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Momentum Strategies

Citations

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Cited by:

  1. Sana Tauseef & Mohammad Nishat, 2018. "Can investors benefit from momentum trading? Evidence from an emerging market," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 13(1), pages 21-36, January-J.
  2. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
  3. Oh Kang Kwon & Stephen Satchell, 2019. "The analytics of momentum," Journal of Asset Management, Palgrave Macmillan, vol. 20(6), pages 433-441, October.
  4. van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005. "The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?," Emerging Markets Review, Elsevier, vol. 6(3), pages 238-262, September.
  5. Hossein Asgharian & Mia Holmfeldt & Marcus Larson, 2011. "An event study of price movements following realized jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 933-946.
  6. Khandani, Amir E. & Lo, Andrew W., 2011. "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, vol. 14(1), pages 1-46, February.
  7. K. J. Hong & S. Satchell, 2015. "Time series momentum trading strategy and autocorrelation amplification," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1471-1487, September.
  8. Mortal, Sandra C. & Schill, Michael J., 2018. "The role of firm investment in momentum and reversal," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 255-278.
  9. Ruenzi, Stefan & Weigert, Florian, 2018. "Momentum and crash sensitivity," Economics Letters, Elsevier, vol. 165(C), pages 77-81.
  10. Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold B., 2006. "Stock returns, aggregate earnings surprises, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 79(3), pages 537-568, March.
  11. Avanidhar Subrahmanyam, 2008. "Behavioural Finance: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 14(1), pages 12-29, January.
  12. Shwu-Jane Shieh, 2006. "Evolution of momentum and popularity," Journal of Evolutionary Economics, Springer, vol. 16(4), pages 419-433, October.
  13. Kaucic, Massimiliano, 2010. "Investment using evolutionary learning methods and technical rules," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1717-1727, December.
  14. Wu, Jin (Ginger) & Zhang, Lu, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," Working Paper Series 2010-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  15. Blitz, David & Huij, Joop & Martens, Martin, 2011. "Residual momentum," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 506-521, June.
  16. Bartholdy, Jan, 1998. "Changes in earnings-price ratios and excess returns: A case of investor over-reaction," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 237-252.
  17. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
  18. Harris, Richard D.F. & Yilmaz, Fatih, 2009. "A momentum trading strategy based on the low frequency component of the exchange rate," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1575-1585, September.
  19. Ye, Dezhu & Liu, Shasha & Kong, Dongmin, 2013. "Do efforts on energy saving enhance firm values? Evidence from China's stock market," Energy Economics, Elsevier, vol. 40(C), pages 360-369.
  20. Leonid Kogan & Mary Tian, 2012. "Firm characteristics and empirical factor models: a data-mining experiment," International Finance Discussion Papers 1070, Board of Governors of the Federal Reserve System (U.S.).
  21. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
  22. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
  23. Chan, Terence & Watson, Iain & Wee, Marvin, 2005. "The impact of the Internet on earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 263-300, June.
  24. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
  25. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  26. Karen L. Benson & David R. Gallagher & Patrick Teodorowski, 2007. "Momentum investing and the asset allocation decision," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(4), pages 571-598, December.
  27. John Goodell & Richard Bodey, 2012. "Price-earnings changes during US presidential election cycles: voter uncertainty and other determinants," Public Choice, Springer, vol. 150(3), pages 633-650, March.
  28. Chordia, Tarun & Shivakumar, Lakshmanan, 2006. "Earnings and price momentum," Journal of Financial Economics, Elsevier, vol. 80(3), pages 627-656, June.
  29. Huang, Wenli & Zhou, Fengbo & Yu, Chenkang & Hu, Yue & Zhang, Hong & Xu, Yueling, 2023. "Momentum effect and contrarian effect in China's A-share market, under registration-based system," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
  30. Hou, Kewei & Xue, Chen & Zhang, Lu, 2012. "Digesting Anomalies: An Investment Approach," Working Paper Series 2012-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  31. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
  32. Deven Bathia & Don Bredin, 2013. "An examination of investor sentiment effect on G7 stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 909-937, October.
