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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
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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
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Can fat-tail create the momentum and reversal?
Bae, Kwangil; Kang, Hankil; Kang, Jangkoo - In: Applied economics 52 (2020) 44, pp. 4850-4863
Persistent link: https://www.econbiz.de/10012306509
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Modeling momentum and reversals
Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10
observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we …
Persistent link: https://www.econbiz.de/10013555665
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Momentum effect in US stocks : an exponential effect
Alhenawi, Yasser - In: The empirical economics letters : a monthly … 12 (2013) 7, pp. 697-704
Persistent link: https://www.econbiz.de/10010363139
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Momentum: what do we know 30 years after Jegadeesh and Titman's seminal paper?
Wiest, Tobias - In: Financial markets and portfolio management 37 (2023) 1, pp. 95-114
Persistent link: https://www.econbiz.de/10014252609
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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
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …
Persistent link: https://www.econbiz.de/10012237439
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Mandelbrot market-model and momentum
Berghorn, Wilhelm; Otto, Sascha - In: International journal of financial research 8 (2017) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011779626
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The race to exploit anomalies and the cost of slow trading
Kaplanski, Guy - In: Journal of financial markets 62 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014226691