Angel - In: Pacific-Basin finance journal 78 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014463756