Asymmetric effect of style comovement on momentum
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DOI: 10.1016/j.frl.2019.03.022
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Cited by:
- Nguyen, Anh Duy, 2020. "Alternative reversal variable," Finance Research Letters, Elsevier, vol. 33(C).
- Anh Duy Nguyen, 2020. "Alternative reversal variable," Post-Print hal-02388743, HAL.
- Anh Duy Nguyen, 2019. "Alternative reversal variable," Working Papers hal-02388743, HAL.
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More about this item
Keywords
Style investing; Market states; Style comovement; Momentum; Style chasing;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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