  33. Lim, Kian-Ping & Kim, Jae H., 2011. "Trade openness and the informational efficiency of emerging stock markets," Economic Modelling, Elsevier, vol. 28(5), pages 2228-2238, September.
  34. van Bommel, Jos & Vermaelen, Theo, 2003. "Post-IPO capital expenditures and market feedback," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 275-305, February.
  35. Philip A. Stork, 2011. "The intertemporal mechanics of European stock price momentum," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(3), pages 217-232, August.
  36. Chen, Kuan-Hau & Su, Xuan-Qi & Lin, Li-Feng & Shih, Yi-Cheng, 2021. "Profitability of moving-average technical analysis over the firm life cycle: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  37. Andreas Thomann, 2021. "Multi-asset scenario building for trend-following trading strategies," Annals of Operations Research, Springer, vol. 299(1), pages 293-315, April.
  38. McMillan, David G., 2004. "Nonlinear predictability of short-run deviations in UK stock market returns," Economics Letters, Elsevier, vol. 84(2), pages 149-154, August.
  39. Hsiao-Peng Fu & Andrew Wood, 2010. "Momentum in Taiwan: seasonality matters!," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1247-1253.
  40. Eunju Lee, 2016. "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 797-833, October.
  41. Hao FANG & Joseph C. P. SHIEH & Tsang-Yao CHANG & Meng-Wen WU, 2020. "Which Types of Stocks Herded by Foreign Institutional Investors are Informational in the Emerging Stock Market?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 31-48, September.
  42. Artur A. Trzebiński, 2017. "Dryf poogłoszeniowy na przykładzie certyfikatów inwestycyjnych notowanych na Giełdzie Papierów Wartościowych w Warszawie," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 173-196.
  43. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A Model of Investor Sentiment," Scholarly Articles 30747159, Harvard University Department of Economics.
  44. Elberse, Anita & Anand, Bharat, 2007. "The effectiveness of pre-release advertising for motion pictures: An empirical investigation using a simulated market," Information Economics and Policy, Elsevier, vol. 19(3-4), pages 319-343, October.
  45. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "Stock and bond market interaction: Does momentum spill over?," Journal of Financial Economics, Elsevier, vol. 75(3), pages 651-690, March.
  46. Nettayanun, Sampan, 2023. "Asset pricing in bull and bear markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  47. Chi Ming Ho, 2013. "Private information, overconfidence and intraday trading behaviour: empirical study of the Taiwan stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 325-345, February.
  48. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc.
  49. Shiller, Robert J., 1999. "Human behavior and the efficiency of the financial system," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 20, pages 1305-1340, Elsevier.
  50. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
  51. Borgers, A.C.T., 2014. "Responsible investing : New insights into performance and tastes," Other publications TiSEM 587e777f-c242-4a44-968e-7, Tilburg University, School of Economics and Management.
  52. Patro, Dilip K. & Wu, Yangru, 2004. "Predictability of short-horizon returns in international equity markets," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 553-584, September.
  53. Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2011. "Decomposing short-term return reversal," Staff Reports 513, Federal Reserve Bank of New York.
  54. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
  55. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors [Financial intermediaries and the cross-section of asset returns]," Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
  56. Kevin Aretz & Marc Aretz, 2016. "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 19-61, February.
  57. Flori, Andrea & Regoli, Daniele, 2021. "Revealing Pairs-trading opportunities with long short-term memory networks," European Journal of Operational Research, Elsevier, vol. 295(2), pages 772-791.
  58. Blau, Benjamin M. & DeLisle, Jared R. & Price, S. McKay, 2015. "Do sophisticated investors interpret earnings conference call tone differently than investors at large? Evidence from short sales," Journal of Corporate Finance, Elsevier, vol. 31(C), pages 203-219.
