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The power and size of mean reversion tests
Daniel, Kent - In: Journal of empirical finance 8 (2001) 5, pp. 493-535
Persistent link: https://www.econbiz.de/10001655351
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Mean reversion of industry stock returns in the U.S. : 1926 - 1998
Gropp, Jeffrey - In: Journal of empirical finance 11 (2004) 4, pp. 537-551
Persistent link: https://www.econbiz.de/10002145264
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Momentum and mean reversion across national equity markets
Balvers, Ronald J.; Wu, Yangru - In: Journal of empirical finance 13 (2006) 1, pp. 24-48
Persistent link: https://www.econbiz.de/10003278622
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Maximal predictability under long-term mean reversion
Hjalmarsson, Erik - In: Journal of empirical finance 45 (2018), pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
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Testing conditional factor models : a nonparametric approach
Li, Yan; Yang, Liyan - In: Journal of empirical finance 18 (2011) 5, pp. 972-992
Persistent link: https://www.econbiz.de/10009492521
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Residual momentum
Blitz, David; Huij, Joop; Martens, Martin - In: Journal of empirical finance 18 (2011) 3, pp. 506-521
Persistent link: https://www.econbiz.de/10009302077
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Another look at the cross-section and time-series of stock returns : 1951 to 2011
Du, Ding - In: Journal of empirical finance 20 (2013), pp. 130-146
Persistent link: https://www.econbiz.de/10009717865
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Hedging the time-varying risk exposures of momentum returns
Martens, Martin; Oord, Arco van - In: Journal of empirical finance 28 (2014), pp. 78-89
Persistent link: https://www.econbiz.de/10011284506
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Market volatility and momentum
Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91
Persistent link: https://www.econbiz.de/10011489219
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Market proxies as factors in linear asset pricing models : still living with the roll critique
Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53
Persistent link: https://www.econbiz.de/10011489332