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A neoclassical interpretation of momentum

Citations

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Cited by:

  1. John H. Cochrane, 2019. "Rethinking Production Under Uncertainty," NBER Working Papers 26535, National Bureau of Economic Research, Inc.
  2. Choy, Siu Kai & Lewis, Craig & Tan, Yongxian, 2023. "Can the changes in fundamentals explain the attenuation of anomalies?," Journal of Financial Economics, Elsevier, vol. 149(2), pages 142-160.
  3. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
  4. Lin, Qi & Lin, Xi, 2019. "Expected profitability and the cross-section of stock returns," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
  5. Andrei S. Gonçalves & Chen Xue & Lu Zhang, 2017. "Does the Investment Model Explain Value and Momentum Simultaneously?," NBER Working Papers 23910, National Bureau of Economic Research, Inc.
  6. Maio, Paulo & Philip, Dennis, 2018. "Economic activity and momentum profits: Further evidence," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 466-482.
  7. Dittmar, Robert F. & Lundblad, Christian T., 2017. "Firm characteristics, consumption risk, and firm-level risk exposures," Journal of Financial Economics, Elsevier, vol. 125(2), pages 326-343.
  8. Neal Galpin, 2020. "Cash holdings, costly financing and the q theory of returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 1149-1174, April.
  9. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
  10. Lu Zhang, 2019. "Q-factors and Investment CAPM," NBER Working Papers 26538, National Bureau of Economic Research, Inc.
  11. Yasuhiro Iwanaga & Ryuta Sakemoto, 2023. "Commodity momentum decomposition," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 198-216, February.
  12. Byoung‐Kyu Min & Jangkoo Kang & Changjun Lee & Tai‐Yong Roh, 2020. "The q‐Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides," International Review of Finance, International Review of Finance Ltd., vol. 20(4), pages 897-921, December.
  13. George, Thomas J. & Hwang, Chuan-Yang & Li, Yuan, 2018. "The 52-week high, q-theory, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 128(1), pages 148-163.
  14. Yan, Yu & Tong, Yan & Wang, Yiming, 2025. "Momentum mechanisms under heterogeneous beliefs," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  15. Jun Li, 2019. "Explaining Momentum and Value Simultaneously," Management Science, INFORMS, vol. 64(9), pages 4239-4260, September.
  16. Andrea Gamba & Alessio Saretto, 2020. "Growth Options and Credit Risk," Management Science, INFORMS, vol. 66(9), pages 4269-4291, September.
  17. Ang, Tze Chuan ‘Chewie’ & Lam, F.Y. Eric C. & Wei, K.C. John, 2020. "Mispricing firm-level productivity," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 139-163.
  18. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Which Factors?," Review of Finance, European Finance Association, vol. 23(1), pages 1-35.
  19. Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  20. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," JRFM, MDPI, vol. 12(2), pages 1-22, June.
  21. Kelly, Bryan T. & Moskowitz, Tobias J. & Pruitt, Seth, 2021. "Understanding momentum and reversal," Journal of Financial Economics, Elsevier, vol. 140(3), pages 726-743.
  22. 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.
  23. Qi Lin, 2020. "Idiosyncratic momentum and the cross‐section of stock returns: Further evidence," European Financial Management, European Financial Management Association, vol. 26(3), pages 579-627, June.
  24. Lorenzo Garlappi & Zhongzhi Song, 2017. "Can Investment Shocks Explain the Cross Section of Equity Returns?," Management Science, INFORMS, vol. 63(11), pages 3829-3848, November.
  25. Chen, Zhanhui & Yang, Bowen, 2019. "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, vol. 133(1), pages 225-249.
  26. Min, Byoung-Kyu & Roh, Tai-Yong, 2020. "An investment-based explanation for the dispersion anomaly," Economics Letters, Elsevier, vol. 186(C).
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