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Ericsson, Johan; González, Andrés - 2003

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and … strong evidence of a momentum effect where an investor takes a long position on the winner portfolio and a short position on …:07 to 1981:12 and 1982:01 to 2002:12 we found that the best momentum strategy was profitable during the first period and not …

Persistent link: https://www.econbiz.de/10010281287

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

Momentum and macroeconomic state variables

Kessler, Stephan; Scherer, Bernd - In: Financial markets and portfolio management 27 (2013) 4, pp. 335-363

Persistent link: https://www.econbiz.de/10010203023

Understanding momentum in commodity markets

Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402

Persistent link: https://www.econbiz.de/10010203400

Momentum effect in US stocks : an exponential effect

Alhenawi, Yasser - In: The empirical economics letters : a monthly … 12 (2013) 7, pp. 697-704

Persistent link: https://www.econbiz.de/10010363139

Rationality and momentum in real estate investment forecasts

Papastamos, Dēmētrēs; Muzakēs, Phōtēs; Stevenson, … - 2014

Persistent link: https://www.econbiz.de/10010387939

Is momentum really momentum?

Novy-Marx, Robert - In: Journal of financial economics 103 (2012) 3, pp. 429-453

Persistent link: https://www.econbiz.de/10009520656

Risk factors and capital market anomalies : international evidence

Hanauer, Matthias Xaver - 2014

bislang niedrig waren - eine Tatsache, die gemeinhin als ein Misserfolg von Momentum bezeichnet wird. …

Persistent link: https://www.econbiz.de/10010468431

Momentum is really short-term momentum

Gong, Qiang; Liu, Ming; Liu, Qianqiu - In: Journal of banking & finance 50 (2015), pp. 169-182

Persistent link: https://www.econbiz.de/10010509594

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