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Liquidity risk and momentum spillover from stocks to bonds

Lin, Hai; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 23 (2013) 1, pp. 5-42

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Investor overreaction to technical insolvency and bankruptcy risks in the 2008 stock market crash

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The evolution of security designs

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Do style momentum strategies produce abnormal returns : evidence from index investing

Liu, Zugang; Wang, Jia - In: The international journal of business and finance … 12 (2018) 2, pp. 63-75

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Do Style Momentum Strategies Produce Abnormal Returns : Evidence from Index Investing

Liu, Zugang - 2019

In this study, we investigate the return enhancement ability of style momentum strategy: a strategy that switches between value and growth styles based on previous performance. We explore the variation in abnormal returns of long-only and long-short momentum strategies using various style based...

Persistent link: https://www.econbiz.de/10012898292

Industry policy, investor sentiment, and cross-industry capital flow : evidence from Chinese listed companies’ cross-industry M&As

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Divergent opinion, trading information, and stock price co-movements

Chen, Lin; Wang, Junbo; Wu, Chunchi; Zhu, Hongquan - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 1-21

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Further evidence of momentum in corporate bond returns

Lin, Hai; Tao, Xinyuan Stacie; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 65-97

Persistent link: https://www.econbiz.de/10012601390