Cross-stock momentum and factor momentum
Year of publication: |
2023
|
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Authors: | Yan, Jingda ; Yu, Jialin |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 150.2023, 2, p. 1-18
|
Subject: | Asymmetric cross-autocorrelation | Cross-stock momentum | Factor momentum | Network | Time-varying linkage | Kapitaleinkommen | Capital income | Momentenmethode | Method of moments | Autokorrelation | Autocorrelation | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Aktienmarkt | Stock market | Kapitalmarktrendite | Capital market returns |
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