In spite of the widespread popularity of trend-following investing, little is still known about optimal trend-following with transaction costs. A few existing studies consider this question using a continuous-time model within the stochastic optimal control theory framework. However, despite...

Purpose In this paper, we provide new evidence to strengthen the stock market overreaction hypothesis by examining a new context that has not been explored before. Our research is inspired by the widely held belief that investor sentiment experiences abrupt changes from optimism to pessimism as...