We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets …

representative and well-identified risk factors in 10 categories from the literature. The long-short portfolio of short-term reversal … volatility and market volatility measurement predictors play crucial roles in the reversal factor premium's robust predictability …

We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets …

This paper studies the linkage of momentum and reversal in the G7 stock markets. We confirm Conrad and Yavuz’s (Rev … Financ 21(2):555–581, 2017 ) finding that momentum is not linked to subsequent return reversal in the US stock market. In the … stock markets of the remaining G7 countries, our results object the decoupling of momentum and return reversal. In these …

returns" as a benchmark in comparing and evaluating MCDA methods. Moreover, we calculate the "rank reversal performance of … other words, these methods produce a higher correlation with share price; they have fewer rank reversal problems, the …