Is Momentum Due to Data-Snooping?
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- Johan Parmler & Andres Gonzalez, 2007. "Is Momentum Due to Data-snooping?," The European Journal of Finance, Taylor & Francis Journals, vol. 13(4), pages 301-318.
References listed on IDEAS
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Cited by:
- Teplova, Tamara & Mikova, Evgeniya & Nazarov, Nikolai, 2017. "Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 240-258.
- Jungmu Kim & Yuen Jung Park, 2019. "Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea," Sustainability, MDPI, vol. 11(17), pages 1-21, September.
- Badreddine, Sina & Galariotis, Emilios C. & Holmes, Phil, 2012.
"The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 589-608.
- Sina Badreddine & Emilios C. C Galariotis & Phil Holmes, 2012. "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Post-Print hal-00956948, HAL.
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More about this item
Keywords
Momentum; Data-snooping; Bootstrap;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2004-01-18 (Finance)
- NEP-FMK-2004-01-18 (Financial Markets)
- NEP-RMG-2004-01-18 (Risk Management)
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