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On the source of contrarian and momentum strategies in the Italian equity market

  • Mengoli, Stefano

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File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(04)00019-5
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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 13 (2004)
Issue (Month): 3 ()
Pages: 301-331

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Handle: RePEc:eee:finana:v:13:y:2004:i:3:p:301-331
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  9. Narasimhan Jegadeesh, 2002. "Cross-Sectional and Time-Series Determinants of Momentum Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 143-157, March.
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  13. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
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  22. 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.
  23. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
  24. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 973-93.
  25. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
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  27. Robert A. Korajczyk & Ronnie Sadka, 2003. "Are Momentum Profits Robust to Trading Costs?," Finance 0308004, EconWPA.
  28. K. Rouwenhorst, 1998. "Local Return Factors and Turnover in Emerging Stock Markets," Yale School of Management Working Papers ysm97, Yale School of Management, revised 01 Mar 2001.
  29. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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