IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Are Momentum Profits Robust to Trading Costs?"

by Robert A. Korajczyk & Ronnie Sadka

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
  2. McNally, William J. & Smith, Brian F., 2007. "Long-run returns following open market share repurchases," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 703-717, March.
  3. Guerard, John B. & Markowitz, Harry & Xu, GanLin, 2015. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," International Journal of Forecasting, Elsevier, vol. 31(2), pages 550-560.
  4. Altınkılıç, Oya & Hansen, Robert S. & Ye, Liyu, 2016. "Can analysts pick stocks for the long-run?," Journal of Financial Economics, Elsevier, vol. 119(2), pages 371-398.
  5. Cakici, Nusret & Tan, Sinan, 2014. "Size, value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 179-209.
  6. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  7. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015. "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 423-444.
  8. Tajaddini, Reza & Crack, Timothy Falcon, 2012. "Do momentum-based trading strategies work in emerging currency markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 521-537.
  9. 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.
  10. Minh Phuong Doan & Vitali Alexeev & Robert Brooks, 2016. "Concurrent momentum and contrarian strategies in the Australian stock market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 77-106, February.
  11. Horan, Stephen M. & Johnsen, D. Bruce, 2008. "Can third-party payments benefit the principal?: The case of soft dollar brokerage," International Review of Law and Economics, Elsevier, vol. 28(1), pages 56-77, March.
  12. Novy-Marx, Robert, 2012. "Is momentum really momentum?," Journal of Financial Economics, Elsevier, vol. 103(3), pages 429-453.
  13. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  14. de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012. "The cross-section of stock returns in frontier emerging markets," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
  15. Krauss, Christopher & Beerstecher, Daniel & Krüger, Tom, 2015. "Feasible earnings momentum in the U.S. stock market: An investor's perspective," FAU Discussion Papers in Economics 12/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  16. Frans de Roon & Marta Szymanowska, 2012. "Asset Pricing Restrictions on Predictability: Frictions Matter," Management Science, INFORMS, vol. 58(10), pages 1916-1932, October.
  17. Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122, arXiv.org, revised May 2011.
  18. Shen, Qian & Szakmary, Andrew C. & Sharma, Subhash C., 2005. "Momentum and contrarian strategies in international stock markets: Further evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 235-255, July.
  19. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
  20. Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2014. "Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 41-58.
  21. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, vol. 14(1), pages 161-192, February.
  22. Chi-Hsiou Hung, 2007. "Return Explanatory Ability and Predictability of Non-Linear Market Models," Working Papers 2007_05, Durham University Business School.
  23. 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, Reading University.
  24. Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio, 2015. "What do stock markets tell us about exchange rates?," Bank of England working papers 537, Bank of England.
  25. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, vol. 15(1), pages 47-80.
  26. Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013. "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer, vol. 27(2), pages 127-148, June.
  27. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
  28. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
  29. Kim, Soo-Hyun & Kang, Hyoung-Goo, 2014. "A new strategy using term-structure dynamics of commodity futures," Finance Research Letters, Elsevier, vol. 11(3), pages 282-288.
  30. Eisdorfer, Assaf, 2008. "Delisted firms and momentum profits," Journal of Financial Markets, Elsevier, vol. 11(2), pages 160-179, May.
  31. Krauss, Christopher & Krüger, Tom & Beerstecher, Daniel, 2015. "The Piotroski F-Score: A fundamental value strategy revisited from an investor's perspective," FAU Discussion Papers in Economics 13/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  32. Szakmary, Andrew C. & Shen, Qian & Sharma, Subhash C., 2010. "Trend-following trading strategies in commodity futures: A re-examination," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 409-426, February.
  33. Tse, Yiuman, 2015. "Momentum strategies with stock index exchange-traded funds," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 134-148.
  34. Pavel Bandarchuk & Jens Hilscher, 2011. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Working Papers 38, Brandeis University, Department of Economics and International Businesss School.
  35. Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno, 2013. "Short-term residual reversal," Journal of Financial Markets, Elsevier, vol. 16(3), pages 477-504.
  36. Gao, Huasheng, 2010. "Optimal compensation contracts when managers can hedge," Journal of Financial Economics, Elsevier, vol. 97(2), pages 218-238, August.
