Search Results - subject:"momentum effect"

Is there more to asset price linkages in China than meets the eye : cross-asset momentum and the role of hybrid funds

Wang, Xiaowei; Wang, Rui; Yichun, Zhang - In: International review of financial analysis 95 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10015145263

Price effects after one-day abnormal returns and crises in the stock markets

Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Ji, Qiang - In: Research in international business and finance 70 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10015053315

A four-factor model based on factor momentum

Cui, Mengqi; Li, Daye - In: Pacific-Basin finance journal 87 (2024), pp. 1-35

Persistent link: https://www.econbiz.de/10015098465

Investigating the momentum effect in the merging market : evidence from Pakistan

Khan, Sher; Wahid, Fazale; Rahim, Aftab; Ali, Arshad; … - In: Global business review 26 (2025) 2, pp. 364-379

Persistent link: https://www.econbiz.de/10015423993

On the treatment of the momentum factor in accounting-based anomalies : a discussion

Hong, Philip K.; Kim, Kyonghee; Patro, Sukesh - 2024

Persistent link: https://www.econbiz.de/10015050146

Illiquidity, duration and momentum profits: evidence from the Korean stock market

Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies : … 29 (2021) 1, pp. 49-72

stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this … competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the … finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean …

Persistent link: https://www.econbiz.de/10012592791