Alpha momentum and alpha reversal in country and industry equity indexes
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DOI: 10.1016/j.jempfin.2019.07.003
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Citations
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Cited by:
- Song, Jian & Balvers, Ronald J., 2022. "Seasonality and momentum across national equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
- Umutlu, Mehmet & Yargı, Seher Gören, 2022. "To diversify or not to diversify internationally?," Finance Research Letters, Elsevier, vol. 44(C).
- Umutlu, Mehmet & Bengitöz, Pelin, 2020. "The cross-section of industry equity returns and global tactical asset allocation across regions and industries," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Daniel Hofmann & Karl Ludwig Keiber, 2021. "Seasonalities in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(2), pages 151-192, June.
- Umar, Zaghum & Zaremba, Adam & Umutlu, Mehmet & Mercik, Aleksander, 2024. "Interaction effects in the cross-section of country and industry returns," Journal of Banking & Finance, Elsevier, vol. 165(C).
- Alex R. Horenstein, 2021. "The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha," Management Science, INFORMS, vol. 67(6), pages 3655-3673, June.
- Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
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More about this item
Keywords
Alpha momentum; Alpha reversal; International investment; Country momentum; Country reversal; Industry momentum; Industry reversal; Asset pricing; The cross-section of returns return predictability; Equity anomalies;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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