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Returns, volatility and investor sentiment : evidence from European stock markets

Frugier, Alain - In: Research in international business and finance 38 (2016), pp. 45-55

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Institutional investors and equity prices : information, behavioral bias and arbitrage

Han, Bing; Kong, Dongmin - 2017

This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...

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How do momentum strategies 'score' against individual investors in Taiwan, Hong Kong and Korea?

Hung, Chi-Hsiou D.; Banerjee, Anurag Narayan - In: Emerging markets review 21 (2014), pp. 67-81

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Size matters : tail risk, momentum and trend following in international equity portfolios

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Using book-to-market ratio, accounting strength, and momentum to construct a value investing strategy : the case of Spain

Forner, Carlos; Vázquez Veira, Pablo J. - In: Spanish journal of finance & accounting : the official … 48 (2019) 1, pp. 21-49

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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

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Stock return comovement when investors are distracted : more, and more homogeneous

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How do disposition effect and anchoring bias interact to impact momentum in stock returns?

Hur, Jungshik; Vivek Singh - In: Journal of empirical finance 53 (2019), pp. 238-256

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Does idiosyncratic risk matter to momentum profits? : evidence from China

Kao, Wei-Shun; Wang, Li-Hsun; Lin, Chu-Hsiung; Huang, … - In: The empirical economics letters : a monthly … 17 (2018) 10, pp. 1259-1264

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Risk neglect in equity markets

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