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

by Robert A. Korajczyk & Ronnie Sadka

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  1. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
  2. Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122, arXiv.org, revised May 2011.
  3. 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.
  4. 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.
  5. 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.
  6. Moorman, Theodore, 2014. "An empirical investigation of methods to reduce transaction costs," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 230-246.
  7. 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.
  8. 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.
  9. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
  10. Chi-Hsiou Hung, 2007. "Return Explanatory Ability and Predictability of Non-Linear Market Models," Working Papers 2007_05, Durham University Business School.
  11. Hung, Chi-Hsiou D. & Banerjee, Anurag N., 2014. "How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?," Emerging Markets Review, Elsevier, vol. 21(C), pages 67-81.
  12. Dongwei Su, 2011. "An Empirical Analysis of Industry Momentum in Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 4-27, July.
  13. 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.
  14. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Staff Reports (discontinued) 125, Netherlands Central Bank.
  15. Chordia, Tarun & Shivakumar, Lakshmanan, 2006. "Earnings and price momentum," Journal of Financial Economics, Elsevier, vol. 80(3), pages 627-656, June.
  16. de Groot, W. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  17. 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.
  18. 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.
  19. 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.
  20. Asem, Ebenezer, 2009. "Dividends and price momentum," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 486-494, March.
  21. Eisdorfer, Assaf, 2008. "Delisted firms and momentum profits," Journal of Financial Markets, Elsevier, vol. 11(2), pages 160-179, May.
  22. Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio, 2015. "What Do Stock Markets Tell Us About Exchange Rates?," CEPR Discussion Papers 10685, C.E.P.R. Discussion Papers.
  23. 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.
  24. Pavel Bandarchuk & Jens Hilscher, 2013. "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, vol. 17(2), pages 809-845.
  25. Evgeniya Mikova & Tamara Teplova, 2014. "Seasonal Effect for Explaining Price Momentum Failure in the Japanese Stock Market," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 25-42, October.
  26. Novy-Marx, Robert, 2012. "Is momentum really momentum?," Journal of Financial Economics, Elsevier, vol. 103(3), pages 429-453.
  27. 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.
  28. 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.
  29. Vega, Clara, 2006. "Stock price reaction to public and private information," Journal of Financial Economics, Elsevier, vol. 82(1), pages 103-133, October.
  30. 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.
  31. Doan, Minh Phuong & Alexeev, Vitali & Brooks, Robert, 2014. "Concurrent momentum and contrarian strategies in the Australian stock market," Working Papers 2014-02, University of Tasmania, Tasmanian School of Business and Economics, revised 13 May 2014.
  32. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  33. 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.
  34. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, 08.
  35. Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016. "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, vol. 30(C), pages 103-124.
  36. Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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.
  43. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.
  44. Frans de Roon & Marta Szymanowska, 2012. "Asset Pricing Restrictions on Predictability: Frictions Matter," Management Science, INFORMS, vol. 58(10), pages 1916-1932, October.
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  50. 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.
  51. Menkhoff, Lukas & Schmeling, Maik, 2006. "A Prospect-Theoretical Interpretation of Momentum Returns," Hannover Economic Papers (HEP) dp-335, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  52. 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.
  53. Enrico G. De Giorgi & Ola Mahmoud, 2016. "Naive Diversification Preferences and their Representation," Papers 1611.01285, arXiv.org, revised Nov 2016.
  54. Li, Bob & Stork, Thomas & Chai, Daniel & Ee, Mong Shan & Ang, Hong Nee, 2014. "Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 19-31.
  55. Sadka, Ronnie, 2011. "Liquidity risk and accounting information," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 144-152.
  56. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
  57. 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.
  58. 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.
  59. 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.
  60. 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.
  61. Robert Novy-Marx & Mihail Velikov, 2014. "A Taxonomy of Anomalies and their Trading Costs," NBER Working Papers 20721, National Bureau of Economic Research, Inc.
  62. Chelley-Steeley, Patricia & Siganos, Antonios, 2008. "Momentum profits in alternative stock market structures," Journal of Multinational Financial Management, Elsevier, vol. 18(2), pages 131-144, April.
  63. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
  64. Gao, Huasheng, 2010. "Optimal compensation contracts when managers can hedge," Journal of Financial Economics, Elsevier, vol. 97(2), pages 218-238, August.
  65. 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.
  66. 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;Swiss Society for Financial Market Research, vol. 27(2), pages 127-148, June.
  67. 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.
  68. Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
  69. 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.
  70. 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.
  71. Post, Thierry, 2008. "On the dual test for SSD efficiency: With an application to momentum investment strategies," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1564-1573, March.
  72. Da, Zhi & Schaumburg, Ernst, 2011. "Relative valuation and analyst target price forecasts," Journal of Financial Markets, Elsevier, vol. 14(1), pages 161-192, February.
  73. 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.
  74. 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.
  75. 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.
  76. Ming-Shiun Pan, 2010. "Autocorrelation, return horizons, and momentum in stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 284-300, July.
  77. 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.
  78. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
  79. repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS
  80. 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.
  81. 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.
  82. 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.
  83. 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.
  84. 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.
  85. 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.
  86. 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.
  87. Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno, 2013. "Short-term residual reversal," Journal of Financial Markets, Elsevier, vol. 16(3), pages 477-504.
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