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Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?

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  • Bulkley, George
  • Nawosah, Vivekanand

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 44 (2009)
Issue (Month): 04 (August)
Pages: 777-794

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Handle: RePEc:cup:jfinqa:v:44:y:2009:i:04:p:777-794_99

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Cited by:
  1. Chiao-Yi Chang, 2013. "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer, vol. 37(2), pages 253-273, April.
  2. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers 405, Institute for Empirical Research in Economics - University of Zurich.
  3. Chen, Hong-Yi & Chen, Sheng-Syan & Hsin, Chin-Wen & Lee, Cheng-Few, 2014. "Does revenue momentum drive or ride earnings or price momentum?," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 166-185.
  4. Paola Brighi & Stefano d’Addona & Antonio Carlo Francesco Della Bina, 2010. "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper Series 31_10, The Rimini Centre for Economic Analysis.
  5. repec:eme:mfipps:v:36:y:2010:i:3:p:364-379 is not listed on IDEAS
  6. Ishaq Hacini & Khadra Dahou & Mohamed Benbouziane, 2012. "Investment style of Jordanian mutual funds," International Journal of Economic Sciences and Applied Research (IJESAR), Technological Educational Institute (TEI) of Kavala, Greece, vol. 5(2), pages 113-127, August.
  7. Bhootra, Ajay, 2011. "Are momentum profits driven by the cross-sectional dispersion in expected stock returns?," Journal of Financial Markets, Elsevier, vol. 14(3), pages 494-513, August.

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