New empirical evidence on the investment success of momentum strategies based on relative stock prices
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 39 (2012)
Issue (Month): 1 (July)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Market efficiency; Trading strategies; Momentum strategies; G14; G11;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 785-818, April.
- Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Steven Huddart & Mark Lang & Michelle H. Yetman, 2009. "Volume and Price Patterns Around a Stock's 52-Week Highs and Lows: Theory and Evidence," Management Science, INFORMS, vol. 55(1), pages 16-31, January.
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- Rani Hoitash & Murugappa (Murgie) Krishnan, 2008. "Herding, momentum and investor over-reaction," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 25-47, January.
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