Cross-stock momentum and factor momentum
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DOI: 10.1016/j.jfineco.2023.103716
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More about this item
Keywords
Cross-stock momentum; Asymmetric cross-autocorrelation; Factor momentum; Time-varying linkage; Network;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
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