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The role of shorting, firm size, and time on market anomalies

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Cited by:

  1. Ardila-Alvarez, Diego & Forro, Zalan & Sornette, Didier, 2021. "The acceleration effect and Gamma factor in asset pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
  2. 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.
  3. Yongqiang Chu & David Hirshleifer & Liang Ma, 2020. "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 75(5), pages 2631-2672, October.
  4. Daniel, Kent & Moskowitz, Tobias J., 2016. "Momentum crashes," Journal of Financial Economics, Elsevier, vol. 122(2), pages 221-247.
  5. 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.
  6. 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.
  7. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
  8. Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
  9. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
  10. Auer, Benjamin R. & Rottmann, Horst, 2019. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
  11. Cakici, Nusret & Tang, Yi & Yan, An, 2016. "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 179-204.
  12. Antonina Waszczuk, 2013. "Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(19), pages 1497-1508, October.
  13. Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
  14. Hongwei Chuang, 2021. "Momentum Has Its Own Values," Working Papers EMS_2021_02, Research Institute, International University of Japan.
  15. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
  16. Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
  17. Lain-Tze Tee & Si-Roei Kew & Soo-Wah Low, 2019. "Do Momentum Strategies Perform Better For Islamic Stocks Than For Conventional Stocks Across Market States?," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 64(221), pages 107-130, April – J.
  18. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  19. Yu, Lin & Liu, Xiaoquan & Fung, Hung-Gay & Leung, Wai Kin, 2020. "Size and value effects in high-tech industries: The role of R&D investment," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  20. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
  21. Ian Berk & Massimo Guidolin & Monia Magnani, 2023. "Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital," BAFFI CAREFIN Working Papers 23202, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  22. Chaonan Lin & Nien‐Tzu Yang & Robin K. Chou & Kuan‐Cheng Ko, 2022. "A timing momentum strategy," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1339-1379, April.
  23. Banegas, Ayelen & Rosa, Carlo, 2022. "A look under the hood of momentum funds," Economics Letters, Elsevier, vol. 217(C).
  24. Julio Lobao & Joao Meira Fernandes, 2017. "The 52-Week High and Momentum Investing: Implications for Asset Pricing Models," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 349-376, November.
  25. Jacobs, Heiko & Müller, Sebastian, 2020. "Anomalies across the globe: Once public, no longer existent?," Journal of Financial Economics, Elsevier, vol. 135(1), pages 213-230.
  26. Christian Fieberg & Daniel Metko & Thorsten Poddig & Thomas Loy, 2023. "Machine learning techniques for cross-sectional equity returns’ prediction," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 289-323, March.
  27. Patton, Andrew J. & Weller, Brian M., 2020. "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, vol. 137(2), pages 515-549.
  28. Thiago de Oliveira Souza, 2013. "Discount rates, market frictions and the mystery of the size premium," 2013 Papers pde868, Job Market Papers.
  29. Stivers, Adam, 2018. "Equity premium predictions with many predictors: A risk-based explanation of the size and value factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 126-140.
  30. repec:cuf:journl:y:2017:v:18:i:1:lobao is not listed on IDEAS
  31. Lars Kaiser, 2020. "ESG integration: value, growth and momentum," Journal of Asset Management, Palgrave Macmillan, vol. 21(1), pages 32-51, February.
  32. Daye Li & Tianyang Li & Kefu Yi & Yitong Liu, 2022. "Size effect and the measurement of firm size," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(4), pages 894-905, June.
  33. Wang, Jiexin & Han, Xue & Huang, Emily J. & Yost-Bremm, Chris, 2020. "Predictability in international stock returns using currency fluctuations and forward rate forecasts," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  34. Gao, Ya & Guo, Bin & Xiong, Xiong, 2021. "Signed momentum in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  35. Asness, Clifford & Frazzini, Andrea & Israel, Ronen & Moskowitz, Tobias J. & Pedersen, Lasse H., 2018. "Size matters, if you control your junk," Journal of Financial Economics, Elsevier, vol. 129(3), pages 479-509.
  36. Eero J. Pätäri & Timo H. Leivo & Janne Hulkkonen & J. V. Samuli Honkapuro, 2018. "Enhancement of value investing strategies based on financial statement variables: the German evidence," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 813-845, October.
  37. Lee, Eunju & Piqueira, Natalia, 2017. "Short selling around the 52-week and historical highs," Journal of Financial Markets, Elsevier, vol. 33(C), pages 75-101.
  38. Aust, Viktoria & Pelger, Christoph & Drefahl, Christian, 2021. "Exploring the relationship between valuation and stewardship uses of accounting information: Empirical evidence from German listed firms," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 42(C).
  39. Theissen, Erik & Yilanci, Can, 2020. "Momentum? What Momentum?," CFR Working Papers 20-09, University of Cologne, Centre for Financial Research (CFR).
  40. Yang Gao & Henry Leung & Stephen Satchell, 2018. "A critique of momentum strategies," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 341-350, September.
  41. Thanh D Huynh & Daniel R Smith, 2017. "Delisted stocks and momentum: Evidence from a new Australian dataset," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 140-160, February.
  42. Tobias J. Moskowitz, 2021. "Asset Pricing and Sports Betting," Journal of Finance, American Finance Association, vol. 76(6), pages 3153-3209, December.
  43. Oh Kang Kwon & Stephen Satchell, 2020. "The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed," JRFM, MDPI, vol. 13(2), pages 1-19, February.
  44. Kim, Byungoh & Suh, Sangwon, 2018. "Sentiment-based momentum strategy," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 52-68.
  45. Hong‐Yi Chen & Pin‐Huang Chou & Chia‐Hsun Hsieh, 2018. "Persistency of the momentum effect," European Financial Management, European Financial Management Association, vol. 24(5), pages 856-892, November.
  46. Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  47. Liu, Chenye & Wu, Ying & Zhu, Dongming, 2022. "Price overreaction to up-limit events and revised momentum strategies in the Chinese stock market," Economic Modelling, Elsevier, vol. 114(C).
  48. Dong, Dayong & Wu, Keke & Fang, Jianchun & Gozgor, Giray & Yan, Cheng, 2022. "Investor attention factors and stock returns: Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  49. 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.
  50. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
  51. Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
  52. Miralles-Quiros, Maria del Mar & Miralles-Quiros, Jose Luis & Gonçalves, Luis Miguel, 2017. "Análise do efeito tamanho na Bovespa," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 57(4), August.
  53. Marie Briere & Ariane Szafarz, 2017. "Factor Investing: The Rocky Road from Long-Only to Long-Short," Working Papers CEB 17-013, ULB -- Universite Libre de Bruxelles.
  54. Sangwon Suh, 2021. "A Filtering Strategy for Improving Charateristics-Based Portfolios," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 46(2), pages 119-153, June.
  55. 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.
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