  59. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  60. Daniel, Kent & Moskowitz, Tobias J., 2016. "Momentum crashes," Journal of Financial Economics, Elsevier, vol. 122(2), pages 221-247.
  61. Xiafei Li & Chris Brooks & Joelle Miffre, 2009. "Transaction Costs, Trading Volume and Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2009-04, Henley Business School, University of Reading.
  62. Holden, Craig W., 2009. "New low-frequency spread measures," Journal of Financial Markets, Elsevier, vol. 12(4), pages 778-813, November.
  63. Goetzmann, William N. & Massa, Massimo, 2002. "Daily Momentum and Contrarian Behavior of Index Fund Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 375-389, September.
  64. Hackney, John & Henry, Tyler R. & Koski, Jennifer L., 2020. "Arbitrage vs. informed short selling: Evidence from convertible bond issuers," Journal of Corporate Finance, Elsevier, vol. 65(C).
  65. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  66. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  67. Merkle, Christoph & Sextroh, Christoph J., 2021. "Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 159-178.
  68. Subrahmanyam, Avanidhar, 2018. "Equity market momentum: A synthesis of the literature and suggestions for future work," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 291-296.
  69. Francesco Cerigioni, 2021. "Dual Decision Processes: Retrieving Preferences When Some Choices Are Automatic," Journal of Political Economy, University of Chicago Press, vol. 129(6), pages 1667-1704.
  70. Francesco Franzoni & José M. Marín, 2006. "Pension Plan Funding and Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 61(2), pages 921-956, April.
  71. Tim A. Herberger & Matthias Horn & Andreas Oehler, 2020. "Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 179-197, June.
  72. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2008. "A Behavioural Approach To Financial Puzzles," Working Papers of LaRGE Research Center 2008-01, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  73. Alexander Kerl & Oscar Stolper & Andreas Walter, 2012. "Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 217-246, June.
  74. Molintas, Dominique Trual, 2021. "Black Scholes Model," MPRA Paper 110124, University Library of Munich, Germany.
  75. Chen, Li-Wen & Yu, Hsin-Yi & Wang, Wen-Kai, 2018. "Evolution of historical prices in momentum investing," Journal of Financial Markets, Elsevier, vol. 37(C), pages 120-135.
  76. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
  77. Frederico Belo & Xiaoji Lin & Santiago Bazdresch, 2014. "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Journal of Political Economy, University of Chicago Press, vol. 122(1), pages 129-177.
  78. Ali, Ashiq & Chen, Xuanjuan & Yao, Tong & Yu, Tong, 2020. "Can mutual funds profit from post earnings announcement drift? The role of competition," Journal of Banking & Finance, Elsevier, vol. 114(C).
  79. Baştürk, N. & Borowska, A. & Grassi, S. & Hoogerheide, L. & van Dijk, H.K., 2019. "Forecast density combinations of dynamic models and data driven portfolio strategies," Journal of Econometrics, Elsevier, vol. 210(1), pages 170-186.
  80. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  81. Palomino, Frederic & Renneboog, Luc & Zhang, Chendi, 2009. "Information salience, investor sentiment, and stock returns: The case of British soccer betting," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 368-387, June.
  82. Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.
  83. Lawrence Middleton & James Dodd & Simone Rijavec, 2021. "Trading styles and long-run variance of asset prices," Papers 2109.08242, arXiv.org.
  84. Sebastien Valeyre, 2022. "Optimal trend following portfolios," Papers 2201.06635, arXiv.org.
  85. Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.
  86. Josef Fink, 2020. "A Review of the Post-Earnings-Announcement Drift," Working Paper Series, Social and Economic Sciences 2020-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  87. repec:zbw:bofism:2006_035 is not listed on IDEAS
  88. Haifeng You & Xiao‐Jun Zhang, 2011. "Limited attention and stock price drift following earnings announcements and 10‐K filings," China Finance Review International, Emerald Group Publishing Limited, vol. 1(4), pages 358-387, September.
  89. Chen, Hong-Yi & Hsieh, Chia-Hsun & Lee, Cheng-Few, 2023. "Revisiting the momentum effect in Taiwan: The role of persistency," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  90. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
  91. 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.
