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Anomalies and investor sentiment : international evidence and the impact of size factor

Salur, Bayram Veli; Ekinci, Cumhur - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-21

We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for the...

Persistent link: https://www.econbiz.de/10014284678

Natural disasters, investor sentiments and stock market reactions : evidence from Turkey-Syria earthquakes

Sakariyahu, Rilwan; Lawal, Rodiat; Oyekola, Olayinka; … - In: Economics letters 228 (2023), pp. 1-4

Persistent link: https://www.econbiz.de/10014451170

Different momentum effects across countries : an explanation based on investors' behavior

Xia, Guoxiao; Hu, Changsheng; Xia, Huosong; Chi, Yangchun - In: The journal of financial research : the journal of the … 46 (2023) 4, pp. 1141-1163

Persistent link: https://www.econbiz.de/10014478064

Mechanisms of overpricing : An investigation on momentum crashes

Huang, Alex - In: International review of economics & finance : IREF 89 (2024) 1, pp. 118-142

Persistent link: https://www.econbiz.de/10014446417

What can explain momentum? : evidence from decomposition

Guo, Jiaqi; Li, Peng; Li, Youwei - In: Management science : journal of the Institute for … 68 (2022) 8, pp. 6184-6218

Persistent link: https://www.econbiz.de/10013372945

Time-frequency effect of investor sentiment, economic policy uncertainty, and crude oil on international stock markets : evidence from wavelet quantile analysis

Zhu, Huiming; Wu, Hao; Ren, Ying-hua; Yu, Dongwei - In: Applied economics 54 (2022) 53, pp. 6116-6146

Persistent link: https://www.econbiz.de/10013411351

Momentum crashes and the 52-week high

Byun, Suk Joon; Jeon, Byounghyun - In: Financial analysts journal : FAJ 79 (2023) 2, pp. 120-139

Persistent link: https://www.econbiz.de/10014291965

Commodity momentum decomposition

Iwanaga, Yasuhiro; Sakemoto, Ryuta - In: The journal of futures markets 43 (2023) 2, pp. 198-216

Persistent link: https://www.econbiz.de/10014292998

Investor sentiment, stock returns, and the dependence between their quantiles : evidence from G7 countries

Anh Tram Luong; Thai Hong Le; Thanh Trung Le; Hai Nam Nguyen - In: Applied economics letters 31 (2024) 16, pp. 1578-1583

Persistent link: https://www.econbiz.de/10015075523

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de/10013226778