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Assessing asset pricing anomalies
Groot, Wilma de - 2017
Persistent link: https://www.econbiz.de/10011862366
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Enhanced momentum strategies
Hanauer, Matthias; Windmüller, Steffen - In: Journal of banking & finance 148 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248250
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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
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The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors … benchmark models in finance; (iii) global small-stock value and momentum components are priced but regional models lead to more …
Persistent link: https://www.econbiz.de/10010224775
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The cross-section of Johannesburg Securities Exchange listed equity returns (1994-2011)
Van Heerden, JD; Van Rensburg, Paul - In: Studies in economics and finance 32 (2015) 4, pp. 422-444
Persistent link: https://www.econbiz.de/10011492237
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Value and momentum from investors' perspective : evidence from professionals' risk-ratings
Merkle, Christoph; Sextroh, Christoph - In: Journal of empirical finance 62 (2021), pp. 159-178
Persistent link: https://www.econbiz.de/10012693335
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The volatility effect in China
Blitz, David; Hanauer, Matthias; Vliet, Willem Nicolaas van - In: The journal of asset management : a major new, … 22 (2021) 5, pp. 338-349
Persistent link: https://www.econbiz.de/10012614829
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Pricing within and across asset classes
Dobrynskaja, V. V. - In: Finance research letters 25 (2018), pp. 10-15
Persistent link: https://www.econbiz.de/10012003407
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Explaining momentum and value simultaneously
Li, Jun - In: Management science : journal of the Institute for … 64 (2018) 9, pp. 4239-4260
Persistent link: https://www.econbiz.de/10011921516
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Common risk factors in international stock markets
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - In: Financial markets and portfolio management 33 (2019) 3, pp. 213-241
Persistent link: https://www.econbiz.de/10012427778