  37. Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
  38. Adam Zaremba & Rados³aw ¯mudziñski, 2014. "The Low Price Effect On The Polish Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(1), pages 69-85, June.
  39. Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP) dp-335, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  40. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
  41. Asem, Ebenezer, 2009. "Dividends and price momentum," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 486-494, March.
  42. Banerjee, Anurag & Hung, Chi-Hsiou, 2011. "Informed momentum trading versus uninformed "naive" investors strategies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3077-3089, November.
  43. Teplova, Tamara & Mikova, Evgeniya, 2015. "New evidence on determinants of price momentum in the Japanese stock market," Research in International Business and Finance, Elsevier, vol. 34(C), pages 84-109.
  44. Lajbcygier, Paul & Sojka, Jeremy, 2015. "The viability of alternative indexation when including all costs," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 109-141.
  45. Chordia, Tarun & Shivakumar, Lakshmanan, 2006. "Earnings and price momentum," Journal of Financial Economics, Elsevier, vol. 80(3), pages 627-656, June.
  46. Mengoli, Stefano, 2004. "On the source of contrarian and momentum strategies in the Italian equity market," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 301-331.
  47. Travis Sapp, 2011. "The 52-week high, momentum, and predicting mutual fund returns," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 149-179, August.
  48. Fong, Wai Mun & Wong, Wing Keung & Lean, Hooi Hooi, 2005. "International momentum strategies: a stochastic dominance approach," Journal of Financial Markets, Elsevier, vol. 8(1), pages 89-109, February.
  49. Lee, Kuan-Hui, 2005. "The World Price of Liquidity Risk," Working Paper Series 2006-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  50. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 309-337, September.
  51. de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012. "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 371-382.
  52. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
  53. Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group.
  54. Kalle Rinne & Matti Suominen, 2014. "Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy," LSF Research Working Paper Series 14-01, Luxembourg School of Finance, University of Luxembourg.
  55. Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
  56. 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.
  57. Kim, Soon-Ho & Lee, Kuan-Hui, 2014. "Pricing of liquidity risks: Evidence from multiple liquidity measures," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 112-133.
  58. Heston, Steven L. & Sadka, Ronnie, 2008. "Seasonality in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 87(2), pages 418-445, February.
  59. Geoffrey Booth, G. & Fung, Hung-Gay & Leung, Wai Kin, 2016. "A risk-return explanation of the momentum-reversal “anomaly”," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 68-77.
  60. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  61. repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS
  62. Pae, Yuntaek & Sabbaghi, Navid, 2015. "Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas," Journal of Financial Stability, Elsevier, vol. 18(C), pages 203-207.
  63. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.
  64. Chen, Hong-Yi & Chen, Sheng-Syan & Hsin, Chin-Wen & Lee, Cheng-Few, 2014. "Does revenue momentum drive or ride earnings or price momentum?," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 166-185.
  65. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
  66. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
  67. Robert Novy-Marx & Mihail Velikov, 2014. "A Taxonomy of Anomalies and their Trading Costs," NBER Working Papers 20721, National Bureau of Economic Research, Inc.
  68. Vega, Clara, 2006. "Stock price reaction to public and private information," Journal of Financial Economics, Elsevier, vol. 82(1), pages 103-133, October.
  69. Xiafei Li & Chris Brooks & Jöelle Miffre, 2007. "Low-Cost Momentum Strategies," ICMA Centre Discussion Papers in Finance icma-dp2007-12, Henley Business School, Reading University.
  70. Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015. "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, vol. 24(C), pages 66-92.
  71. Richardson, Scott & Tuna, Irem & Wysocki, Peter, 2010. "Accounting anomalies and fundamental analysis: A review of recent research advances," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 410-454, December.
  72. 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.
  73. Ming-Shiun Pan, 2010. "Autocorrelation, return horizons, and momentum in stock returns," Journal of Economics and Finance, Springer, vol. 34(3), pages 284-300, July.
  74. Andrew Clare & James Seaton & Peter N Smith & Stephen Thomas, 2012. "BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500," Discussion Papers 12/11, Department of Economics, University of York.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.