Modeling Momentum and Reversals
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019.
"Mixed-asset portfolio allocation under mean-reverting asset returns,"
Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
- Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2018. "Mixed-asset portfolio allocation under mean-reverting asset returns," Post-Print hal-01955220, HAL.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Giner, Javier & Zakamulin, Valeriy, 2023. "A regime-switching model of stock returns with momentum and mean reversion," Economic Modelling, Elsevier, vol. 122(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- John H. Cochrane, 1999.
"New facts in finance,"
Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
- Corgnet, Brice & DeSantis, Mark & Porter, David, 2020.
"The distribution of information and the price efficiency of markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
- Brice Corgnet & Mark DeSantis & David Porter, 2018. "The Distribution of Information and the Price Efficiency of Markets," Working Papers 18-09, Chapman University, Economic Science Institute.
- Brice Corgnet & Mark Desantis & David Porter, 2019. "The Distribution of Information and the Price Efficiency of Markets," Post-Print hal-02312304, HAL.
- Brice Corgnet & Mark Desantis & David Porter, 2019. "The distribution of information and the price efficiency of markets," Post-Print halshs-02393564, HAL.
- Mu-En Wu & Wei-Ho Chung, 2019. "Empirical Evaluations on Momentum Effects of Taiwan Index Futures via Stop-Loss and Stop-Profit Mechanisms," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 629-648, March.
- Navaz Naghavi & Muhammad Shujaat Mubarik & Devinder Kaur, 2018. "Financial Liberalization And Stock Market Efficiency: Measuring The Threshold Effects Of Governance," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-24, December.
- Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
- Robert J. Shiller, 2003.
"From Efficient Markets Theory to Behavioral Finance,"
Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
- Robert J. Shiller, 2002. "From Efficient Market Theory to Behavioral Finance," Cowles Foundation Discussion Papers 1385, Cowles Foundation for Research in Economics, Yale University.
- Guo, Xu & McAleer, Michael & Wong, Wing-Keung & Zhu, Lixing, 2017.
"A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises,"
The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 346-358.
- Xu Guo & Michael McAleer & Wing-Keung Wong & Lixing Zhu, 2016. "A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises," Tinbergen Institute Discussion Papers 16-003/III, Tinbergen Institute.
- Guo, X. & McAleer, M.J. & Wong, W.-K. & Zhu, L., 2016. "A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction during Financial Crises," Econometric Institute Research Papers EI2016-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
- Sapienza, Paola & Polk, Christopher, 2003.
"The Real Effects of Investor Sentiment,"
CEPR Discussion Papers
3826, C.E.P.R. Discussion Papers.
- Christopher Polk & Paola Sapienza, 2004. "The Real Effects of Investor Sentiment," NBER Working Papers 10563, National Bureau of Economic Research, Inc.
- Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, vol. 28(5), pages 2228-2238, September.
- Schwert, G. William, 2003.
"Anomalies and market efficiency,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974,
Elsevier.
- G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
- Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019.
"Fast trading and the virtue of entropy: evidence from the foreign exchange market,"
Working Paper Series
2300, European Central Bank.
- Corsetti, G. & Lafarguette, R. & Mehl, A., 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Cambridge Working Papers in Economics 1970, Faculty of Economics, University of Cambridge.
- Giancarlo Corsetti & Romain Lafarguette & Arnaud Mehl, 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Discussion Papers 1914, Centre for Macroeconomics (CFM).
- Tswei, Keshin, 2013. "Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1062-1078.
- Lu Zhang, 2017.
"The Investment CAPM,"
European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
- Zhang, Lu, 2015. "The Investment CAPM," Working Paper Series 2015-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
- Raza, Ahmad & Marshall, Ben R. & Visaltanachoti, Nuttawat, 2014. "Is there momentum or reversal in weekly currency returns?," Journal of International Money and Finance, Elsevier, vol. 45(C), pages 38-60.
- Joao Martines-Filho, 2006.
"The Performance of Agricultural Market Advisory Services in Corn and Soybeans,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 162-181.
- Irwin, Scott H. & Martines-Filho, Joao Gomes & Good, Darrel L., 2003. "The Performance Of Agricultural Market Advisory Services In Corn And Soybeans," 2003 Annual meeting, July 27-30, Montreal, Canada 22256, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Utku Uygur & Oktay Taş, 2014. "The impacts of investor sentiment on returns and conditional volatility of international stock markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(3), pages 1165-1179, May.
- Bryan Fong, 2021. "Analysing the behavioural finance impact of 'fake news' phenomena on financial markets: a representative agent model and empirical validation," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-30, December.
- Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
- Corgnet, Brice & DeSantis, Mark & Porter, David, 2021.
"Information aggregation and the cognitive make-up of market participants,"
European Economic Review, Elsevier, vol. 133(C).
- Brice Corgnet & Mark Desantis & David Porter, 2021. "Information Aggregation and the Cognitive Make-up of Market Participants," Post-Print hal-03188235, HAL.
More about this item
Keywords
reversals; momentum; mean reversion; market efficiency; investment strategies; no arbitrage;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:10:y:2022:i:10:p:190-:d:931809. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.