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Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing

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  • Bruce D. Grundy
  • J. Spencer Martin

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  • Bruce D. Grundy & J. Spencer Martin, "undated". "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:13-98
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    File URL: http://finance.wharton.upenn.edu/%7Erlwctr/papers/9813.pdf
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    Cited by:

    1. Hon, Mark T. & Tonks, Ian, 2003. "Momentum in the UK stock market," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 43-70, February.
    2. Brav, Alon & Geczy, Christopher & Gompers, Paul A., 2000. "Is the abnormal return following equity issuances anomalous?," Journal of Financial Economics, Elsevier, vol. 56(2), pages 209-249, May.
    3. Boyce Watkins, 2007. "The economic and predictive value of trading volume growth: a tale of three moments," Applied Financial Economics, Taylor & Francis Journals, vol. 17(18), pages 1489-1509.
    4. Santosh Mon Abraham, 2014. "Testing International Momentum Strategies between Chinese and Australian Financial Markets," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(1), pages 1-10, January.
    5. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department.

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