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The determinants of momentum in the United Kingdom

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  • McKnight, Phillip J.
  • Hou, Tony C.T.

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  • McKnight, Phillip J. & Hou, Tony C.T., 2006. "The determinants of momentum in the United Kingdom," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 227-240, May.
    • Handle: RePEc:eee:quaeco:v:46:y:2006:i:2:p:227-240
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    References listed on IDEAS

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    1. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
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    4. John A. Doukas & Phillip J. McKnight, 2005. "European Momentum Strategies, Information Diffusion, and Investor Conservatism," European Financial Management, European Financial Management Association, vol. 11(3), pages 313-338, June.
    5. Grossman, S.J. & Miller, M.H., 1988. "Liquidity And Market Structure," Papers 88, Princeton, Department of Economics - Financial Research Center.
    6. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
    7. Conrad, Jennifer & Kaul, Gautam, 1998. "An Anatomy of Trading Strategies," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 489-519.
    8. Merton, Robert C, 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    9. Brennan, Michael J & Hughes, Patricia J, 1991. "Stock Prices and the Supply of Information," Journal of Finance, American Finance Association, vol. 46(5), pages 1665-1691, December.
    10. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    11. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    12. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    13. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
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    15. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    16. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    17. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    18. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    19. Chan, K C & Chen, Nai-Fu, 1991. "Structural and Return Characteristics of Small and Large Firms," Journal of Finance, American Finance Association, vol. 46(4), pages 1467-1484, September.
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    Cited by:

    1. Dr. Humberto Valencia Herrera, 2015. "Decomposition of the Stocks Returns in the Sustainable Index of the Mexican Stock Exchange," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.
    2. Chiao-Yi Chang, 2013. "Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 253-273, April.
    3. Maher, Daniela & Parikh, Anokhi, 2011. "Short-term under/overreaction, anticipation or uncertainty avoidance? Evidence from India," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 560-584, October.
    4. Humberto Valencia Herrera, 2015. "Decomposition of the Stocks Returns in the Sustainable Index of the Mexican Stock Exchange," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 10(1), pages 85-99, Enero-Jun.

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