New empirical evidence on the investment success of momentum strategies based on relative stock prices
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Volume (Year): 39 (2012)
Issue (Month): 1 (July)
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- Tobias J. Moskowitz & Mark Grinblatt, "undated".
"Do Industries Explain Momentum?,"
CRSP working papers
480, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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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.
- 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.
- Mark Grinblatt & Matti Keloharju, 2000.
"What Makes Investors Trade?,"
Yale School of Management Working Papers
ysm146, Yale School of Management, revised 01 Nov 2001.
- Conrad, Jennifer & Kaul, Gautam, 1998. "An Anatomy of Trading Strategies," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 489-519.
- 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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