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Momentum is really short-term momentum

Gong, Qiang; Liu, Ming; Liu, Qianqiu - In: Journal of banking & finance 50 (2015), pp. 169-182

Persistent link: https://www.econbiz.de/10010509594

Co-existence of short-term reversals and momentum in the Australian equity market

Chai, Daniel; Do, Binh - In: Australian journal of management 41 (2016) 1, pp. 55-76

Persistent link: https://www.econbiz.de/10011479122

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … liquid futures contracts and show that RAMOM strategies outperform the time series momentum (TSMOM) strategies of Ooi …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …

Persistent link: https://www.econbiz.de/10011293745

Revisiting disposition effect and momentum : a quantile regression perspective

Ahmed, Mohamed S.; Doukas, John A. - In: Review of quantitative finance and accounting 56 (2021) 3, pp. 1087-1128

Persistent link: https://www.econbiz.de/10012498621

Avoiding momentum crashes : dynamic momentum and contrarian trading

Dobrynskaja, V. V. - In: Journal of international financial markets, … 63 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012263335

Combining value and momentum : evidence from the Nordic equity market

Grobys, Klaus; Huhta-Halkola, Topi - In: Applied economics 51 (2019) 26, pp. 2872-2884

Persistent link: https://www.econbiz.de/10012196759

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

Persistent link: https://www.econbiz.de/10012171673

Quarterly seasonality and momentum strategy implementation

Folkinshteyn, Daniel; Moore, Jordan - In: Review of behavioral finance : RBF 15 (2023) 1, pp. 38-54

Persistent link: https://www.econbiz.de/10013536534

Momentum : evidence and insights 30 years later

Jegadeesh, Narasimhan; Titman, Sheridan - In: Pacific-Basin finance journal 82 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014463350

Price behavior of small-cap stocks and momentum : a study using principal component momentum

Eom, Cheoljun; Park, Jong Won - In: Research in international business and finance 65 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014433669