  92. Kwon, Oh Kang & Satchell, Stephen, 2018. "The distribution of cross sectional momentum returns," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 225-241.
  93. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
  94. Hung-Wen Lin & Mao-Wei Hung & Jing-Bo Huang, 2018. "Artificial Momentum, Native Contrarian, and Transparency in China," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 263-294, February.
  95. Azzi, Sarah & Bird, Ron, 2005. "Prophets during boom and gloom downunder," Global Finance Journal, Elsevier, vol. 15(3), pages 337-367, February.
  96. Hao Jiang & Marno Verbeek & Yu Wang, 2014. "Information Content When Mutual Funds Deviate from Benchmarks," Management Science, INFORMS, vol. 60(8), pages 2038-2053, August.
  97. Naughton, Tony & Truong, Cameron & Veeraraghavan, Madhu, 2008. "Momentum strategies and stock returns: Chinese evidence," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 476-492, September.
  98. Cohen, Randolph B. & Gompers, Paul A. & Vuolteenaho, Tuomo, 2002. "Who underreacts to cash-flow news? evidence from trading between individuals and institutions," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 409-462.
  99. Susana Yu & Sang-Hoon Kim, 2009. "Analysis of Business Week hot-growth stocks: Momentum and fundamental investment approaches," Journal of Asset Management, Palgrave Macmillan, vol. 10(3), pages 192-204, August.
  100. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
  101. Huang, Alan Guoming, 2009. "The cross section of cashflow volatility and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 409-429, June.
  102. Gibson, Scott & Safieddine, Assem & Sonti, Ramana, 2004. "Smart investments by smart money: Evidence from seasoned equity offerings," Journal of Financial Economics, Elsevier, vol. 72(3), pages 581-604, June.
  103. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
  104. Qi Zhang & Charlie Cai & Kevin Keasey, 2014. "The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 605-625, October.
  105. Lee, Charles M.C. & Sun, Stephen Teng & Wang, Rongfei & Zhang, Ran, 2019. "Technological links and predictable returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 76-96.
  106. Bada, Oualid & Kneip, Alois, 2010. "Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds," MPRA Paper 26006, University Library of Munich, Germany.
  107. Chiao, Chaoshin & Hueng, C. James, 2005. "Overreaction effects independent of risk and characteristics: evidence from the Japanese stock market," Japan and the World Economy, Elsevier, vol. 17(4), pages 431-455, December.
  108. Tim Herberger & Daniel Kohlert & Andreas Oehler, 2011. "Momentum and industry-dependence: An analysis of the Swiss stock market," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 391-400, February.
  109. Sandrine Jacob Leal, 2012. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Cahiers du CEREFIGE 1203, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
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  115. Muhammad M Islam & Lawrence Gomes, 2011. "Momentum change, industry group rotation and portfolio returns," Journal of Asset Management, Palgrave Macmillan, vol. 12(6), pages 426-437, December.
  116. Lukas Macijauskas & Dimitrios I. Maditinos, 2014. "Looking for Synergy with Momentum in Main Asset Classes," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 3-16.
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  132. Adam Karp & Gary Van Vuuren, 2019. "Investment Implications Of The Fractal Market Hypothesis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-27, March.
  133. Franke, Maximilian, 2020. "Do market participants misprice lottery-type assets? Evidence from the European soccer betting market," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 1-18.
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  136. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
  137. G. Geoffrey Booth & Juha‐Pekka Kallunki & Petri Sahlström & Jaakko Tyynelä, 2011. "Foreign vs domestic investors and the post‐announcement drift," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(3), pages 220-237, June.
  138. Morelli, David, 2014. "Momentum profits and conditional time-varying systematic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 242-255.
  139. Faten Zoghlami, 2013. "Momentum effect in stocks’ returns between the rational and the behavioural financial theories: Proposition of the progressive rationality," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(1), pages 1-10, January.
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